I'm thru 15 pages (out of 39) of Big Mike's IQFeed/SQL/R/IBroker thread so I hope I'm not asking a question that has already been answered. I'm curious if anyone knows of a function that already exists that will take the raw tick data I have accumulating in SQL and sort it (example: 500 tick bar, with OHLC/Up Volume & Down Volume)? I know I can build this but I really hate the thought of doing that work if there is something elegant in quantstrat or financialInstruments already built.
Update: Here's what I wrote to do what I was after. I've left out some logic but anyone who is serious about finding a solution to this problem and knows R should be able to easily fill in the missing blanks. This is the last time I will open up this forum so don't bother responding to me below or in PM:
OHLC=function( tick.wanted=1500, raw.df=raw, tick.df=tick, ... ){
for (i in seq( tick.df[ 1, 7 ] : (nrow( raw.df )))) {