r - xts tick data rolling subset

Question

I have created an xts object from historical tick data, sourced from a SQL database. I would like to create subsets of the tick data, for example:

Show daily ticks between 10am and 2:30pm. This would allow me to create specific data sets for specific trade ideas, based on the time of day. The format of my index is as follows:

> index(merged[3567,])
[1] "2011-08-01 13:17:59 SAST"

Could an expert in xts please advise me how I would go about creating these subsets? Any advice would be greatly appreciated.

Answer 1

You can do it with time-of-day subsetting:

merged["T10:00/T14:30"]