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Re: st: How to calculate average in different interval


From   Philipp Rehm <Philipp.Rehm@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to calculate average in different interval
Date   Thu, 08 Jun 2006 13:58:46 +0200

This may work:

bys date time: egen volavg=mean(vol)

/* assumes that variable "price" has no information of interest for you */

gary tian wrote:
Can anyone help me ?

I have stock transaction data. I need to calculate each second average
trading volume. How can I to produce a new variable such as volavg and
put average volume in the last one of the same second ?

order   date            time            price   vol
1       1-Jul-05        10:02:19        5.8     5000
2       1-Jul-05        10:02:19        5.8     651
3       1-Jul-05        10:02:19        5.8     3349
4       1-Jul-05        10:02:19        5.8     349
5       1-Jul-05        10:02:19        5.8     1500
6       1-Jul-05        10:02:19        5.8     5651
7       1-Jul-05        10:02:24        5.8     2000
8       1-Jul-05        10:02:26        5.8     1000
9       1-Jul-05        10:02:26        5.8     37711
10      1-Jul-05        10:02:26        5.8     500
11      1-Jul-05        10:02:26        5.8     8789
12      1-Jul-05        10:02:26        5.8     2000
13      1-Jul-05        10:02:35        5.8     2583
14      1-Jul-05        10:02:36        5.8     5000


The result that I want:

order   date            time            price   vol     volavg
1       1-Jul-05        10:02:19        5.8     5000    .
2       1-Jul-05        10:02:19        5.8     651     .
3       1-Jul-05        10:02:19        5.8     3349    .
4       1-Jul-05        10:02:19        5.8     349     .
5       1-Jul-05        10:02:19        5.8     1500    .
6       1-Jul-05        10:02:19        5.8     5651    =
(5000+651+3349+349+1500+5651)/6
7       1-Jul-05        10:02:24        5.8     2000    2000
8       1-Jul-05        10:02:26        5.8     1000    .
9       1-Jul-05        10:02:26        5.8     37711   .
10      1-Jul-05        10:02:26        5.8     500     .
11      1-Jul-05        10:02:26        5.8     8789    .
12      1-Jul-05        10:02:26        5.8     2000    =
(1000+37711+500+8789+2000)/5
13      1-Jul-05        10:02:35        5.8     2583    .
14      1-Jul-05        10:02:35        5.8     5000    =(2583+5000)/2


Thanks

Gary
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