Working with intraday tick time series
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I am trying to figure out the best way of working with intraday tick data in matlab, if the ticks happen to be at random intervals. I would prefer doing this using matlab functions as I doing it with forloops is pretty straightforward, I think.
for example, if I have the following data 11:01:01.500 $100.00 11:01:02.123 $100.00 11:01:02.999 $101.00 11:01:05.200 $105.00
i would want it transformed to 11:01:01 $100 11:01:02 $101 11:01:05 $105
This would denote end of period values, and if possible filling in the gaps would be ideal.
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