[T,H,L,O,C,V]=Tick2Bar(t,p,v,g)

function [T,H,L,O,C,V]=Tick2Bar(t,p,v,g)
% [T,H,L,O,C,V]=Tick2Bar(t,p,v,g)
% Divides a time series into periods of g days
% (may be less than one day).
% It is useful in conjunction with HIGHLOW
%    [T,H,L,O,C,V]=Tick2Bar(t,p,v,g);
%    highlow(H(:),L(:),C(:),O(:),'k',T(:));
%
% It returns:
%
% T date/time of the period
% H high of the period
% L low of the period
% O open (first datum of the period)
% C close (last datum of the period)
% V volume of the period
%
% given
%
% t date/time
% p price
% v volume
% g time granularity [days]
%
% USAGE
%
% % test data
% N=1e4;
% g=1/(24*60*60); % 1 minute granularity
% t=([1:N]+rand(1,N)).*g; % time
% p=100+rand(1,N).*10; % price
% v=1e4.*rand(1,N); % volume
% % add some test-NANs
% a=randperm(N);
% v(a(1:10))=nan;
%
% g=1/(24*60*60); % 1 minute granularity
% [T,H,L,O,C,V]=Tick2Bar(t,p,v,g);
% 
% subplot(6,1,1:2);
% plot(t,p,'k');
% datetick;
% title('plot(t,p,''k'');')
% 
% subplot(6,1,3);
% plot(t,v,'k');
% datetick;
% title('plot(t,v,''k'');');
% 
% subplot(6,1,4:5);
% highlow(H(:),L(:),C(:),O(:),'k',T(:));
% datetick;
% title('highlow(H(:),L(:),C(:),O(:),''k'',T(:));');
% 
% subplot(6,1,6);
% plot(T,V,'k');
% datetick;
% title('plot(T,V,''k'');');
% 
% h=suptitle('[T,H,L,O,C,V]=Tick2Bar(t,p,v,g);');
% set(h,'FontSize',get(h,'FontSize').*2,'FontWeight','Bold');
%
%
% IT'S NOT FANCY BUT IT WORKS

% Michael Robbins
% [e-mail]
% [e-mail]
% Thanks to: us ([e-mail]) for helping to speed up
% also to Loren Shure([e-mail])



% ORIENT INPUTS
t=t(:).';
p=p(:).';
v=v(:).';

% CHECK SIZE
if all(size(t)==size(p)) & all(size(t)==size(v))


    % THE FUNCTION
    %-----------------------------------------
    % pre-condition
    % ... sort for smart indexing
    [t,tix]=sort(t);
    p=p(tix);
    v=v(tix);
    % ... remove NANs for smart summing
    vix=~isnan(v);
    t=t(vix);
    p=p(vix);
    v=v(vix);
    
    % create bins
    edges=[floor(min(t)):g:ceil(max(t))];
    [n,bin]=histc(t,edges);
    [ubin,i]=unique(bin);
    T=edges(ubin+1);
    % ... and bin-indices
    ix=[[1 cumsum(n(ubin))+1]; ...
      [cumsum(n(ubin)) length(bin)]];
    ix=ix(:,1:end-1);
    n=size(ix,2);
    
    % pre-allocate
    tt.H=zeros(n,1);
    tt.L=zeros(n,1);
    tt.O=zeros(n,1);
    tt.C=zeros(n,1);
    tt.V=zeros(n,1);
    
    for  i=1:n
        k=ix(1,i):ix(2,i);
        tt.H(i)=max(p(k));
        tt.L(i)=min(p(k));
        [temp,j]=min(t(k));
        tt.O(i)=p(k(j));
        [temp,j]=max(t(k));
        tt.C(i)=p(k(j));
        tt.V(i)=sum(v(k));
    end
   tt.T=T;
   H=tt.H;
   L=tt.L;
   O=tt.O;
   C=tt.C;
   V=tt.V;
else
    error('TICK2BAR:: Input sizes don''t match');
end;