Michael Robbins

a good effort. Doesnt support synchronous data though. ie you may have a security which trades infrequently, yet you still want to map it on a discrete grid:

function trade =cce_Tick2Bar_synchronous(t,p,g)
% error check
[t,tix]=sort(t);
p=p(tix);
vix=~isnan(p);
t=t(vix);
p=p(vix);

% create bins
mySynchTime=[floor(min(t)):g:ceil(max(t))];
[n,bin]=histc(t,mySynchTime); % n is the number of obs per bin

% pre-allocate
C=NaN(n,1);
for i = 1: length(mySynchTime)
    if(i==1)
        from = 1;
        to = cumsum(n(1:i));
        to = to(end);
    elseif(i == length(mySynchTime))
        from = cumsum(n(1:i-1));
        from = from(end);
        to =cumsum(n(1:i));
        to = to(end);
    else
        from = cumsum(n(1: i-1));
        from = from(end) + 1;
        to =cumsum(n(1:i));
        to = to(end);
    end
    % These are the index numbers you are accessing
        %disp([num2str(from) ' ' num2str(to)]);
    
    %Observe which timestamps you are taking.
        %disp(datestr(t(from:to)));
    
    % As you are interested in the close, just take the last value
    tmp = p(from:to);
    if(isempty(tmp))
        %we have no observations in that window. Thus no price change.
        tmp = C(i-1,1);
    end
    C(i,1) = tmp(end);
    clear tmp;
end

% Make sure you align correctly!
trade = timeseries(C(1:end-1), mySynchTime(2:end));

end

Is this control still available for free download? If so can you tell me where I might find it? I found a download at www.octatec.com for around $93.00. Or is there a better method now, 7 years later? Thanks.