Hi,

I am working with the following intra-day data.

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float id long date double(time price)
1 21823           56100000    102.387
1 21824           33596000    102.288
1 21824           47710000    102.397
1 21825           50009000    102.742
1 21825           60499000 102.702736
1 21826           12119000    102.582
1 21826           32789000    102.565
1 21826           43951000    102.609
1 21826           54412000    102.617
1 21826           54412000  102.55451
1 21829           37797000    102.545
1 21829           45684000    102.522
1 21830           44628000    102.536
1 21831           35067000    102.645
1 21831           37511000    102.542
1 21831           48165000    102.174
1 21831           48165000    102.474
1 21831           64399000   102.4974
1 21831           64399000   102.4974
1 21832           36633000    102.355
1 21832           57553000    102.299
1 21832           57995000 102.338645
1 21833           40237000    102.319
1 21836           57954000 102.080452
1 21837           30188000    102.332
1 21837 32455999.999999996    102.268
1 21837           44701000    102.073
1 21838 32155999.999999996    102.259
1 21838           33861000    102.403
1 21838           33861000    102.403
1 21838           33861000    102.403
1 21839           40823000    102.237
1 21839           40823000    102.237
1 21840           10127000    102.424
1 21840           28777000    102.423
1 21840           42387000    102.453
1 21840           42387000    102.453
1 21843           36383000     102.36
1 21843           42529000    102.327
1 21843           44051000     102.39
1 21843           46214000    102.356
1 21843           46214000    102.206
1 21843           46214000    102.206
1 21843           47160000    102.287
1 21843           47160000    102.137
1 21843           47160000    102.137
1 21843           54017000    102.389
1 21844           42487000    102.378
1 21844           51397000    102.388
1 21844           56163000    102.403
1 21845           31133000    102.336
1 21845           39218000     102.36
1 21845           40921000    102.353
1 21845           57404000    102.357
1 21846           33927000    102.367
1 21846           33927000 102.315821
1 21846           37407000    102.452
1 21846           37795000    102.537
1 21846           40807000    102.437
1 21846           40807000    102.437
1 21846           43021000    102.497
1 21847           21949000    102.467
1 21847           29852000    102.238
1 21850 32089000.000000004    102.146
1 21850           33233000    102.087
1 21851           35148000    102.856
1 21851           35149000    102.189
1 21851           37061000    102.181
1 21851           41673000    102.189
1 21851           63717000    102.268
1 21852 31804000.000000004    102.134
1 21852           31821000    102.095
1 21852           38297000    102.235
1 21852           38310000    102.235
1 21852           40491000    102.155
1 21852           55524000    102.261
1 21853           34598000    102.172
1 21853           34598000    102.272
1 21853           42468000    102.357
1 21854           49875000  102.38718
1 21854           49875000  102.35594
1 21857           35252000    102.308
1 21857           53270000    102.244
1 21858           36819000    102.148
1 21858           40646000    102.207
1 21858           55883000    102.214
1 21858           59147000 102.186285
1 21859           36765000    102.232
1 21859           37575000    102.278
1 21859           39973000    102.165
1 21859           51312000    102.197
1 21860           40842000     102.07
1 21861           54688000   101.9095
1 21861           54688000   102.0095
1 21865           36402000    102.038
1 21865           43839000    101.891
1 21865           43839000    101.954
1 21865           43978000    101.948
1 21865           52278000    102.017
1 21865           58523000    101.968
end
format %td date
format %tcHH:MM:SS time
I want to take the difference between two successive prices (the intra-day interval is not of fixed length) over a window of 10 days, as in the second step I want to sum up the differences over the same interval. The problem I am facing in taking up the differences is that the the window is defined over a number of days whereas the data is intra-day. Would appreciate any help in this regards. Thank You.