title: Using xts to loop through trading days
body: <p>I am working with a trade tick database, investigating market micro structure. the example code below is for a specific trading day. </p>
  
  <p>What approach would be advised to determine the day of the xts object's index and then use it to loop through the code below, per day?</p>
  
  <pre><code>my.xts &lt;- xts(my.frame1[,-1], order.by=my.frame1[,1])
  my.val &lt;- my.xts[,1]*my.xts[,2]
  my.cumvol &lt;- cumsum(my.xts[,2])
  my.cumval &lt;- cumsum(my.val[,1])
  my.vwap &lt;- my.cumval/my.cumvol
  
  my.ratio &lt;- (my.xts[,1]/my.vwap - 1)*10000
  
  op &lt;- par(mfrow=c(1,2))
  plot(my.ratio)
  plot(my.xts[,1])
  lines(my.vwap)
  par(op)
  </code></pre>
  
  <p>Example of my.xts:</p>
  
  <pre><code>PRICE QUANTITY
  2013-06-05 10:00:08  2772     1250
  2013-06-05 10:00:08  2772     1204
  2013-06-05 10:00:11  2772     1773
  2013-06-05 10:00:11  2772       62
  2013-06-05 10:00:11  2773     1250
  2013-06-05 10:00:11  2773     1250
  2013-06-05 10:00:14  2773     1250
  2013-06-05 10:00:14  2773     1250
  2013-06-05 10:00:14  2772     1217
  2013-06-05 10:00:33  2773     1811
  2013-06-05 10:00:33  2773     1250
  2013-06-05 10:00:42  2773     1610
  2013-06-05 10:00:42  2773     1420
  2013-06-05 10:00:42  2773      190
  2013-06-05 10:01:17  2773     1357
  2013-06-05 10:01:17  2773     1800
  2013-06-05 10:01:17  2773     1495
  2013-06-05 10:01:17  2773      283
  2013-06-05 10:02:07  2775      246
  2013-06-05 10:02:07  2775      171
  2013-06-05 10:02:07  2775     1233
  2013-06-05 10:02:14  2775     1500
  2013-06-05 10:02:33  2773      700
  2013-06-05 10:02:40  2773     3034
  2013-06-05 10:02:40  2773      750
  2013-06-05 10:02:40  2773     1498
  2013-06-05 10:02:58  2773      515
  2013-06-05 10:02:58  2773    11985
  2013-06-05 10:03:02  2773     1665
  2013-06-05 10:03:03  2772     1360
  2013-06-05 10:03:03  2771     1140
  2013-06-05 10:03:08  2775     3325
  2013-06-05 10:03:34  2772     1500
  2013-06-05 10:03:34  2772     1360
  2013-06-05 10:03:34  2772     1220
  2013-06-05 10:03:34  2772     3323
  2013-06-05 10:03:42  2772      327
  2013-06-05 10:04:13  2775     3339
  2013-06-05 10:04:39  2773     7730
  2013-06-05 10:04:48  2775     1554
  2013-06-05 10:05:15  2774     3561
  2013-06-05 10:05:15  2774     1439
  2013-06-05 10:05:16  2773      577
  2013-06-05 10:05:16  2773     2225
  2013-06-05 10:05:16  2773     1083
  2013-06-05 10:05:16  2773     1900
  2013-06-05 10:05:16  2774     1502
  2013-06-05 10:05:16  2773      102
  2013-06-05 10:05:16  2773     1338
  2013-06-05 10:05:16  2773     1228
  2013-06-05 10:05:16  2773     2270
  2013-06-05 10:05:26  2773     2775
  2013-06-05 10:05:36  2772     9000
  2013-06-05 10:05:36  2772     1000
  2013-06-05 10:05:42  2773     2409
  2013-06-05 10:05:44  2773      464
  2013-06-05 10:05:44  2773     1743
  2013-06-05 10:05:44  2773     1477
  2013-06-05 10:05:44  2773     1925
  2013-06-05 10:05:44  2773     2438
  2013-06-05 10:05:44  2773      309
  2013-06-05 10:05:44  2773     1932
  2013-06-05 10:05:44  2773     1447
  2013-06-05 10:05:44  2773      446
  2013-06-05 10:05:44  2773     1410
  2013-06-05 10:05:44  2773      372
  2013-06-05 10:05:44  2773      715
  2013-06-05 10:05:44  2773      847
  2013-06-05 10:05:44  2773     1628
  2013-06-05 10:05:44  2773     1574
  2013-06-05 10:05:44  2773     1504
  2013-06-05 10:05:44  2773      963
  2013-06-05 10:05:44  2773     1531
  2013-06-05 10:05:44  2773     1628
  2013-06-05 10:05:44  2773     2185
  2013-06-05 10:05:44  2773     1639
  2013-06-05 10:05:44  2773     2330
  2013-06-05 10:05:44  2773     2113
  2013-06-05 10:05:44  2773      841
  2013-06-05 10:05:45  2773     2226
  2013-06-05 10:05:45  2773     1332
  2013-06-05 10:05:45  2773     2320
  2013-06-05 10:05:45  2773      845
  2013-06-05 10:05:45  2773     1665
  2013-06-05 10:05:45  2773      609
  2013-06-05 10:05:45  2773     2226
  2013-06-05 10:05:45  2773     1497
  2013-06-05 10:05:45  2773      405
  2013-06-05 10:05:45  2773     1022
  2013-06-05 10:05:45  2773      174
  2013-06-05 10:05:45  2773     1608
  2013-06-05 10:05:45  2773      228
  2013-06-05 10:05:45  2773     2020
  2013-06-05 10:05:45  2773     1885
  2013-06-05 10:05:45  2773     1524
  2013-06-05 10:05:45  2773     2262
  2013-06-05 10:05:45  2773     1618
  2013-06-05 10:05:45  2773     2060
  2013-06-05 10:05:45  2773     1843
  2013-06-05 10:05:45  2773     2036
  2013-06-05 10:05:45  2773      293
  2013-06-05 10:05:45  2773     2034
  2013-06-05 10:05:45  2773     1039
  2013-06-05 10:05:45  2773      704
  2013-06-05 10:05:46  2773       91
  2013-06-05 10:05:46  2773     1135
  2013-06-05 10:05:46  2773     1583
  2013-06-05 10:05:46  2773      972
  2013-06-05 10:05:46  2773     1309
  2013-06-05 10:05:46  2773     2429
  2013-06-05 10:05:46  2773     2164
  2013-06-05 10:05:46  2773     1708
  2013-06-05 10:05:46  2773     1527
  2013-06-05 10:05:46  2773     2174
  2013-06-05 10:05:46  2773      434
  2013-06-05 10:05:46  2773      892
  2013-06-05 10:05:46  2773     1554
  2013-06-05 10:05:46  2773     2091
  2013-06-05 10:05:46  2773     2107
  2013-06-05 10:05:46  2773     1933
  2013-06-05 10:05:46  2773     2341
  2013-06-05 10:05:46  2773      619
  2013-06-05 10:05:46  2773      623
  2013-06-05 10:05:46  2773     2393
  2013-06-05 10:05:46  2773     1977
  2013-06-05 10:05:46  2773     1897
  2013-06-05 10:05:46  2773      204
  2013-06-05 10:05:46  2773      890
  2013-06-05 10:05:46  2773     1738
  2013-06-05 10:05:46  2773     1998
  2013-06-05 10:05:46  2773     1684
  2013-06-05 10:05:46  2773     1069
  2013-06-05 10:05:46  2773     1578
  2013-06-05 10:05:46  2773     1769
  2013-06-05 10:05:47  2773     1535
  2013-06-05 10:05:47  2773     1159
  2013-06-05 10:05:47  2773     1354
  2013-06-05 10:05:47  2773     1300
  2013-06-05 10:05:47  2773     1300
  2013-06-05 10:05:47  2773     1605
  2013-06-05 10:05:47  2773      937
  2013-06-05 10:05:47  2775     2802
  2013-06-05 10:05:47  2773     2063
  2013-06-05 10:05:47  2773     2095
  2013-06-05 10:05:47  2773      283
  2013-06-05 10:05:47  2773      366
  2013-06-05 10:05:47  2773     1940
  2013-06-05 10:05:52  2775     2011
  2013-06-05 10:05:52  2775     1135
  2013-06-05 10:06:01  2775     3184
  2013-06-05 10:06:02  2775     3184
  2013-06-05 10:06:02  2775     1911
  2013-06-05 10:06:02  2775     3184
  2013-06-05 10:06:02  2775     3184
  2013-06-05 10:06:05  2779      703
  2013-06-05 10:06:05  2779     1109
  2013-06-05 10:06:05  2779     2802
  2013-06-05 10:06:05  2779     1212
  2013-06-05 10:06:05  2778      740
  2013-06-05 10:06:05  2777     1346
  2013-06-05 10:06:05  2778      260
  2013-06-05 10:06:06  2779     1591
  2013-06-05 10:06:06  2780       51
  2013-06-05 10:06:07  2779     3006
  2013-06-05 10:06:18  2779     3188
  2013-06-05 10:06:18  2779     3188
  2013-06-05 10:06:18  2779      564
  2013-06-05 10:06:18  2779     2624
  2013-06-05 10:06:19  2779     2207
  2013-06-05 10:06:21  2776     1136
  2013-06-05 10:06:21  2776     1300
  2013-06-05 10:06:21  2776     1300
  2013-06-05 10:06:21  2776     1800
  2013-06-05 10:06:21  2776       16
  2013-06-05 10:06:30  2780     3051
  2013-06-05 10:06:30  2780     3179
  2013-06-05 10:06:30  2779      229
  2013-06-05 10:06:30  2780     2950
  2013-06-05 10:06:41  2780     3171
  2013-06-05 10:06:41  2780     2598
  2013-06-05 10:06:41  2780      573
  2013-06-05 10:06:41  2780      859
  2013-06-05 10:06:49  2780     4768
  2013-06-05 10:06:49  2780     2338
  2013-06-05 10:06:49  2780     2856
  2013-06-05 10:06:49  2780       38
  2013-06-05 10:06:52  2782      292
  2013-06-05 10:06:52  2781     2932
  2013-06-05 10:07:34  2782      209
  2013-06-05 10:07:34  2782     3255
  2013-06-05 10:07:42  2780     1435
  2013-06-05 10:07:42  2780     1285
  2013-06-05 10:07:42  2780      400
  2013-06-05 10:07:42  2780      637
  2013-06-05 10:07:42  2780     1547
  2013-06-05 10:07:42  2780      263
  2013-06-05 10:07:42  2780     5200
  2013-06-05 10:07:42  2780     5200
  2013-06-05 10:07:42  2782     4475
  2013-06-05 10:07:42  2780     2663
  2013-06-05 10:07:42  2780      438
  2013-06-05 10:07:42  2780     5200
  2013-06-05 10:07:42  2781     1900
  2013-06-05 10:07:42  2780      510
  2013-06-05 10:07:42  2780      910
  2013-06-05 10:07:42  2782     2646
  2013-06-05 10:07:42  2780     1445
  2013-06-05 10:07:42  2780     4290
  2013-06-05 10:07:42  2780     3477
  2013-06-05 10:07:42  2780     4800
  2013-06-05 10:07:43  2780     3200
  2013-06-05 10:07:43  2780     3877
  2013-06-05 10:07:43  2780     1323
  2013-06-05 10:07:54  2782     2373
  2013-06-05 10:07:59  2782     3249
  2013-06-05 10:08:03  2780     2077
  2013-06-05 10:08:03  2780    10000
  2013-06-05 10:08:03  2780     1903
  2013-06-05 10:08:03  2780     1226
  2013-06-05 10:08:03  2780      670
  2013-06-05 10:08:03  2780     7359
  2013-06-05 10:08:03  2780     2923
  2013-06-05 10:08:03  2780    10000
  2013-06-05 10:08:03  2780      564
  2013-06-05 10:08:04  2780     1488
  2013-06-05 10:08:11  2780      200
  2013-06-05 10:08:11  2780      223
  2013-06-05 10:08:11  2780     4713
  2013-06-05 10:08:13  2778     1453
  2013-06-05 10:08:13  2780     1500
  2013-06-05 10:08:13  2780     1594
  2013-06-05 10:08:13  2780     8837
  2013-06-05 10:08:13  2780     1599
  2013-06-05 10:08:13  2780     3186
  2013-06-05 10:08:13  2780    10000
  2013-06-05 10:08:13  2780    10000
  2013-06-05 10:08:13  2780     2763
  2013-06-05 10:08:13  2780     1163
  2013-06-05 10:08:13  2780     1900
  2013-06-05 10:08:14  2782     2924
  2013-06-05 10:08:23  2782     3183
  2013-06-05 10:08:24  2782     1572
  2013-06-05 10:08:24  2780     1211
  2013-06-05 10:08:24  2782     1372
  2013-06-05 10:08:24  2782      239
  2013-06-05 10:08:24  2782     2581
  2013-06-05 10:08:24  2782     3183
  2013-06-05 10:08:25  2780     5596
  2013-06-05 10:08:25  2780     1845
  2013-06-05 10:08:25  2780     1307
  2013-06-05 10:08:25  2780     1500
  2013-06-05 10:08:25  2780     6604
  2013-06-05 10:08:25  2780    10000
  2013-06-05 10:08:25  2780     1300
  2013-06-05 10:08:37  2782      597
  2013-06-05 10:08:37  2782     3180
  2013-06-05 10:08:39  2780     2028
  2013-06-05 10:08:39  2780     3005
  2013-06-05 10:08:39  2780      251
  2013-06-05 10:08:39  2780     1430
  2013-06-05 10:08:39  2780      244
  2013-06-05 10:08:39  2780      673
  2013-06-05 10:08:39  2781     1300
  2013-06-05 10:08:39  2780     1500
  2013-06-05 10:08:39  2780    10000
  2013-06-05 10:08:39  2780      947
  2013-06-05 10:08:39  2781     1500
  2013-06-05 10:08:39  2780    10000
  2013-06-05 10:08:42  2782      886
  2013-06-05 10:08:46  2782      717
  2013-06-05 10:08:46  2784      283
  2013-06-05 10:08:50  2780     1889
  2013-06-05 10:08:50  2780     2254
  2013-06-05 10:08:50  2780     1650
  2013-06-05 10:08:50  2780     1300
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  2013-06-05 10:08:50  2780     1758
  2013-06-05 10:08:50  2780     2274
  2013-06-05 10:08:50  2780     1097
  2013-06-05 10:08:50  2780     1500
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  2013-06-05 10:08:51  2780     2386
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  2013-06-05 10:08:51  2780     2042
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  2013-06-05 10:08:51  2780     2066
  2013-06-05 10:08:51  2780      182
  2013-06-05 10:08:51  2780     1784
  2013-06-05 10:08:51  2780     1913
  2013-06-05 10:08:51  2780      457
  2013-06-05 10:08:51  2780     2429
  2013-06-05 10:08:51  2780     1511
  2013-06-05 10:08:51  2780     2316
  2013-06-05 10:08:51  2780     1569
  2013-06-05 10:08:51  2780     2008
  2013-06-05 10:08:51  2780      777
  2013-06-05 10:08:51  2780     1792
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  2013-06-05 10:08:51  2780      933
  2013-06-05 10:08:51  2780     1684
  2013-06-05 10:08:51  2780     2255
  2013-06-05 10:08:51  2780     2049
  2013-06-05 10:08:51  2780     1858
  2013-06-05 10:08:51  2780     1659
  2013-06-05 10:08:56  2784     1000
  2013-06-05 10:08:56  2784     3717
  2013-06-05 10:08:57  2783     3173
  2013-06-05 10:08:57  2783     3173
  2013-06-05 10:08:57  2783     3173
  2013-06-05 10:08:58  2783     1215
  2013-06-05 10:08:58  2783     3173
  2013-06-05 10:09:09  2780     2469
  2013-06-05 10:09:09  2780     2412
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  2013-06-05 10:09:09  2780     3186
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  2013-06-05 10:09:09  2780     1827
  2013-06-05 10:09:09  2780     2419
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  2013-06-05 10:09:09  2780     2120
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  2013-06-05 10:09:10  2780      276
  2013-06-05 10:09:10  2780      771
  2013-06-05 10:09:10  2780     2240
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  2013-06-05 10:09:19  2783     3174
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  2013-06-05 10:09:22  2780     2018
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  2013-06-05 10:09:22  2778      341
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  2013-06-05 10:09:23  2780     1857
  2013-06-05 10:09:23  2777     1750
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  2013-06-05 10:09:35  2783     1010
  2013-06-05 10:09:35  2783     2190
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  2013-06-06 10:00:40  2733      353
  2013-06-06 10:00:40  2733     2145
  2013-06-06 10:00:40  2733     1569
  2013-06-06 10:00:58  2732     9000
  2013-06-06 10:00:58  2732     1500
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  2013-06-06 10:01:08  2732      901
  2013-06-06 10:01:21  2732     1386
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  </code></pre>