"hfrtn" <- function(da,int,logrtn=TRUE){
# Compute intraday returns
#
# int: time intervals in minutes
# da: data in the format: date, hour, minute, second, price, volume
#
if(!is.matrix(da))da=as.matrix(da)
intsec=int*60
istart=9*60*60+30*60
iend=16*60*60
# compute the number of prices
tradetime=6.5*60*60
ntrade=floor(tradetime/intsec)
T=dim(da)[1]

### renumber day number for ease in calculation
tmp=diff(da[,1])
idx=c(1:(T-1))[tmp > 0]
tmp[idx]=1
daynumber=cumsum(tmp)
da[2:T,1]=daynumber+da[1,1]
###
nday=length(idx)+1
npri=nday*ntrade
#print(c(ntrade,nday,npri))

price=rep(0,npri)
# price is the last transaction price of the time interval
caltime=da[,2]*60*60+da[,3]*60+da[,4]
#plot(caltime,type='l')

icnt=0
date=da[1,1]
for (i in 1:T) {
if(caltime[i] > istart){
iday=da[i,1]-date
if(caltime[i] < (iend+1)){

if(caltime[i]==iend){
price[iday*ntrade+ntrade]=da[i,5]
}

if((caltime[i] > istart) && (caltime[i] < iend)){
ii=caltime[i]-istart
ij=floor(ii/intsec)
price[iday*ntrade+ij+1]=da[i,5]
}

}
}
}

idx=c(1:length(price))[price > 0]
if(price[1] <=0)price[1]=price[idx[1]]
##

for (i in 2:npri){
if(price[i] <= 0)price[i]=price[i-1]
}


pri=log(price)
#skip overnight returns
nrtn=ntrade-1
rtn=NULL
for (i in 1:nday){
ist=(i-1)*ntrade
##for (j in 2:ntrade){
##rtn=c(rtn,pri[ist+j]-pri[ist+j-1])
##}
xx=pri[(ist+1):(ist+ntrade)]
rtn=c(rtn,diff(xx))
}

plot(rtn, type='l')
hfrtn <- list(rtn=rtn,price=price)
}