The zip file contains one-minute OHLC data spanning several months, from a CME futures
market (Wheat futures).  

Use this data to experiment with aggregation (convert to 5 minute, 10 minute, hourly, etc.) 
in R.  

Download the *.R files on this site.  They use the data.table library. 

-- DAE Jan 2016
   send questions and comments to dougedmunds AT gmail DOT com