I was able to re-create the series for Problem 6 of Chapter 5.

It is the 5-minute average series of adjusted duration. Here the adjustment is obtained by 
dividing the original durations by the average of durations in a 10-minute bin across the 22 trading 
days in December 1999 as described in the book. Note that the trading stopped at 12:00 noon 
on December 31, 1999.

In the process, I also found a mistake in tabulating the number of 5-m time intervals. (My 
previous problem omitted the last observation of each day.) Attached is 
a revised data file for the problem. There are 1680 observations, instead of 1659 given before.