[R] really strange problem - has to be logic but i can't find it

Sat Oct 28 04:14:30 CEST 2006

To make it unique one normally uses aggregate.  Depending on what you
want we aggregate over equal times using mean or tail(x, 1), say:

  aggregate(fxdata, time(fxdata), mean)

or

   aggregate(fxdata, time(fxdata), tail, 1)

On 10/27/06, Leeds, Mark (IED) <Mark.Leeds at morganstanley.com> wrote:
> so my guess is that if I just unique it first, everything will work
> fine. Oh geez. Thanks so much.
>
>
> -----Original Message-----
> From: Gabor Grothendieck [mailto:ggrothendieck at gmail.com]
> Sent: Friday, October 27, 2006 10:03 PM
> To: Leeds, Mark (IED)
> Cc: r-help at stat.math.ethz.ch
> Subject: Re: [R] really strange problem - has to be logic but i can't
> find it
>
> zoo objects must have unique index values but the last two in the head
> output below are the same:
>
> > head(fxdata)
>                      bid   ask
> 2006-04-03 03:30:00 27.21 27.26
> 2006-04-03 03:46:42 27.21 27.26
> 2006-04-03 03:46:54 27.25 27.26
> 2006-04-03 03:57:08 27.55 27.26
> 2006-04-03 04:00:00 27.50 27.65
> 2006-04-03 04:00:00 27.50 27.65
>
> On 10/27/06, Leeds, Mark (IED) <Mark.Leeds at morganstanley.com> wrote:
> > would someone be kind enough to paste the code below into an R session
>
> > ( ir you can paste it into a file and just source it )  and take a
> > look at it ? I must be doing something wrong but i can't find it.
> >
> > I start out with a zoo object that has 100 elements in it.
> >
> > then, i only want to keep the rows in which the bid and the ask are
> > both grester than zero. ( maybe my logic is wrong there ? ).
> >
> > i expected to get the full zoo object back  after using the filter
> > above because all the bids and the asks are greater than zero.
> > yet, i'm nott getting the full data back. ( i actually started out
> > with a much much bigger object but i figured it would be easier to
> > deal with one hundred in this example ).
> >
> > so, when i didn' get the full data back, i started putting my logic
> > into temp.
> > for some strange reason, when i sum temp or print it out or whateveer,
>
> > i get 54 elements. i think you will also if you run it.
> >
> > i noticed this about 5 hours ago and i can't find my error. i don't
> > think it has to do with zoo. it must be my logic somehow but i just
> > don't see it and i don't know what else to do ?
> >
> > you need to include the zoo library for below to work. ( and i think
> > zoo depends on chron so you would need that also ).
> >
> > thanks a lot to anyone who is kind enough to take a look at this for
> me.
> > i really appreciate it.
> > the difficulty is that i don't et an error so i can't go any further
> > given my knowledge of R which isn't so great.
> >
> > #---------------------------------------------------------------------
> > --
> > ----------------------------------------------------------------------
> > --
> > ----------------------------------------------------------------------
> > --
> > --------------------------------------------
> >
> > fxdata<-structure(c(27.21, 27.21, 27.21, 27.21, 27.26, 27.25, 27.55,
> > 27.5, 27.5, 27.5, 27.5, 27.52, 27.52, 27.52, 27.52, 27.58, 27.58,
> > 27.58, 27.58, 27.62, 27.6, 27.6, 27.6, 27.65, 27.6, 27.6, 27.6, 27.6,
> > 27.6, 27.57, 27.57, 27.57, 27.57, 27.57, 27.57, 27.57, 27.57, 27.57,
> > 27.57, 27.57, 27.58, 27.58, 27.6, 27.58, 27.58, 27.6, 27.58, 27.58,
> > 27.58, 27.59, 27.6, 27.59, 27.59, 27.58, 27.58, 27.58, 27.58, 27.58,
> > 27.59, 27.58, 27.58, 27.59, 27.58, 27.59, 27.58, 27.6, 27.6, 27.58,
> > 27.58, 27.58, 27.58, 27.58, 27.59, 27.58, 27.58, 27.58, 27.58, 27.58,
> > 27.61, 27.61, 27.61, 27.61, 27.62, 27.62, 27.59, 27.61, 27.59, 27.59,
> > 27.61, 27.61, 27.59, 27.59, 27.58, 27.58, 27.58, 27.58, 27.57, 27.57,
> > 27.57, 27.58, 27.26, 27.26, 27.26, 27.26, 27.26, 27.26, 27.26, 27.65,
> > 27.65, 27.58, 27.58, 27.58, 27.58, 27.58, 27.6, 27.6, 27.6, 27.62,
> > 27.65, 27.65, 27.65, 27.66, 27.67, 27.67, 27.67, 27.66, 27.65, 27.65,
> > 27.65, 27.65, 27.65, 27.65, 27.65, 27.65, 27.65, 27.63, 27.6, 27.6,
> > 27.58, 27.6, 27.6, 27.65, 27.65, 27.65, 27.63, 27.63, 27.61, 27.6,
> > 27.63, 27.63, 27.65, 27.65, 27.63, 27.63, 27.59, 27.59, 27.59, 27.63,
> > 27.64, 27.64, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62,
> > 27.59, 27.59, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62,
> > 27.62, 27.63, 27.63, 27.63, 27.63, 27.63, 27.63, 27.63, 27.63, 27.62,
> > 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.62, 27.58,
> > 27.62, 27.62 ), .Dim = c(100, 2), .Dimnames = list(c("1", "2", "3",
> > "4", "5", "6", "7", "8", "9", "10", "11", "12", "13", "14", "15",
> > "16", "17", "18", "19", "20", "21", "22", "23", "24", "25", "26",
> > "27", "28", "29", "30", "31", "32", "33", "34", "35", "36", "37",
> > "38", "39", "40", "41", "42", "43", "44", "45", "46", "47", "48",
> > "49", "50", "51", "52", "53", "54", "55", "56", "57", "58", "59",
> > "60", "61", "62", "63", "64", "65", "66", "67", "68", "69", "70",
> > "71", "72", "73", "74", "75", "76", "77", "78", "79", "80", "81",
> > "82", "83", "84", "85", "86", "87", "88", "89", "90", "91", "92",
> > "93", "94", "95", "96", "97", "98", "99", "100"), c("bid", "ask")),
> > index = structure(c(1144049400, 1144049400, 1144049400, 1144050402,
> > 1144050402, 1144050414, 1144051028, 1144051200, 1144051200,
> > 1144051202, 1144051252, 1144051255, 1144051257, 1144051343,
> > 1144051352, 1144051360, 1144051376, 1144051378, 1144051388,
> > 1144051397, 1144051437, 1144051470, 1144051537, 1144051542,
> > 1144051583, 1144051583, 1144051583, 1144051583, 1144051587,
> > 1144051588, 1144051589, 1144051603, 1144051713, 1144051743,
> > 1144051747, 1144051756, 1144052022, 1144052087, 1144052223,
> > 1144052230, 1144052300, 1144052317, 1144052440, 1144052568,
> > 1144052569, 1144052609, 1144052620, 1144052620, 1144052623,
> > 1144052652, 1144052792, 1144052819, 1144052820, 1144052973,
> > 1144052984, 1144052985, 1144052987, 1144053001, 1144053077,
> > 1144053121, 1144053121, 1144053168, 1144053168, 1144054193,
> > 1144054231, 1144054299, 1144054307, 1144054309, 1144054549,
> > 1144054566, 1144054566, 1144054569, 1144054614, 1144054622,
> > 1144054622, 1144054633, 1144054633, 1144054638, 1144054876,
> > 1144054878, 1144054879, 1144054880, 1144054882, 1144054887,
> > 1144054892, 1144054892, 1144054893, 1144054896, 1144054897,
> 1144054930, 1144054948, 1144054955, 1144055142, 1144055142, 1144055142,
> 1144055177, 1144055177, 1144055194, 1144055242, 1144055242), class =
> c("POSIXt", "POSIXct"
> > ), tzone = ""), class = "zoo")
> >
> > fxdata<-fxdata[(( fxdata[,"bid"] > 0.0 ) & ( fxdata[,"ask"]  > 0.0
> > )),]
> >
> > temp<-( fxdata[,"bid"] > 0.0 ) & ( fxdata[,"ask"]  > 0.0 )
> >
> > print(temp)
> > print(length(temp))
> > print(sum(temp))
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> This is not an offer (or solicitation of an offer) to buy/sell the securities/instruments mentioned or an official confirmation.  Morgan Stanley may deal as principal in or own or act as market maker for securities/instruments mentioned or may advise the issuers.  This is not research and is not from MS Research but it may refer to a research analyst/research report.  Unless indicated, these views are the author's and may differ from those of Morgan Stanley research or others in the Firm.  We do not represent this is accurate or complete and we may not update this.  Past performance is not indicative of future returns.  For additional information, research reports and important disclosures, contact me or see https://secure.ms.com/servlet/cls.  You should not use e-mail to request, authorize or effect the purchase or sale of any security or instrument, to send transfer instructions, or to effect any other transactions.  We cannot guarantee that any such requests received via e-mail will be processed in a timely manner.  This communication is solely for the addressee(s) and may contain confidential information.  We do not waive confidentiality by mistransmission.  Contact me if you do not wish to receive these communications.  In the UK, this communication is directed in the UK to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules).
>