[R] Need help to complete missing value (Date and Time) in Sp500 Data
Hamid
shefaat at googlemail.com
Mon Dec 14 00:30:35 CET 2009
Hi Ivan,
thanks for the code.
I think the other way would be to compare the both data series and remove
(shorted) the longest. For that I need a function to compare this both
Matrices and then cut the rows.
I did not find any proper packege in R to compare vectors or matrices( in
respect to one date/time colomb).
The routin must be (I think): Compare the date/time colomb of both matrices
(or ts object) and then remove the redunant rows.
I know I asked before for extended the rows but after checking the data I
saw that the holidays make trouble and the only what I must do is compare
and remov.
Thanks.
ivan popivanov wrote:
>
>
> Hi Hamid,
>
> Not sure why would you need missing data, but you can definitely generate
> it:).
>
>
>
> A few random thoughts:
>
> First, you can generate all possible timestamps from the beginning to the
> end of the interval (skipping weekends and skipping the stamps when the
> markets are closed). Then for each of yours time series, you can check
> whether it has the missing timestamps.
>
>
>
> To generate the full set of timestamps, you can use R of course - POSIXlt
> and POSIXct are the classes to take a look at. They both support
> arithmetic like adding seconds and IMO can be used together with any time
> series.
>
>
>
> I also have a little C# program which generates timestamps in a given
> interval - let me know and I will send it to you. Then if you are using
> one of the time series packages in R (xts, zoo, etc) you can check whether
> a particular timestamp exists like:
>
>
>
> if(length(gspc["2009-12-05"]) != 0) --- this will be true if the time
> series gspc has the date.
>
>
>
> Regards,
>
> Ivan
>
>> Date: Sun, 13 Dec 2009 13:08:25 -0800
>> From: shefaat at googlemail.com
>> To: r-help at r-project.org
>> Subject: Re: [R] Need help to complete missing value (Date and Time) in
>> Sp500 Data
>>
>>
>> Hi uwe,
>> here the example:
>> 1) Dataset sp500 has values at 01.05.2008:
>>
>> 30.04.2008 21:56;1.385,63;1.385,63;1.385,14;1.385,14;0
>> 30.04.2008 21:57;1.385,67;1.385,67;1.384,48;1.384,48;0
>> 30.04.2008 21:58;1.384,74;1.384,91;1.384,27;1.384,91;0
>> 30.04.2008 21:59;1.385,05;1.385,81;1.385,05;1.385,08;0
>> 01.05.2008 15:30;1.385,97;1.385,97;1.384,14;1.384,54;0
>> 01.05.2008 15:31;1.384,61;1.385,30;1.384,61;1.385,30;0
>> 01.05.2008 15:32;1.385,03;1.385,54;1.385,03;1.385,54;0
>> 01.05.2008 15:33;1.386,01;1.386,01;1.385,56;1.385,83;0
>> 01.05.2008 15:34;1.385,61;1.385,61;1.385,00;1.385,00;0
>> 01.05.2008 15:35;1.384,72;1.385,29;1.384,72;1.385,12;0
>> 01.05.2008 15:36;1.385,26;1.385,26;1.384,47;1.384,48;0
>> 01.05.2008 15:37;1.384,11;1.384,11;1.383,89;1.383,89;0
>> 01.05.2008 15:38;1.383,63;1.383,75;1.383,33;1.383,75;0
>> 01.05.2008 15:39;1.383,90;1.384,29;1.383,76;1.383,76;0
>> 01.05.2008 15:40;1.383,66;1.383,66;1.383,07;1.383,08;0
>> 01.05.2008 15:41;1.383,16;1.383,39;1.383,16;1.383,31;0
>> 01.05.2008 15:42;1.383,70;1.383,94;1.383,69;1.383,69;0
>> 01.05.2008 15:43;1.384,11;1.385,12;1.384,11;1.385,12;0
>> 01.05.2008 15:44;1.385,26;1.385,72;1.385,26;1.385,72;0
>> 01.05.2008 15:45;1.385,83;1.386,78;1.385,83;1.386,78;0
>> 01.05.2008 15:46;1.386,89;1.387,09;1.386,89;1.386,96;0
>> 01.05.2008 15:47;1.386,74;1.386,94;1.386,73;1.386,73;0
>>
>> 2) but in the dataset dax (because the 1.5 is not work day in Germany )
>> is
>> missing all the minute data. (there are some of these days the data
>> missing)
>>
>> 30.04.2008 17:28;6.947,29;6.947,69;6.944,64;6.946,21;547.527
>> 30.04.2008 17:29;6.945,92;6.948,49;6.945,10;6.945,83;888.986
>> 02.05.2008 09:00;6.982,06;6.982,06;6.980,25;6.980,88;1.202.110
>> 02.05.2008 09:01;6.980,08;6.980,75;6.971,93;6.971,93;367.080
>> 02.05.2008 09:02;6.972,88;7.031,30;6.972,88;7.026,16;2.097.588
>> 02.05.2008 09:03;7.026,72;7.029,12;7.024,96;7.027,16;373.875
>> 02.05.2008 09:04;7.027,06;7.029,64;7.024,17;7.026,32;421.565
>> 02.05.2008 09:05;7.026,32;7.026,67;7.022,40;7.025,08;490.090
>> 02.05.2008 09:06;7.024,21;7.025,31;7.021,45;7.021,70;500.031
>> 02.05.2008 09:07;7.021,72;7.022,31;7.015,32;7.015,76;486.933
>> 02.05.2008 09:08;7.017,90;7.022,94;7.017,90;7.022,23;461.801
>> 02.05.2008 09:09;7.022,23;7.022,55;7.018,54;7.018,99;593.412
>>
>>
>>
>> Uwe Ligges-3 wrote:
>> >
>> >
>> >
>> > Hamid wrote:
>> >> Hi Uwe,
>> >> yes you are right, but I just wanted to show the date format I use.
>> The
>> >> whole data is very huge (about 20000 rows).
>> >>
>> >> Nevertheless I like first to find the missing dates/Times. Then put 0.
>> I
>> >> know they are some different approach to impute missing data, but for
>> me
>> >> is
>> >> important to find a way to identify the missing gaps and then put the
>> >> values
>> >> (I think then it is not complicated to put other values instead of
>> zero).
>> >> Do you have any idea to find it out and put the values in ?
>> >
>> >
>> >
>> > Well, the problem is that I cannot imagine how your "gaps" look like,
>> > hence I asked for the example. Please provide an example (just a few
>> > rows) of the data how it looks like and then how you want it to be
>> > afterwards.
>> >
>> > That would be very helpful to allow readers of the list to respond.
>> >
>> > Uwe Ligges
>> >
>> >
>> >
>> >> Thanks in advance
>> >> Hamid
>> >>
>> >> Uwe Ligges-3 wrote:
>> >>>
>> >>>
>> >>> Hamid wrote:
>> >>>> Dear all,
>> >>>> here my problem my be somone can help to solve this.
>> >>>>
>> >>>> I have tow timeseries from different stock market with different
>> length
>> >>>> (diff ca. 4000 )
>> >>>> Now I would to add the missing times of the one of this series with
>> >>>> proper
>> >>>> time (they are minute data) and set the value to 0 since I need to
>> have
>> >>>> the
>> >>>> same length for my calculation.
>> >>>>
>> >>>> I tried to use the seq in R and merge but without success because of
>> >>>> format
>> >>>> of the date.
>> >>>> My data of one vector i like to complete and extend to the length of
>> >>>> the
>> >>>> other vectors looks like:
>> >>> Well, this seems to be very complete, hence no idea what you want to
>> >>> add, please specify a reproducible example.
>> >>>
>> >>> Uwe Ligges
>> >>>
>> >>>
>> >>>
>> >>>> Date;open;hight;low;close;Volume
>> >>>> 02.04.2008 09:00;6.749,24;6.755,55;6.746,89;6.754,11;0
>> >>>> 02.04.2008 09:01;6.754,70;6.754,70;6.748,13;6.749,55;0
>> >>>> 02.04.2008 09:02;6.749,36;6.757,00;6.745,50;6.749,38;0
>> >>>> 02.04.2008 09:03;6.748,08;6.753,84;6.748,08;6.753,84;0
>> >>>> 02.04.2008 09:04;6.753,79;6.755,59;6.752,18;6.752,41;0
>> >>>> 02.04.2008 09:05;6.753,23;6.753,23;6.748,17;6.748,47;0
>> >>>> 02.04.2008 09:06;6.749,43;6.750,62;6.748,22;6.748,26;0
>> >>>> 02.04.2008 09:07;6.748,26;6.748,89;6.745,54;6.745,54;0
>> >>>> 02.04.2008 09:08;6.745,49;6.746,58;6.744,82;6.745,58;0
>> >>>> 02.04.2008 09:09;6.745,62;6.745,98;6.741,47;6.741,55;0
>> >>>> 02.04.2008 09:10;6.741,58;6.741,73;6.737,21;6.739,85;0
>> >>>> 02.04.2008 09:11;6.739,10;6.742,81;6.738,24;6.742,53;0
>> >>>> 02.04.2008 09:12;6.742,32;6.742,80;6.740,42;6.741,81;0
>> >>>> 02.04.2008 09:13;6.741,84;6.744,78;6.741,84;6.744,60;0
>> >>>> 02.04.2008 09:14;6.744,60;6.744,60;6.740,54;6.740,54;0
>> >>>> 02.04.2008 09:15;6.740,45;6.740,67;6.736,32;6.737,68;0
>> >>>> 02.04.2008 09:16;6.737,72;6.740,68;6.737,45;6.740,11;0
>> >>>> 02.04.2008 09:17;6.740,04;6.746,34;6.740,04;6.746,34;0
>> >>>> 02.04.2008 09:18;6.746,21;6.750,64;6.746,21;6.749,99;0
>> >>>> 02.04.2008 09:19;6.750,61;6.752,95;6.749,07;6.750,69;0
>> >>>> 02.04.2008 09:20;6.750,82;6.751,01;6.748,20;6.750,74;0
>> >>>> 02.04.2008 09:21;6.750,57;6.752,98;6.748,62;6.752,98;0
>> >>>> 02.04.2008 09:22;6.752,74;6.756,24;6.752,74;6.753,84;0
>> >>>> 02.04.2008 09:23;6.753,90;6.755,51;6.752,70;6.753,05;0
>> >>>>
>> >>>> Thanks in advance for any help!
>> >>>> H.
>> >>> ______________________________________________
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>> >>> https://stat.ethz.ch/mailman/listinfo/r-help
>> >>> PLEASE do read the posting guide
>> >>> http://www.R-project.org/posting-guide.html
>> >>> and provide commented, minimal, self-contained, reproducible code.
>> >>>
>> >>>
>> >>
>> >
>> > ______________________________________________
>> > R-help at r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-help
>> > PLEASE do read the posting guide
>> > http://www.R-project.org/posting-guide.html
>> > and provide commented, minimal, self-contained, reproducible code.
>> >
>> >
>>
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>> ______________________________________________
>> R-help at r-project.org mailing list
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>
>
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>
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