[R] [R-SIG-Finance] Creating regularly spaced time series from irregular one

Jeff Ryan jeff.a.ryan at gmail.com
Mon Feb 22 22:09:02 CET 2010

Firstly, don't cross-post.

Second, take a look at the archives on both these lists for answers to
your questions.

'its' is rather old, and not where you want to be looking.

Take a look at xts for fast time-series manipulation like you need,
specifically to.period, endpoints, and align.time.  There is a wealth
of documentation in the package, in the vignette, and even online in
more than a few places, but you can start here:


Also zoo for na.locf etc.

Additional options include the fts package and timeSeries.


On Mon, Feb 22, 2010 at 2:52 PM, Ivan Kalafatic
<ivan.kalafatic at gmail.com> wrote:
> Hello,
> I have a series of intraday (high-frequency) price data in the form of POSIX
> timestamp followed by the value.
> I sucesfuly loaded that into "its" package object. I would like to create
> from it a regularly spaced time series of prices (for example 1min, 5min,
> etc apart) so i could calcualte returns.
> There is an interpolation function locf() that for timestamp with value NA
> uses last known observation.
> I guess the idea would be to start from the begining of my series and, for
> example, if there is no timestamp for t+5min add that time with value NA.
> Than I could use locf() function to fill those NAs. Finaly I should extract
> from that series, series with 5min spaced timestamps with prices.
> Appart from applying locf() function, I have no idea how to add NAs into
> original series or extract the regular series after.
> Can someone help me with this?
> Thank you.
>        [[alternative HTML version deleted]]
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Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics

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