[R] [R-SIG-Finance] Handling of irregular time series in lineChart
Brian G. Peterson
brian at braverock.com
Fri Apr 29 06:17:19 CEST 2011
chartSeries and its cousins plot each period as one observation. all
observations have equal time. It 'takes care of' irregular data by
assuming that the rate of information is equal to the number of
observations, which is a perfectly correct intuition and useful for many
things. If you want instead to force a regular series, then you may do
that instead.
You could create bars, or use a different plotting mechanism.
Often, I will create regular bars (1 minute or even 1 second is
sufficient) from the raw price data, and then use some addTA
overplotting to plot items of interest.
Regards,
- Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
On Thu, 2011-04-28 at 20:02 -0400, Robert A'gata wrote:
> Hi,
>
> I realized that when I have irregular series to feed into lineChart,
> the interval of each point in the chart does not seem to take care of
> irregular time interval I specified in my input xts time series. But
> rather, lineChart seems to take each point as equal spaced time
> series. For example, I have the following code:
>
> library(quantmod)
> options(digits.sec=3)
>
> t0 <- as.POSIXct("2010-04-20 09:30:00.000");
> tvec1 <- runif(1000,0,1000);
> tvec1 <- sort(tvec1);
> tvec1 <- t0+tvec1;
>
> t0 <- as.POSIXct("2010-04-20 12:30:00.000");
> tvec2 <- runif(1000,0,1000);
> tvec2 <- sort(tvec2);
> tvec2 <- t0+tvec2;
>
> tvec <- c(tvec1,tvec2);
> data <- cumsum(rnorm(length(tvec)));
>
> tseries <- xts(data,tvec);
>
> lineChart(tseries);
>
> There are two clusters of data points around 9:30AM and 12:30PM.
> However, when lineChart displays result, it is quite clear that all
> points are set to be equally spaced in time. I'm wondering if I
> miss-specified any parameters or not. Any advice would be much
> appreciated. Thank you in advance.
>
> Robert
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