[R] R: Help xts object Subset Date by Day of the Week

[R. Michael Weylandt]

On Mon, Aug 6, 2012 at 4:30 PM, R. Michael Weylandt
<michael.weylandt at gmail.com> wrote:
> On Sun, Aug 5, 2012 at 4:49 PM, Douglas Karabasz
> <douglas at sigmamonster.com> wrote:
>> I have a xts object made of daily closing prices I have acquired using
>> quantmod.
>>
>>
>>
>> Here is my code:
>>
>> library(xts)
>>
>> library(quantmod)
>>
>> library(lubridate)
>>
>>
>>
>> # Gets SPY data
>>
>> getSymbols("SPY")
>>
>> # Subset Prices to just closing price
>>
>> SP500 <- Cl(SPY)
>>
>> # Show day of the week for each date using 2-6 for monday-friday
>>
>> SP500wd <- wday(SP500)
>>
>> # Add Price and days of week together
>>
>> SP500wd <- cbind(SP500, SP500wd)
>>
>> # subset Monday into one xts object
>>
>> SPmon <- subset(SP500wd, SP500wd$..2=="2")
>>
>>
>>
>>
>>
>> I then used the package lubridate to show the days of the week.   Due to the
>> requirement of an xts objects to be numeric you will see each day is
>> represented as a number so that Monday is =2, Tuesday=3, Wednesday=4,
>> Thursday=5, Friday=6, Saturday=7.   Since this is a financial index you will
>> only see the numbers 2-6 or Monday-Friday.
>>
>> I want to subset the data by using the day column.  I would like some help
>> to figure out the best way to accomplish a few objectives.
>>
>> 1.       Subset the data so that I only show Monday in sequence.  However, I
>> do want to make sure that it shows the date, price and the ..2 colum(which
>> is the day of week) after Sub setting the data  (I have it done but not sure
>> if it is the best way)
>
>
> I think what you do works, this might also be a one liner:
>
> SPY[format(index(SPY), "%a") == "Mon", ]
>
> Alternatively
>
> split.default(SPY, format(index(SPY), "%a"))
>
> creates a list of xts objects split by day of the week (Note you need
> split.default here because split.xts does something different)
>
>>
>> 2.       Rearrange the object (hopefully without destroying the xts object)
>> so that my data lines up like a weekly calendar.   So it would look like the
>> follow.
>
> Unfortunately, your formatting got all chewed up by the R-help server,
> which doesn't like HTML so I'm not quite sure what you want here.
>
> Possibly some black magic like this?
>
> SPY.CL <- Cl(SPY)
>
> length(SPY.CL) <- 7*floor(length(SPY.CL)/7)
>
> dim(SPY.CL) <- c(length(SPY.CL)/7, 7)
>
> But note that this looses time stamps because each row can only have a
> single time stamp.

To clarify that's not _why_ that looses the time-stamps (and
"xts"-ness) but just that it does happen. Technically, it's because
"dim<-.xts" doesn't exist; the reason it doesn't (I'd imagine) is
because of the time stamp thing.

M

>
> You might also try
>
> to.weekly()
>
> Cheers,
>
> Michael
>
>
>
>>
>>
>>
>>
>> Long Date Monday
>>
>> Monday Price
>>
>> Monday Day Index
>>
>> Long Date Tuesday
>>
>> Tuesday Price
>>
>> Tuesday Day Index
>>
>> Long Date Wednesday
>>
>> Wednesday Price
>>
>> Wednesday Index
>>
>> Long Date Thursday
>>
>> Thursday Price
>>
>> Thursday Index
>>
>> Friday
>>
>> Friday Price
>>
>> Friday Index
>>
>>
>> 1/5/2009
>>
>> 92.85
>>
>> 2
>>
>> 1/6/2009
>>
>> 93.47
>>
>> 3
>>
>> 1/7/2009
>>
>> 90.67
>>
>> 4
>>
>> 1/8/2009
>>
>> 84.4
>>
>> 5
>>
>> 1/9/2009
>>
>> 89.09
>>
>> 6
>>
>>
>> 1/12/2009
>>
>> 86.95
>>
>> 2
>>
>> 1/13/2009
>>
>> 87.11
>>
>> 3
>>
>> 1/14/2009
>>
>> 84.37
>>
>> 4
>>
>> 1/15/2009
>>
>> 91.04
>>
>> 5
>>
>> 1/16/2009
>>
>> 85.06
>>
>> 6
>>
>>
>> MLK Mondy
>>
>> MLK Monday
>>
>> MLK Monday
>>
>> 1/20/2009
>>
>> 80.57
>>
>> 3
>>
>> 1/21/2009
>>
>> 84.05
>>
>> 4
>>
>> 1/22/2009
>>
>> 82.75
>>
>> 5
>>
>> 1/23/2009
>>
>> 83.11
>>
>> 6
>>
>>
>> 1/26/2009
>>
>> 83.68
>>
>> 2
>>
>> 1/27/2009
>>
>> 84.53
>>
>> 3
>>
>> 1/28/2009
>>
>> 87.39
>>
>> 4
>>
>> 1/29/2009
>>
>> 84.55
>>
>> 5
>>
>> 1/30/2009
>>
>> 82.83
>>
>> 6
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>> Thank you,
>>
>> Douglas
>>
>>
>>         [[alternative HTML version deleted]]
>>
>> ______________________________________________
>> 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.