[R] templated use of aggregate

[David Winsemius]

On Jun 12, 2012, at 11:32 PM, Matthew Johnson wrote:

> Dear R-help,
>
> I have an xts data set that i have subset by date.
>
> now it contains a date-time-stamp, and two columns (price and volume
> traded): my objective is to create tables of volume traded at a  
> price - and
> i've been successfully using aggregate to do so in interactive use.
>
> say the data looks as follows:
>
>                    px_ym1 vol_ym1
> 2012-06-01 09:37:00  97.91     437
> 2012-06-01 09:37:00  97.91      64
> 2012-06-01 09:37:00  97.91       1
> 2012-06-01 09:37:00  97.91       5
> 2012-06-01 09:37:00  97.91       5
> 2012-06-01 09:37:00  97.92     174
> 2012-06-01 09:37:00  97.92      64
> 2012-06-01 09:37:00  97.92     125
> 2012-06-01 09:37:00  97.92     124
> 2012-06-01 09:37:00  97.92      64
> 2012-06-01 09:37:00  97.92     109
> 2012-06-01 09:37:00  97.92      64
> 2012-06-01 09:37:00  97.92      19
> 2012-06-01 09:37:00  97.92      45
> 2012-06-01 09:37:00  97.92      75
> 2012-06-01 09:37:00  97.92       3
> 2012-06-01 09:37:00  97.92      47
> 2012-06-01 09:37:00  97.91      26
> 2012-06-01 09:37:00  97.92       4
> 2012-06-01 09:37:00  97.92       1
>
> the the following gives me what i'm looking for:
>
>> adf <- aggregate(.~px_ym1, data=mm, sum)
>
> which is this table:
>
> px_ym1 vol_ym1
> 1  97.91     538
> 2  97.92     918
>
> however now i'm trying to code it to run automatically, and use of the
> templated version:
>
>> adf <- aggregate(.~mm[,1], data=mm, sum)

Did you try:

adf <- aggregate(mm[,-1] ~ mm[,1], data=mm, sum)
adf

I would have used names:

adf <- aggregate(vol_ym1 ~ px_ym1, data=mm, sum)
adf


> yields the following - which contains what i'd like, but is has also  
> summed
> across the price column (not ideal).
>
>  px_ym1  px_ym1 vol_ym1
> 1  97.91  587.46     538
> 2  97.92 1370.88     918
>
> how do i code this so that i can enter an xts data-frame with  
> arbitrary
> names and still obtain the table with only the information i desire?

That is too far to the vague side of the vague-specific continuum.

>
> on a related point, is there a way to combine the two steps?

Er, which two steps would that be?

> the function
> i've written splits by date and then returns a list containing data- 
> frames
> that report the volume traded at each price on each date
>
> - am i re-creating the wheel here? is there canned function that  
> does this?
>
> thanks + best regards
>
> matt johnson


David Winsemius, MD
West Hartford, CT