[R] Query about creating time sequences

Sat May 26 02:52:24 CEST 2012

One (somewhat kludgy) way would be to use seq() to make one day's worth of times then to pass those to outer() to add in the needed days and then coerce the whole thing back to a sorted vector. 

I'm not at a computer right now so this won't be quite right but something like

x <- seq(x.start.first.day, x.end.first.day, by = "sec")

y <- 24*60*60 *(1:n.days)

sort(as.vector(outer(x, y, "+")))

Changing the order of x and y might make the sort unnecessary. 

M

On May 25, 2012, at 1:14 PM, Shivam <shivamsingh at gmail.com> wrote:

> Hi All,
> 
> I have a query about time based sequences. I know such questions have been
> asked a lot on forums, but I couldnt find the exact thing that I was
> looking for.
> 
> I want to create a time-based sequence which will mimic the trading window
> AND would span multiple days. Something like below:
> 
> "2011-01-03 09:15:00 IST"
> "2011-01-03 09:15:01 IST"
> ....
> ....
> ....
> "2011-01-03 15:29:59 IST"
> "2011-01-03 15:30:00 IST"
> "2011-01-04 09:15:00 IST"
> "2011-01-04 09:15:01 IST"
> ....
> ....
> ....
> "2011-01-04 15:29:59 IST"
> "2011-01-04 15:30:00 IST"
> 
> Kindly notice the change of date in the sequence.
> 
> The Indian Equity markets open at 09:15:00 and close at 15:30:00. I have
> equity data that spans 124 days, and I need to create a corresponding
> sequence which I will later use to regularize the irregular dataset to make
> a regular time-series.
> 
> I was able to accomplish this task for a single day (i.e. creating a
> sequence then merging my dataset with it and use na.locf to make my dataset
> regular) but am unable to create a sequence for 'n' number of days. Can
> anyone help me with this?
> 
> If it is of any help, I have a file which contains all the dates for which
> I need the sequence. The dput of the file is placed at the end of the
> email.
> 
> One option is to create sequences for the entire days and then later remove
> all these records after merging. Although I havent checked the feasibility
> of this method, it would be complex and more so it will increase the data
> four folds (I already have 2 million records in the dataframe which I have
> to make regular).
> 
> Another approach that I could think of was to make a timebased sequence
> based on the date from the file and then use a loop to append one sequence
> after another. But am not having much success there either.
> 
> Any kind of help would be greatly appreciated.
> 
> Thanks and regards,
> Shivam
> 
> structure(list("20110103", "20110104", "20110105", "20110106",
>    "20110107", "20110110", "20110111", "20110112", "20110113",
>    "20110114", "20110117", "20110118", "20110119", "20110120",
>    "20110121", "20110124", "20110125", "20110127", "20110128",
>    "20110131", "20110201", "20110202", "20110203", "20110204",
>    "20110207", "20110208", "20110209", "20110210", "20110211",
>    "20110214", "20110215", "20110216", "20110217", "20110218",
>    "20110221", "20110222", "20110223", "20110224", "20110225",
>    "20110228", "20110301", "20110303", "20110304", "20110307",
>    "20110308", "20110309", "20110310", "20110311", "20110314",
>    "20110315", "20110316", "20110317", "20110318", "20110321",
>    "20110322", "20110323", "20110324", "20110325", "20110328",
>    "20110329", "20110330", "20110331", "20110401", "20110404",
>    "20110405", "20110406", "20110407", "20110408", "20110411",
>    "20110413", "20110415", "20110418", "20110419", "20110420",
>    "20110421", "20110425", "20110426", "20110427", "20110428",
>    "20110429", "20110502", "20110503", "20110504", "20110505",
>    "20110506", "20110509", "20110510", "20110511", "20110512",
>    "20110513", "20110516", "20110517", "20110518", "20110519",
>    "20110520", "20110523", "20110524", "20110525", "20110526",
>    "20110527", "20110530", "20110531", "20110601", "20110602",
>    "20110603", "20110606", "20110607", "20110608", "20110609",
>    "20110610", "20110613", "20110614", "20110615", "20110616",
>    "20110617", "20110620", "20110621", "20110622", "20110623",
>    "20110624", "20110627", "20110628", "20110629", "20110630"), .Dim =
> c(124L,
> 1L), .Dimnames = list(c("X1", "X2", "X3", "X4", "X5", "X6", "X7",
> "X8", "X9", "X10", "X11", "X12", "X13", "X14", "X15", "X16",
> "X17", "X18", "X19", "X20", "X21", "X22", "X23", "X24", "X25",
> "X26", "X27", "X28", "X29", "X30", "X31", "X32", "X33", "X34",
> "X35", "X36", "X37", "X38", "X39", "X40", "X41", "X42", "X43",
> "X44", "X45", "X46", "X47", "X48", "X49", "X50", "X51", "X52",
> "X53", "X54", "X55", "X56", "X57", "X58", "X59", "X60", "X61",
> "X62", "X63", "X64", "X65", "X66", "X67", "X68", "X69", "X70",
> "X71", "X72", "X73", "X74", "X75", "X76", "X77", "X78", "X79",
> "X80", "X81", "X82", "X83", "X84", "X85", "X86", "X87", "X88",
> "X89", "X90", "X91", "X92", "X93", "X94", "X95", "X96", "X97",
> "X98", "X99", "X100", "X101", "X102", "X103", "X104", "X105",
> "X106", "X107", "X108", "X109", "X110", "X111", "X112", "X113",
> "X114", "X115", "X116", "X117", "X118", "X119", "X120", "X121",
> "X122", "X123", "X124"), NULL))
> 
>    [[alternative HTML version deleted]]
> 
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