[R] Query about creating time sequences
Jeff Newmiller
jdnewmil at dcn.davis.ca.us
Sun May 27 23:21:56 CEST 2012
Try this:
# Setting TZ is optional, but I find it helps me to be more aware of
# timezone effects
Sys.setenv( TZ="Asia/Kolkata")
library(lubridate)
pdates <- as.POSIXct( fdates )
hstart <- new_period( hour=9, minute=15 )
hend <- new_period( hour=15, minute=30 )
mperiod <- new_period( minute=15 )
numperday <- (hend-hstart)/mperiod
dtms <- expand.grid( dt=pdates, tm=hstart + mperiod * seq( from=0,
to=numperday ) )
dtms$dtm <- with( dtyms, dt + tm )
dtms <- dtms[ order( dtms$dtm ), ]
You can discard everything but dtms$dtm once it has been created.
On Mon, 28 May 2012, Shivam wrote:
> Thanks for the effort Michael, but the problem here is that the dates for
> which the sequences need to be created have gaps in between. Basically I
> need the sequence for only those days on which the security market is open
> (I have the dates in a file which is present at the end of THIS mail).
>
> What I have been able to do is to create a list, where each element of the
> list is a sequence for a single day. It was done like below:
>
> for(i in 1:124){
> seqtimes[[i]] = xts(,seq(as.POSIXct(paste(fdates[i],'09:15:00', sep=" ")),
> as.POSIXct(paste(fdates[i],'15:30:00', sep=" ")), by = 1))}
>
> where 'fdates' is the file which contains the dates for which the sequences
> need to be created.
>
> But now I am stuck. I need a way to get all these sequences in a
> (vector/dataframe/xts object) where all the list items are sequentially
> present.
>
> I tried merge.xts, but to no avail.
>
>> seqtimes[[1]]
> Data:
> numeric(0)
>
> Index:
> POSIXct[1:22501], format: "2011-01-03 09:15:00" "2011-01-03 09:15:01"
> "2011-01-03 09:15:02" "2011-01-03 09:15:03" "2011-01-03 09:15:04"
> "2011-01-03 09:15:05" ...
>
>> seqtimes[[2]]
> Data:
> numeric(0)
>
> Index:
> POSIXct[1:22501], format: "2011-01-04 09:15:00" "2011-01-04 09:15:01"
> "2011-01-04 09:15:02" "2011-01-04 09:15:03" "2011-01-04 09:15:04"
> "2011-01-04 09:15:05" ...
>
>> tseq = merge.xts(seqtimes[[1]],seqtimes[[2]], all = TRUE)
>> tseq
> Data:
> numeric(0)
>
> Index:
> integer(0)
>
> Any help would be greatly appreciated.
>
> Thanks in advance,
> Regards,
> Shivam
>
> P.S. - The dput of the fdates file:
>
>> dput(fdates)
> structure(c("2011-01-03", "2011-01-04", "2011-01-05", "2011-01-06",
> "2011-01-07", "2011-01-10", "2011-01-11", "2011-01-12", "2011-01-13",
> "2011-01-14", "2011-01-17", "2011-01-18", "2011-01-19", "2011-01-20",
> "2011-01-21", "2011-01-24", "2011-01-25", "2011-01-27", "2011-01-28",
> "2011-01-31", "2011-02-01", "2011-02-02", "2011-02-03", "2011-02-04",
> "2011-02-07", "2011-02-08", "2011-02-09", "2011-02-10", "2011-02-11",
> "2011-02-14", "2011-02-15", "2011-02-16", "2011-02-17", "2011-02-18",
> "2011-02-21", "2011-02-22", "2011-02-23", "2011-02-24", "2011-02-25",
> "2011-02-28", "2011-03-01", "2011-03-03", "2011-03-04", "2011-03-07",
> "2011-03-08", "2011-03-09", "2011-03-10", "2011-03-11", "2011-03-14",
> "2011-03-15", "2011-03-16", "2011-03-17", "2011-03-18", "2011-03-21",
> "2011-03-22", "2011-03-23", "2011-03-24", "2011-03-25", "2011-03-28",
> "2011-03-29", "2011-03-30", "2011-03-31", "2011-04-01", "2011-04-04",
> "2011-04-05", "2011-04-06", "2011-04-07", "2011-04-08", "2011-04-11",
> "2011-04-13", "2011-04-15", "2011-04-18", "2011-04-19", "2011-04-20",
> "2011-04-21", "2011-04-25", "2011-04-26", "2011-04-27", "2011-04-28",
> "2011-04-29", "2011-05-02", "2011-05-03", "2011-05-04", "2011-05-05",
> "2011-05-06", "2011-05-09", "2011-05-10", "2011-05-11", "2011-05-12",
> "2011-05-13", "2011-05-16", "2011-05-17", "2011-05-18", "2011-05-19",
> "2011-05-20", "2011-05-23", "2011-05-24", "2011-05-25", "2011-05-26",
> "2011-05-27", "2011-05-30", "2011-05-31", "2011-06-01", "2011-06-02",
> "2011-06-03", "2011-06-06", "2011-06-07", "2011-06-08", "2011-06-09",
> "2011-06-10", "2011-06-13", "2011-06-14", "2011-06-15", "2011-06-16",
> "2011-06-17", "2011-06-20", "2011-06-21", "2011-06-22", "2011-06-23",
> "2011-06-24", "2011-06-27", "2011-06-28", "2011-06-29", "2011-06-30"
> ), .Dim = c(124L, 1L))
>
>
>
> On Sat, May 26, 2012 at 6:22 AM, R. Michael Weylandt <
> michael.weylandt at gmail.com> <michael.weylandt at gmail.com> wrote:
>
>> 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]]
>>>
>>> ______________________________________________
>>> 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.
>>
>
>
>
> --
> *Victoria Concordia Crescit*
>
> [[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.
>
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