[R] Query about creating time sequences

[Gabor Grothendieck]

On Sun, May 27, 2012 at 8:01 PM, Shivam <shivamsingh at gmail.com> wrote:
> Its not the number of days per se, it is the random gaps between the dates
> (corresponding to the dates on which the security market was closed) which
> will be difficult to accommodate in the solution proposed by you. So I would
> have to remove the sequence corresponding to those days from the entire
> sequence. This was the part which I deemed as difficult to achieve.
> I had mentioned this issue in my previous mails but you might have missed
> it.
>

If dd is a vector of the dates you want then just change the last line
to choose only those using as.Date(tseq, tz = "") %in% dd as below:

dd <- as.Date(c("2011-01-03", "2011-01-04")) ##

from <- as.POSIXct(paste(dd[1], "09:15:00")) ##
to <- as.POSIXct(paste(tail(dd, 1), "15:30:00")) ##

tseq <- seq(from, to, "1 min")

tt <- format(tseq, "%H:%M:%S")
tresult <- tseq[tt >= "09:30:00" & tt <= "15:30:00" & as.Date(tseq, tz
= "") %in% dd] ##

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