[R] Math problem with xts objects

[Joshua Ulrich]

On Mon, May 13, 2013 at 6:47 PM, Noah Silverman <noahsilverman at ucla.edu> wrote:
> Hello,
>
> I coming across a strange problem doing math on an xts object.
>
> If I have an xts object of stock prices (perhaps 5 minute bars of open, high, low,close) and want to do some math, the results fail.
>
> For example:
>
> d$close[10] - d$open[10] works perfectly
>
> d$close[10] - d$open[9] fails.  I just get an answer of "numeric(0)  Index: numeric(0)".
>
> My guess is that xts is breaking because the two items in my equation have different time stamps.  However, the actual data is correct, and the xts matrix looks correct.
>
Nothing is broken or strange.  xts' behavior is consistent with zoo,
ts, etc.  What's strange is expecting a time-series class to do
operations independent of time.

> Note:  It works if I do things the loooong way around.
> as.numeric(d$close[10]) - as.numeric( d$open[9] )
>
> But, that is horrendously slow.
>
> Suggestions?
>
Use lag.

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

R/Finance 2013: Applied Finance with R  | www.RinFinance.com