

Alright, one more idea - try the zoo merge function. According to the documentation, it allows intersection based on the index. Later you can remove the columns that you don't need. Something like:

 

C = merge(A, B, all=FALSE) --- the last parameter request intersect instead of union

 

now you only need to remove the columns that you don't need from C:).

 

Hope this helps,

Ivan

 
> Date: Sun, 13 Dec 2009 15:30:35 -0800
> From: shefaat@googlemail.com
> To: r-help@r-project.org
> Subject: Re: [R] Need help to complete missing value (Date and Time) in Sp500 Data
> 
> 
> 
> Hi Ivan,
> thanks for the code. 
> I think the other way would be to compare the both data series and remove
> (shorted) the longest. For that I need a function to compare this both
> Matrices and then cut the rows. 
> I did not find any proper packege in R to compare vectors or matrices( in
> respect to one date/time colomb). 
> The routin must be (I think): Compare the date/time colomb of both matrices
> (or ts object) and then remove the redunant rows.
> 
> I know I asked before for extended the rows but after checking the data I
> saw that the holidays make trouble and the only what I must do is compare
> and remov.
> 
> 
> 
> Thanks.
> 
> 
> ivan popivanov wrote:
> > 
> > 
> > Hi Hamid,
> > 
> > Not sure why would you need missing data, but you can definitely generate
> > it:).
> > 
> > 
> > 
> > A few random thoughts:
> > 
> > First, you can generate all possible timestamps from the beginning to the
> > end of the interval (skipping weekends and skipping the stamps when the
> > markets are closed). Then for each of yours time series, you can check
> > whether it has the missing timestamps.
> > 
> > 
> > 
> > To generate the full set of timestamps, you can use R of course - POSIXlt
> > and POSIXct are the classes to take a look at. They both support
> > arithmetic like adding seconds and IMO can be used together with any time
> > series.
> > 
> > 
> > 
> > I also have a little C# program which generates timestamps in a given
> > interval - let me know and I will send it to you. Then if you are using
> > one of the time series packages in R (xts, zoo, etc) you can check whether
> > a particular timestamp exists like:
> > 
> > 
> > 
> > if(length(gspc["2009-12-05"]) != 0) --- this will be true if the time
> > series gspc has the date.
> > 
> > 
> > 
> > Regards,
> > 
> > Ivan
> > 
> >> Date: Sun, 13 Dec 2009 13:08:25 -0800
> >> From: shefaat@googlemail.com
> >> To: r-help@r-project.org
> >> Subject: Re: [R] Need help to complete missing value (Date and Time) in
> >> Sp500 Data
> >> 
> >> 
> >> Hi uwe,
> >> here the example:
> >> 1) Dataset sp500 has values at 01.05.2008:
> >> 
> >> 30.04.2008 21:56;1.385,63;1.385,63;1.385,14;1.385,14;0
> >> 30.04.2008 21:57;1.385,67;1.385,67;1.384,48;1.384,48;0
> >> 30.04.2008 21:58;1.384,74;1.384,91;1.384,27;1.384,91;0
> >> 30.04.2008 21:59;1.385,05;1.385,81;1.385,05;1.385,08;0
> >> 01.05.2008 15:30;1.385,97;1.385,97;1.384,14;1.384,54;0
> >> 01.05.2008 15:31;1.384,61;1.385,30;1.384,61;1.385,30;0
> >> 01.05.2008 15:32;1.385,03;1.385,54;1.385,03;1.385,54;0
> >> 01.05.2008 15:33;1.386,01;1.386,01;1.385,56;1.385,83;0
> >> 01.05.2008 15:34;1.385,61;1.385,61;1.385,00;1.385,00;0
> >> 01.05.2008 15:35;1.384,72;1.385,29;1.384,72;1.385,12;0
> >> 01.05.2008 15:36;1.385,26;1.385,26;1.384,47;1.384,48;0
> >> 01.05.2008 15:37;1.384,11;1.384,11;1.383,89;1.383,89;0
> >> 01.05.2008 15:38;1.383,63;1.383,75;1.383,33;1.383,75;0
> >> 01.05.2008 15:39;1.383,90;1.384,29;1.383,76;1.383,76;0
> >> 01.05.2008 15:40;1.383,66;1.383,66;1.383,07;1.383,08;0
> >> 01.05.2008 15:41;1.383,16;1.383,39;1.383,16;1.383,31;0
> >> 01.05.2008 15:42;1.383,70;1.383,94;1.383,69;1.383,69;0
> >> 01.05.2008 15:43;1.384,11;1.385,12;1.384,11;1.385,12;0
> >> 01.05.2008 15:44;1.385,26;1.385,72;1.385,26;1.385,72;0
> >> 01.05.2008 15:45;1.385,83;1.386,78;1.385,83;1.386,78;0
> >> 01.05.2008 15:46;1.386,89;1.387,09;1.386,89;1.386,96;0
> >> 01.05.2008 15:47;1.386,74;1.386,94;1.386,73;1.386,73;0
> >> 
> >> 2) but in the dataset dax (because the 1.5 is not work day in Germany )
> >> is
> >> missing all the minute data. (there are some of these days the data
> >> missing)
> >> 
> >> 30.04.2008 17:28;6.947,29;6.947,69;6.944,64;6.946,21;547.527
> >> 30.04.2008 17:29;6.945,92;6.948,49;6.945,10;6.945,83;888.986
> >> 02.05.2008 09:00;6.982,06;6.982,06;6.980,25;6.980,88;1.202.110
> >> 02.05.2008 09:01;6.980,08;6.980,75;6.971,93;6.971,93;367.080
> >> 02.05.2008 09:02;6.972,88;7.031,30;6.972,88;7.026,16;2.097.588
> >> 02.05.2008 09:03;7.026,72;7.029,12;7.024,96;7.027,16;373.875
> >> 02.05.2008 09:04;7.027,06;7.029,64;7.024,17;7.026,32;421.565
> >> 02.05.2008 09:05;7.026,32;7.026,67;7.022,40;7.025,08;490.090
> >> 02.05.2008 09:06;7.024,21;7.025,31;7.021,45;7.021,70;500.031
> >> 02.05.2008 09:07;7.021,72;7.022,31;7.015,32;7.015,76;486.933
> >> 02.05.2008 09:08;7.017,90;7.022,94;7.017,90;7.022,23;461.801
> >> 02.05.2008 09:09;7.022,23;7.022,55;7.018,54;7.018,99;593.412
> >> 
> >> 
> >> 
> >> Uwe Ligges-3 wrote:
> >> > 
> >> > 
> >> > 
> >> > Hamid wrote:
> >> >> Hi Uwe,
> >> >> yes you are right, but I just wanted to show the date format I use.
> >> The
> >> >> whole data is very huge (about 20000 rows).
> >> >> 
> >> >> Nevertheless I like first to find the missing dates/Times. Then put 0.
> >> I
> >> >> know they are some different approach to impute missing data, but for
> >> me
> >> >> is
> >> >> important to find a way to identify the missing gaps and then put the
> >> >> values
> >> >> (I think then it is not complicated to put other values instead of
> >> zero).
> >> >> Do you have any idea to find it out and put the values in ?
> >> > 
> >> > 
> >> > 
> >> > Well, the problem is that I cannot imagine how your "gaps" look like, 
> >> > hence I asked for the example. Please provide an example (just a few 
> >> > rows) of the data how it looks like and then how you want it to be 
> >> > afterwards.
> >> > 
> >> > That would be very helpful to allow readers of the list to respond.
> >> > 
> >> > Uwe Ligges
> >> > 
> >> > 
> >> > 
> >> >> Thanks in advance
> >> >> Hamid
> >> >> 
> >> >> Uwe Ligges-3 wrote:
> >> >>>
> >> >>>
> >> >>> Hamid wrote:
> >> >>>> Dear all,
> >> >>>> here my problem my be somone can help to solve this.
> >> >>>>
> >> >>>> I have tow timeseries from different stock market with different
> >> length
> >> >>>> (diff ca. 4000 )
> >> >>>> Now I would to add the missing times of the one of this series with
> >> >>>> proper
> >> >>>> time (they are minute data) and set the value to 0 since I need to
> >> have
> >> >>>> the
> >> >>>> same length for my calculation. 
> >> >>>>
> >> >>>> I tried to use the seq in R and merge but without success because of
> >> >>>> format
> >> >>>> of the date.
> >> >>>> My data of one vector i like to complete and extend to the length of
> >> >>>> the
> >> >>>> other vectors looks like:
> >> >>> Well, this seems to be very complete, hence no idea what you want to 
> >> >>> add, please specify a reproducible example.
> >> >>>
> >> >>> Uwe Ligges
> >> >>>
> >> >>>
> >> >>>
> >> >>>> Date;open;hight;low;close;Volume
> >> >>>> 02.04.2008 09:00;6.749,24;6.755,55;6.746,89;6.754,11;0
> >> >>>> 02.04.2008 09:01;6.754,70;6.754,70;6.748,13;6.749,55;0
> >> >>>> 02.04.2008 09:02;6.749,36;6.757,00;6.745,50;6.749,38;0
> >> >>>> 02.04.2008 09:03;6.748,08;6.753,84;6.748,08;6.753,84;0
> >> >>>> 02.04.2008 09:04;6.753,79;6.755,59;6.752,18;6.752,41;0
> >> >>>> 02.04.2008 09:05;6.753,23;6.753,23;6.748,17;6.748,47;0
> >> >>>> 02.04.2008 09:06;6.749,43;6.750,62;6.748,22;6.748,26;0
> >> >>>> 02.04.2008 09:07;6.748,26;6.748,89;6.745,54;6.745,54;0
> >> >>>> 02.04.2008 09:08;6.745,49;6.746,58;6.744,82;6.745,58;0
> >> >>>> 02.04.2008 09:09;6.745,62;6.745,98;6.741,47;6.741,55;0
> >> >>>> 02.04.2008 09:10;6.741,58;6.741,73;6.737,21;6.739,85;0
> >> >>>> 02.04.2008 09:11;6.739,10;6.742,81;6.738,24;6.742,53;0
> >> >>>> 02.04.2008 09:12;6.742,32;6.742,80;6.740,42;6.741,81;0
> >> >>>> 02.04.2008 09:13;6.741,84;6.744,78;6.741,84;6.744,60;0
> >> >>>> 02.04.2008 09:14;6.744,60;6.744,60;6.740,54;6.740,54;0
> >> >>>> 02.04.2008 09:15;6.740,45;6.740,67;6.736,32;6.737,68;0
> >> >>>> 02.04.2008 09:16;6.737,72;6.740,68;6.737,45;6.740,11;0
> >> >>>> 02.04.2008 09:17;6.740,04;6.746,34;6.740,04;6.746,34;0
> >> >>>> 02.04.2008 09:18;6.746,21;6.750,64;6.746,21;6.749,99;0
> >> >>>> 02.04.2008 09:19;6.750,61;6.752,95;6.749,07;6.750,69;0
> >> >>>> 02.04.2008 09:20;6.750,82;6.751,01;6.748,20;6.750,74;0
> >> >>>> 02.04.2008 09:21;6.750,57;6.752,98;6.748,62;6.752,98;0
> >> >>>> 02.04.2008 09:22;6.752,74;6.756,24;6.752,74;6.753,84;0
> >> >>>> 02.04.2008 09:23;6.753,90;6.755,51;6.752,70;6.753,05;0
> >> >>>>
> >> >>>> Thanks in advance for any help!
> >> >>>> H.
> >> >>> ______________________________________________
> >> >>> R-help@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.
> >> >>>
> >> >>>
> >> >>
> >> > 
> >> > ______________________________________________
> >> > R-help@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.
> >> > 
> >> > 
> >> 
> >> -- 
> >> View this message in context:
> >> http://n4.nabble.com/Need-help-to-complete-missing-value-Date-and-Time-in-Sp500-Data-tp962671p963123.html
> >> Sent from the R help mailing list archive at Nabble.com.
> >> 
> >> ______________________________________________
> >> R-help@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.
> > 
> > 
> > _________________________________________________________________
> > 
> > 
> > [[alternative HTML version deleted]]
> > 
> > ______________________________________________
> > R-help@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.
> > 
> > 
> 
> -- 
> View this message in context: http://n4.nabble.com/Need-help-to-complete-missing-value-Date-and-Time-in-Sp500-Data-tp962671p963182.html
> Sent from the R help mailing list archive at Nabble.com.
> 
> ______________________________________________
> R-help@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.
 		 	   		  
_________________________________________________________________

ail you.

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