[R-sig-finance] Re: average values for time series

[Massimo Sabbatini]

Dear all,
I followed Dirk's suggestions and got:

 > IBM <- priceIts("IBM",quote="Close")
Errore in validObject(.Object) : invalid class "its" object: Missing 
values in dates

I tried with other securities but I get the same error.

x1 <- priceIts(instrument=c("^ftse"), start="1998-01-01", quote = "Close")
Errore in validObject(.Object) : invalid class "its" object: Missing 
values in dates

I would appreciate if you could give me any hints.

Best regards,
Massimo



Dirk Eddelbuettel wrote:
> On 27 April 2005 at 06:37, Jonathan Q. wrote:
> | New to R, currently use FAME.  One of the things I like about FAME is
> | that if I have a series, say the near month for a commodity, I can set
> | the series property so when i view weekly data, the data is the
> | average of the daily data.  alternatively, for other series like stock
> 
> There are probably several ways to do that. 
> 
> | prices I can have the series always display the last value (i.e.,
> | monthly would take last value in month vs the average).  also able to
> 
> The its package does that pretty well:
> 
> 
>>library(its)				## verbose output suppressed here
>>IBM<-priceIts("IBM",quote="Close")	## fetches from Yahoo!
>>head(IBM)
> 
>            IBM Close
> 1991-01-02    112.12
> 1991-01-03    112.50
> 1991-01-04    112.12
> 1991-01-07    110.25
> 1991-01-08    109.00
> 1991-01-09    106.87
> 
>>head(extractIts(IBM, find="last", period="week"))
> 
>            IBM Close
> 1991-01-04    112.12
> 1991-01-11    108.12
> 1991-01-18    117.62
> 1991-01-25    122.62
> 1991-02-01    126.87
> 1991-02-08    129.50
> 
>>head(extractIts(IBM, find="last", period="month"))
> 
>            IBM Close
> 1991-01-31    126.75
> 1991-02-28    128.75
> 1991-03-28    113.87
> 1991-04-30    103.00
> 1991-05-31    106.12
> 1991-06-28     97.12
> 
> I just taught myself how to the other part with zoo -- pretty slick:
> 
> 
>>library(zoo)				## once again verbose output nixed
>>IBMzoo <- zoo(IBM)			## turn its object into zoo object
>>head(aggregate(IBMzoo, format(dates(IBM), "%Y-%m"), mean))
> 
> 
> 1991-01 115.4127
> 1991-02 132.2053
> 1991-03 123.3240
> 1991-04 109.6800
> 1991-05 104.2241
> 1991-06 100.8970
> 
> 
> This runs aggregate() over the zoo() object where the on-the-fly factor is
> computed from the underlying POSIXt date representation, and the aggregating
> function, here mean, is then passed over each unique factor set.
> 
> Hope this helps,  Dirk
>