[R-SIG-Finance] Adding milliseconds to zoo object

[Gabor Grothendieck]

Even though non-unique times form illegal zoo objects, both
zoo() and read.zoo() will allow you to create such illegal zoo objects
with a warning, rather than an error, in order to give you a chance to
fix them up into legal ones.  You can still extract and replace the times
in case you want to apply jitter or fixed increments and aggregate.zoo
will still work in case you want to summarize all points with the same
time into a single point. Here is an example of adding increments via
interpolation with numeric times:

> library(zoo)
> z <- zoo(11:15, c(1, 1, 2, 2, 5))
Warning message:
In zoo(11:15, c(1, 1, 2, 2, 5)) :
  some methods for "zoo" objects do not work if the index entries in
'order.by' are not unique
> z
 1  1  2  2  5
11 12 13 14 15
> time(z) <- na.approx(ifelse(duplicated(time(z)), NA, time(z)))
> z
  1 1.5   2 3.5   5
 11  12  13  14  15


On Dec 26, 2007 11:11 AM, Yuri Volchik <volchik2000 at list.ru> wrote:
> Thank you for replies Gabor & Brian,
>
> Yes I did read the previous threads concerning similar problem and I saw
> Dirk's post:
>
> >> I pad my high-resolution times with an eps=1.0-6 to make them distinct,
> if
> >> need be
>
> So I presume the question is better formulated as how to pad high-resolution
> times with an eps to make them distinct given that we have original index
> with non-unique values, but order in the file reflect their relative
> position inside this time interval.
>
> 2007-12-24 06:14:00  22.00
> 2007-12-24 06:14:00  22.00
> 2007-12-24 06:15:00  22.00
> 2007-12-24 06:15:00  22.00
>
> My current idea is to convert timestamps to factors and run tapply on them,
> but probably there is a better solution.
>
>
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