[R-SIG-Finance] Milliseconds to proper date/time class

[Jeff Ryan]

A quick comment:

I think options('digits.secs'=6) might need to be set as well to be
able to see the fractional part of the second.

Jeff

On Feb 8, 2008 8:45 AM, Dirk Eddelbuettel <edd at debian.org> wrote:
>
> On 8 February 2008 at 10:49, guiseppe.milicia at hsbcib.com wrote:
> | Guys,
> |
> | I'm importing high frequency time series data into R. I'm using the zoo
> | timeseries class which works quite well.
> |
> | At the moment the times of my series are specified as milliseconds since
> | epoch. The issue is that the X axis in plots is not all that useful, the
> | same goes for things like window, etc.
> |
> | I was wondering what would be the reccomended way to convert from that
> | representation to a proper date/time representation that works with zoo,
> | e.g. Posixct?
>
> Not sure about "recommended" but here is one. Note that 'basic C type' is
> seconds since epoch, so you need to scale up from millisecs. Then given a
> vector of type "numeric" with timestamps in seconds since epoch (incl
> fractional seconds), you can obtain POSIXt object by adding the epoch itself
> -- and this is key -- as a proper POSIXt type, eg use this
>
> > options('width'=70)
> > xvec <- Sys.time() + sort(runif(4)*100)
> > xvec
> [1] "2008-02-08 08:39:02.412544 CST" "2008-02-08 08:39:33.635201 CST"
> [3] "2008-02-08 08:39:44.867410 CST" "2008-02-08 08:39:52.813029 CST"
> > dvec <- as.numeric(xvec)
> > dvec
> [1] 1202481542 1202481574 1202481585 1202481593
> > diff(dvec)                              ## ie it really has fractional secs
> [1] 31.22266 11.23221  7.94562
> > newXvec <- dvec + ISOdatetime(1970,1,1,0,0,0) - 6*60*60  ## Chicago is 6hrs off
> > newXvec
> [1] "2008-02-08 08:39:02.412544 CST" "2008-02-08 08:39:33.635201 CST"
> [3] "2008-02-08 08:39:44.867410 CST" "2008-02-08 08:39:52.813029 CST"
> >
>
> The GMT offset is a little tricky, but there are ways to work that out too.
>
> | SAVE PAPER - THINK BEFORE YOU PRINT!
>
> We should use that for r-help. SAVE ELECTRONS - THINK BEFORE YOU PRESS SEND!
>
> Dirk
>
> --
> Three out of two people have difficulties with fractions.
>
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>



-- 
There's a way to do it better - find it.
Thomas A. Edison