[R-SIG-Finance] [R-sig-finance] endpoints function in package xts [C1]

[anass.mouhsine at sgcib.com]

Hi All,

I have an issue with endpoints in package xts.
Assume that I have a timeSeries of a tick by tick price and that I want to
get an hourly sum aggregation

> ep<-endpoints(temp,'hours',1)
>ans<-xts:::period.sum(temp[,1],ep)

this should do, but the problem is that in my set of data, I don't have any
data between 12h55 and 15h26.
so when it returns ans , ans equals:

2008-03-10 09:59:49 2004.37
2008-03-10 10:59:30 1441.56
2008-03-10 11:54:50 1445.40
2008-03-10 12:55:25  684.18
2008-03-10 15:50:41 1069.28
2008-03-10 16:56:49 3008.19
2008-03-10 17:30:00 1101.17

but I want something like

2008-03-10 09:59:49 2004.37
2008-03-10 10:59:30 1441.56
2008-03-10 11:54:50 1445.40
2008-03-10 12:55:25  684.18
2008-03-10 14:00:00 0
2008-03-10 15:00:00 0
2008-03-10 15:50:41 1069.28
2008-03-10 16:56:49 3008.19
2008-03-10 17:30:00 1101.17

Do you have any idea on how to perform this task?

Thanks in davance.

Anass

P.S: you will find below the timeSeries temp.

> temp
                                   V6
2008-03-10 09:00:00  0.00
2008-03-10 09:00:01 25.65
2008-03-10 09:00:01 25.65
2008-03-10 09:00:05 25.65
2008-03-10 09:03:03 25.65
2008-03-10 09:16:06 25.65
2008-03-10 09:16:18 25.65
2008-03-10 09:16:29 25.65
2008-03-10 09:16:29 25.65
2008-03-10 09:27:43 25.65
2008-03-10 09:27:43 25.65
2008-03-10 09:28:44 25.65
2008-03-10 09:28:44 25.65
2008-03-10 09:29:39 25.65
2008-03-10 09:29:39 25.65
2008-03-10 09:30:44 25.65
2008-03-10 09:36:36 25.65
2008-03-10 09:38:37 25.65
2008-03-10 09:38:37 25.65
2008-03-10 09:40:36 25.65
2008-03-10 09:44:47 25.50
2008-03-10 09:44:47 25.28
2008-03-10 09:44:47 25.28
2008-03-10 09:44:47 25.28
2008-03-10 09:44:47 25.28
2008-03-10 09:44:47 25.28
2008-03-10 09:44:48 25.28
2008-03-10 09:44:48 25.28
2008-03-10 09:44:48 25.28
2008-03-10 09:44:48 25.28
2008-03-10 09:44:48 25.28
2008-03-10 09:44:53 25.28
2008-03-10 09:45:44 25.28
2008-03-10 09:47:05 25.28
2008-03-10 09:47:05 25.28
2008-03-10 09:47:05 25.28
2008-03-10 09:47:52 25.28
2008-03-10 09:47:52 25.28
2008-03-10 09:50:44 25.28
2008-03-10 09:50:45 25.28
2008-03-10 09:50:45 25.28
2008-03-10 09:50:45 25.28
2008-03-10 09:51:42 25.28
2008-03-10 09:51:43 25.28
2008-03-10 09:51:43 25.28
2008-03-10 09:51:43 25.28
2008-03-10 09:51:43 25.28
2008-03-10 09:51:43 25.28
2008-03-10 09:51:44 25.28
2008-03-10 09:51:44 25.28
2008-03-10 09:51:44 25.28
2008-03-10 09:52:42 25.28
2008-03-10 09:52:42 25.28
2008-03-10 09:52:43 25.28
2008-03-10 09:52:43 25.28
2008-03-10 09:52:43 25.28
2008-03-10 09:52:43 25.28
2008-03-10 09:53:40 25.28
2008-03-10 09:53:40 25.28
2008-03-10 09:53:41 25.28
2008-03-10 09:53:41 25.28
2008-03-10 09:54:24 25.28
2008-03-10 09:54:24 25.28
2008-03-10 09:54:43 25.28
2008-03-10 09:54:43 25.28
2008-03-10 09:54:44 25.28
2008-03-10 09:54:44 25.28
2008-03-10 09:54:44 25.28
2008-03-10 09:54:44 25.28
2008-03-10 09:54:44 25.28
2008-03-10 09:54:44 25.28
2008-03-10 09:55:47 25.28
2008-03-10 09:55:47 25.28
2008-03-10 09:55:48 25.28
2008-03-10 09:55:48 25.28
2008-03-10 09:55:48 25.28
2008-03-10 09:59:04 25.28
2008-03-10 09:59:05 25.28
2008-03-10 09:59:49 25.28
2008-03-10 09:59:49 25.28
2008-03-10 10:00:45 25.28
2008-03-10 10:01:39 25.28
2008-03-10 10:01:39 25.28
2008-03-10 10:03:32 25.28
2008-03-10 10:05:31 25.28
2008-03-10 10:05:31 25.28
2008-03-10 10:07:32 25.28
2008-03-10 10:07:32 25.28
2008-03-10 10:07:32 25.28
2008-03-10 10:07:32 25.28
2008-03-10 10:07:32 25.28
2008-03-10 10:07:32 25.28
2008-03-10 10:08:34 25.28
2008-03-10 10:08:34 25.28
2008-03-10 10:08:34 25.28
2008-03-10 10:08:34 25.28
2008-03-10 10:09:30 25.28
2008-03-10 10:09:30 25.28
2008-03-10 10:10:25 25.28
2008-03-10 10:10:25 25.28
2008-03-10 10:11:25 25.28
2008-03-10 10:11:25 25.28
2008-03-10 10:12:24 25.28
2008-03-10 10:13:26 25.28
2008-03-10 10:14:31 25.28
2008-03-10 10:14:31 25.28
2008-03-10 10:15:35 25.28
2008-03-10 10:15:35 25.28
2008-03-10 10:16:38 25.28
2008-03-10 10:16:38 25.28
2008-03-10 10:16:53 25.28
2008-03-10 10:19:53 25.28
2008-03-10 10:19:54 25.28
2008-03-10 10:20:12 25.28
2008-03-10 10:20:48 25.28
2008-03-10 10:20:48 25.28
2008-03-10 10:24:52 25.28
2008-03-10 10:24:53 25.28
2008-03-10 10:24:53 25.28
2008-03-10 10:30:39 25.28
2008-03-10 10:30:39 25.28
2008-03-10 10:30:40 25.28
2008-03-10 10:47:27 25.32
2008-03-10 10:47:27 25.32
2008-03-10 10:47:28 25.32
2008-03-10 10:47:28 25.32
2008-03-10 10:47:29 25.32
2008-03-10 10:52:55 25.32
2008-03-10 10:55:51 25.32
2008-03-10 10:55:51 25.32
2008-03-10 10:55:51 25.32
2008-03-10 10:55:51 25.32
2008-03-10 10:55:51 25.32
2008-03-10 10:55:51 25.32
2008-03-10 10:59:29 25.32
2008-03-10 10:59:30 25.32
2008-03-10 10:59:30 25.32
2008-03-10 11:01:45 25.51
2008-03-10 11:01:45 25.51
2008-03-10 11:01:46 25.51
2008-03-10 11:01:46 25.51
2008-03-10 11:01:46 25.51
2008-03-10 11:13:50 25.51
2008-03-10 11:15:18 25.34
2008-03-10 11:15:18 25.34
2008-03-10 11:15:19 25.34
2008-03-10 11:15:19 25.34
2008-03-10 11:15:19 25.34
2008-03-10 11:22:53 25.34
2008-03-10 11:24:09 25.34
2008-03-10 11:32:15 25.34
2008-03-10 11:39:42 25.34
2008-03-10 11:39:55 25.34
2008-03-10 11:39:56 25.34
2008-03-10 11:39:56 25.34
2008-03-10 11:39:56 25.34
2008-03-10 11:39:56 25.34
2008-03-10 11:39:56 25.34
2008-03-10 11:40:56 25.34
2008-03-10 11:40:56 25.34
2008-03-10 11:40:57 25.34
2008-03-10 11:40:57 25.34
2008-03-10 11:40:57 25.34
2008-03-10 11:40:57 25.34
2008-03-10 11:43:22 25.34
2008-03-10 11:43:23 25.34
2008-03-10 11:43:59 25.34
2008-03-10 11:43:59 25.34
2008-03-10 11:47:54 25.34
2008-03-10 11:47:54 25.34
2008-03-10 11:48:51 25.34
2008-03-10 11:48:51 25.34
2008-03-10 11:49:46 25.34
2008-03-10 11:49:46 25.34
2008-03-10 11:50:17 25.34
2008-03-10 11:50:18 25.34
2008-03-10 11:50:18 25.34
2008-03-10 11:50:18 25.34
2008-03-10 11:50:19 25.34
2008-03-10 11:50:19 25.34
2008-03-10 11:50:48 25.34
2008-03-10 11:50:48 25.34
2008-03-10 11:51:49 25.34
2008-03-10 11:51:49 25.34
2008-03-10 11:52:20 25.34
2008-03-10 11:52:20 25.34
2008-03-10 11:52:49 25.34
2008-03-10 11:54:28 25.34
2008-03-10 11:54:28 25.34
2008-03-10 11:54:28 25.34
2008-03-10 11:54:28 25.34
2008-03-10 11:54:28 25.34
2008-03-10 11:54:28 25.34
2008-03-10 11:54:50 25.34
2008-03-10 12:31:29 25.34
2008-03-10 12:31:34 25.34
2008-03-10 12:31:35 25.34
2008-03-10 12:31:35 25.34
2008-03-10 12:31:35 25.34
2008-03-10 12:31:42 25.34
2008-03-10 12:31:42 25.34
2008-03-10 12:31:46 25.34
2008-03-10 12:31:47 25.34
2008-03-10 12:31:47 25.34
2008-03-10 12:31:47 25.34
2008-03-10 12:31:47 25.34
2008-03-10 12:31:52 25.34
2008-03-10 12:31:56 25.34
2008-03-10 12:31:57 25.34
2008-03-10 12:31:57 25.34
2008-03-10 12:31:57 25.34
2008-03-10 12:31:57 25.34
2008-03-10 12:31:58 25.34
2008-03-10 12:42:21 25.34
2008-03-10 12:55:24 25.34
2008-03-10 12:55:24 25.34
2008-03-10 12:55:25 25.34
2008-03-10 12:55:25 25.34
2008-03-10 12:55:25 25.34
2008-03-10 12:55:25 25.34
2008-03-10 12:55:25 25.34
2008-03-10 15:26:24 25.68
2008-03-10 15:26:24 25.68
2008-03-10 15:26:24 25.68
2008-03-10 15:26:24 25.68
2008-03-10 15:26:24 25.68
2008-03-10 15:26:25 25.68
2008-03-10 15:26:25 25.68
2008-03-10 15:31:24 25.68
2008-03-10 15:31:24 25.68
2008-03-10 15:46:56 25.68
2008-03-10 15:46:56 25.68
2008-03-10 15:46:56 25.68
2008-03-10 15:47:02 25.68
2008-03-10 15:48:12 25.42
2008-03-10 15:48:12 25.42
2008-03-10 15:48:13 25.42
2008-03-10 15:48:13 25.42
2008-03-10 15:48:13 25.42
2008-03-10 15:49:06 25.42
2008-03-10 15:49:06 25.42
2008-03-10 15:49:06 25.35
2008-03-10 15:49:06 25.35
2008-03-10 15:49:06 25.34
2008-03-10 15:49:06 25.34
2008-03-10 15:49:06 25.34
2008-03-10 15:49:06 25.34
2008-03-10 15:49:06 25.34
2008-03-10 15:49:06 25.34
2008-03-10 15:49:06 25.34
2008-03-10 15:49:17 25.34
2008-03-10 15:49:45 25.34
2008-03-10 15:49:45 25.34
2008-03-10 15:49:45 25.34
2008-03-10 15:49:45 25.34
2008-03-10 15:49:45 25.34
2008-03-10 15:49:45 25.34
2008-03-10 15:50:40 25.34
2008-03-10 15:50:40 25.34
2008-03-10 15:50:40 25.34
2008-03-10 15:50:40 25.34
2008-03-10 15:50:40 25.34
2008-03-10 15:50:41 25.34
2008-03-10 16:02:12 25.35
2008-03-10 16:02:12 25.35
2008-03-10 16:02:12 25.35
2008-03-10 16:02:13 25.35
2008-03-10 16:14:02 25.35
2008-03-10 16:14:02 25.35
2008-03-10 16:14:13 25.35
2008-03-10 16:14:16 25.34
2008-03-10 16:14:16 25.30
2008-03-10 16:14:16 25.30
2008-03-10 16:14:17 25.30
2008-03-10 16:14:17 25.30
2008-03-10 16:14:17 25.30
2008-03-10 16:14:17 25.30
2008-03-10 16:14:18 25.30
2008-03-10 16:14:18 25.30
2008-03-10 16:14:18 25.30
2008-03-10 16:14:20 25.30
2008-03-10 16:14:33 25.30
2008-03-10 16:14:33 25.30
2008-03-10 16:14:34 25.30
2008-03-10 16:14:34 25.30
2008-03-10 16:14:34 25.30
2008-03-10 16:14:34 25.30
2008-03-10 16:14:45 25.30
2008-03-10 16:15:15 25.30
2008-03-10 16:15:37 25.30
2008-03-10 16:15:37 25.30
2008-03-10 16:15:38 25.30
2008-03-10 16:15:38 25.30
2008-03-10 16:15:38 25.30
2008-03-10 16:15:38 25.30
2008-03-10 16:16:37 25.30
2008-03-10 16:16:37 25.30
2008-03-10 16:16:38 25.30
2008-03-10 16:16:38 25.30
2008-03-10 16:16:38 25.30
2008-03-10 16:16:38 25.30
2008-03-10 16:22:46 25.35
2008-03-10 16:22:46 25.35
2008-03-10 16:22:46 25.35
2008-03-10 16:22:47 25.35
2008-03-10 16:22:47 25.35
2008-03-10 16:22:47 25.35
2008-03-10 16:22:47 25.35
2008-03-10 16:22:47 25.35
2008-03-10 16:22:48 25.35
2008-03-10 16:23:46 25.35
2008-03-10 16:23:46 25.35
2008-03-10 16:23:47 25.35
2008-03-10 16:23:47 25.35
2008-03-10 16:23:47 25.35
2008-03-10 16:23:47 25.35
2008-03-10 16:24:43 25.35
2008-03-10 16:24:43 25.35
2008-03-10 16:24:44 25.35
2008-03-10 16:24:44 25.35
2008-03-10 16:24:44 25.35
2008-03-10 16:24:44 25.35
2008-03-10 16:25:07 25.35
2008-03-10 16:25:07 25.35
2008-03-10 16:25:41 25.35
2008-03-10 16:25:42 25.35
2008-03-10 16:25:42 25.35
2008-03-10 16:25:42 25.35
2008-03-10 16:25:42 25.35
2008-03-10 16:25:42 25.35
2008-03-10 16:25:42 25.35
2008-03-10 16:25:42 25.35
2008-03-10 16:25:43 25.35
2008-03-10 16:26:38 25.35
2008-03-10 16:26:38 25.35
2008-03-10 16:26:39 25.35
2008-03-10 16:32:49 25.35
2008-03-10 16:34:38 25.35
2008-03-10 16:35:09 25.35
2008-03-10 16:35:10 25.35
2008-03-10 16:35:10 25.35
2008-03-10 16:35:29 25.20
2008-03-10 16:35:29 25.20
2008-03-10 16:35:30 25.20
2008-03-10 16:35:30 25.20
2008-03-10 16:35:33 25.20
2008-03-10 16:35:33 25.20
2008-03-10 16:35:33 25.20
2008-03-10 16:35:34 25.20
2008-03-10 16:36:12 25.20
2008-03-10 16:36:12 25.20
2008-03-10 16:40:28 25.20
2008-03-10 16:43:42 25.20
2008-03-10 16:43:43 25.20
2008-03-10 16:44:24 25.20
2008-03-10 16:44:25 25.20
2008-03-10 16:44:25 25.20
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2008-03-10 16:52:29 25.20
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2008-03-10 16:53:00 25.20
2008-03-10 16:53:00 25.20
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2008-03-10 16:53:23 25.20
2008-03-10 16:54:27 25.20
2008-03-10 16:54:56 25.20
2008-03-10 16:55:30 25.20
2008-03-10 16:55:31 25.20
2008-03-10 16:55:31 25.20
2008-03-10 16:56:27 25.20
2008-03-10 16:56:27 25.10
2008-03-10 16:56:27 25.10
2008-03-10 16:56:28 25.10
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2008-03-10 16:56:49 25.10
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2008-03-10 17:03:56 25.10
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2008-03-10 17:05:59 25.06
2008-03-10 17:05:59 25.06
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2008-03-10 17:06:00 25.06
2008-03-10 17:06:00 25.06
2008-03-10 17:06:01 25.06
2008-03-10 17:06:12 25.05
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2008-03-10 17:07:03 25.05
2008-03-10 17:07:16 25.05
2008-03-10 17:08:02 25.05
2008-03-10 17:08:02 25.01
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