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

[Gabor Grothendieck]

Here is an example using chron:



We will illustrate this using chron and zoo.

First we read in the data.  za is formed
by aggregating by hour, truncating and then
moving up to the next hour.  We convert to
zooreg since lag.zooreg moves by the delta of the
series whereas lag.zoo moves by data points. Then
we convert to ts and back which fills in the missing hours
with NAs and use aggregate to change it back
to chron. Where there is not an NA we put back
the original times and where there is an NA
we stick 0.

library(zoo)
library(chron)

Lines <- "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
"
z <- read.zoo(textConnection(Lines), sep = ",", FUN = as.chron)

za <- lag(as.zooreg(aggregate(z, trunc(time(z), "hour"), sum)), -1)

zfill <- aggregate(as.zoo(as.ts(za)), chron, force)
time(zfill)[!is.na(zfill)] <- time(z)
zfill[is.na(zfill)] <- 0


Thus zfill looks like this:

> zfill
(03/10/08 09:59:49) (03/10/08 10:59:30) (03/10/08 11:54:50) (03/10/08 12:55:25)
            2004.37             1441.56             1445.40              684.18
(03/10/08 14:00:00) (03/10/08 15:00:00) (03/10/08 15:50:41) (03/10/08 16:56:49)
               0.00                0.00             1069.28             3008.19
(03/10/08 17:30:00)
            1101.17

On Mon, Apr 7, 2008 at 7:26 AM,  <anass.mouhsine at sgcib.com> wrote:
>
> 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
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> 2008-03-10 09:54:24 25.28
> 2008-03-10 09:54:43 25.28
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> 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
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> 2008-03-10 10:20:48 25.28
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> 2008-03-10 10:30:39 25.28
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> 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
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> 2008-03-10 10:59:29 25.32
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> 2008-03-10 11:15:18 25.34
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> 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
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> 2008-03-10 11:52:20 25.34
> 2008-03-10 11:52:49 25.34
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> 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
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>
>
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