[R-SIG-Finance] Feature request to the xls package. Add to.4hours(x, name)

[Jeff Ryan]

Hi Pierre:

In my version of xts (which may be slightly updated from the CRAN
version --- though available from R-forge).

> to.hourly(xH,k=4)
                   xH.Open xH.High xH.Low xH.Close xH.Volume
2008-07-07 03:00:00  1.5691  1.5705 1.5633   1.5643       945
2008-07-07 07:00:00  1.5642  1.5653 1.5625   1.5641      1277
2008-07-07 11:00:00  1.5640  1.5663 1.5611   1.5658      3058
2008-07-07 15:00:00  1.5659  1.5671 1.5621   1.5634      2660
2008-07-07 19:00:00  1.5633  1.5753 1.5631   1.5745      3139
2008-07-07 23:00:00  1.5744  1.5748 1.5707   1.5722      1240

That matches the output you have.

The ability to use the indexAt argument has just been added.  So now
you can match the output exactly.

> to.hourly(xH,k=4, indexAt='startof')
                   xH.Open xH.High xH.Low xH.Close xH.Volume
2008-07-07 00:00:00  1.5691  1.5705 1.5633   1.5643       945
2008-07-07 04:00:00  1.5642  1.5653 1.5625   1.5641      1277
2008-07-07 08:00:00  1.5640  1.5663 1.5611   1.5658      3058
2008-07-07 12:00:00  1.5659  1.5671 1.5621   1.5634      2660
2008-07-07 16:00:00  1.5633  1.5753 1.5631   1.5745      3139
2008-07-07 20:00:00  1.5744  1.5748 1.5707   1.5722      1240



On Fri, Jul 25, 2008 at 2:57 AM,  <pierre8r-list at yahoo.fr> wrote:
> Hi Jeff,
>
>> I suspect you mean the 'xts' package.  If so try:
>
> Well guess!  ;-)
>
> I have downloaded  hourly and four hours Forex datas from
> http://www.metaquotes.net/
>
> Then I have used :
> to.hourly(x, k=4)
> with the hourly datas to compare.
> But the results are not the same, why ?
>
>
> My R code :
> ----------
>
> library(quantmod)
> library(xts)
>
> Lines <-
> "2008.07.07,00:00,1.5691,1.5705,1.5691,1.5702,58
> 2008.07.07,01:00,1.5701,1.5702,1.5691,1.5694,94
> 2008.07.07,02:00,1.5693,1.5693,1.5650,1.5652,278
> 2008.07.07,03:00,1.5651,1.5667,1.5633,1.5643,515
> 2008.07.07,04:00,1.5642,1.5643,1.5631,1.5637,255
> 2008.07.07,05:00,1.5638,1.5647,1.5634,1.5645,301
> 2008.07.07,06:00,1.5644,1.5653,1.5640,1.5640,341
> 2008.07.07,07:00,1.5641,1.5642,1.5625,1.5641,380
> 2008.07.07,08:00,1.5640,1.5646,1.5617,1.5627,590
> 2008.07.07,09:00,1.5628,1.5639,1.5611,1.5623,810
> 2008.07.07,10:00,1.5622,1.5647,1.5611,1.5643,808
> 2008.07.07,11:00,1.5642,1.5663,1.5642,1.5658,850
> 2008.07.07,12:00,1.5659,1.5667,1.5627,1.5663,802
> 2008.07.07,13:00,1.5665,1.5671,1.5651,1.5654,436
> 2008.07.07,14:00,1.5653,1.5659,1.5641,1.5649,599
> 2008.07.07,15:00,1.5648,1.5651,1.5621,1.5634,823
> 2008.07.07,16:00,1.5633,1.5663,1.5631,1.5663,694
> 2008.07.07,17:00,1.5662,1.5674,1.5645,1.5645,815
> 2008.07.07,18:00,1.5646,1.5718,1.5645,1.5717,840
> 2008.07.07,19:00,1.5716,1.5753,1.5715,1.5745,790
> 2008.07.07,20:00,1.5744,1.5748,1.5725,1.5730,510
> 2008.07.07,21:00,1.5729,1.5730,1.5707,1.5718,438
> 2008.07.07,22:00,1.5719,1.5730,1.5716,1.5726,223
> 2008.07.07,23:00,1.5725,1.5728,1.5720,1.5722,69"
>
> quotes <- read.csv(textConnection(Lines), header=FALSE)
> xH <- as.xts(quotes[,-(1:2)],
> as.POSIXct(paste(quotes[,1],quotes[,2]),format='%Y.%m.%d %H:%M'))
> colnames(xH) <- c('Open','High','Low','Close','Volume')
> xH
>
> x4H <- to.hourly(xH, k=4)
> x4H
>
>
>
> Datas 60 minutes from  http://www.metaquotes.net/ :
> --------------------------------------------------
> 2008.07.07,00:00,1.5691,1.5705,1.5691,1.5702,58
> 2008.07.07,01:00,1.5701,1.5702,1.5691,1.5694,94
> 2008.07.07,02:00,1.5693,1.5693,1.5650,1.5652,278
> 2008.07.07,03:00,1.5651,1.5667,1.5633,1.5643,515
> 2008.07.07,04:00,1.5642,1.5643,1.5631,1.5637,255
> 2008.07.07,05:00,1.5638,1.5647,1.5634,1.5645,301
> 2008.07.07,06:00,1.5644,1.5653,1.5640,1.5640,341
> 2008.07.07,07:00,1.5641,1.5642,1.5625,1.5641,380
> 2008.07.07,08:00,1.5640,1.5646,1.5617,1.5627,590
> 2008.07.07,09:00,1.5628,1.5639,1.5611,1.5623,810
> 2008.07.07,10:00,1.5622,1.5647,1.5611,1.5643,808
> 2008.07.07,11:00,1.5642,1.5663,1.5642,1.5658,850
> 2008.07.07,12:00,1.5659,1.5667,1.5627,1.5663,802
> 2008.07.07,13:00,1.5665,1.5671,1.5651,1.5654,436
> 2008.07.07,14:00,1.5653,1.5659,1.5641,1.5649,599
> 2008.07.07,15:00,1.5648,1.5651,1.5621,1.5634,823
> 2008.07.07,16:00,1.5633,1.5663,1.5631,1.5663,694
> 2008.07.07,17:00,1.5662,1.5674,1.5645,1.5645,815
> 2008.07.07,18:00,1.5646,1.5718,1.5645,1.5717,840
> 2008.07.07,19:00,1.5716,1.5753,1.5715,1.5745,790
> 2008.07.07,20:00,1.5744,1.5748,1.5725,1.5730,510
> 2008.07.07,21:00,1.5729,1.5730,1.5707,1.5718,438
> 2008.07.07,22:00,1.5719,1.5730,1.5716,1.5726,223
> 2008.07.07,23:00,1.5725,1.5728,1.5720,1.5722,69
>
>
> Datas 240 minutes from  http://www.metaquotes.net/ :
> --------------------------------------------------
> 2008.07.07,00:00,1.5691,1.5705,1.5633,1.5643,945
> 2008.07.07,04:00,1.5642,1.5653,1.5625,1.5641,1277
> 2008.07.07,08:00,1.5640,1.5663,1.5611,1.5658,3058
> 2008.07.07,12:00,1.5659,1.5671,1.5621,1.5634,2660
> 2008.07.07,16:00,1.5633,1.5753,1.5631,1.5745,3139
> 2008.07.07,20:00,1.5744,1.5748,1.5707,1.5722,1240
>
>
> Output datas from the R code :
> -----------------------------
>                    xH.Open xH.High xH.Low xH.Close xH.Volume
> 2008-07-07 01:00:00  1.5691  1.5705 1.5691   1.5694       152
> 2008-07-07 05:00:00  1.5693  1.5693 1.5631   1.5645      1349
> 2008-07-07 09:00:00  1.5644  1.5653 1.5611   1.5623      2121
> 2008-07-07 13:00:00  1.5622  1.5671 1.5611   1.5654      2896
> 2008-07-07 17:00:00  1.5653  1.5674 1.5621   1.5645      2931
> 2008-07-07 21:00:00  1.5646  1.5753 1.5645   1.5718      2578
> 2008-07-07 23:00:00  1.5719  1.5730 1.5716   1.5722       292
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com