[R-SIG-Finance] positions in timeSeries object
Sarkar, Arup
arupsarkar at yahoo.com
Tue May 19 02:26:51 CEST 2009
Spencer: If you could forward the solution to my problem I would be
grateful. I am still stuck at the same problem.
Regards
Arup
-----Original Message-----
From: Sarkar, Arup [mailto:arupsarkar at yahoo.com]
Sent: Monday, May 11, 2009 11:05 PM
To: 'spencerg'
Cc: 'r-sig-finance at stat.math.ethz.ch'
Subject: RE: [R-SIG-Finance] positions in timeSeries object
Spencer: Thanks very much for the response, I did install RSiteSearch,
however when I am trying out
tD <- RSiteSearch.function('timeDate') command I am getting the following
error.
> tD <- RSiteSearch.function('timeDate')
Error: could not find function "RSiteSearch.function"
Do I have to install anything else?
Regards
Arup
-----Original Message-----
From: spencerg [mailto:spencer.graves at prodsyse.com]
Sent: Saturday, May 09, 2009 4:17 PM
To: Sarkar, Arup
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] positions in timeSeries object
First you need to examine the results of each step to isolate the
problem.
When I tried to replicate your problem, I first replaced
"as.data.frame(scan(...))" with the following:
DF <- read.table('ibm1.txt', header=TRUE, sep='|')
I also replaced "df" by "DF", because "df" is the function for the
density of an F distribution, and I'd prefer not to mask that with a
data.frame.
After that, I solved the problem by studying the examples in the
help file for "timeDate".
To get there, however, I found that there were two functions
called "timeDate", in packages "timeDate" and "fCalendar". I found this
as follows:
library(RSiteSearch)
tD <- RSiteSearch.function('timeDate')
sum(tD$Function=='timeDate')
HTML(tD[tD$Function=='timeDate', ])
These two functions are probably identical, but I don't know that.
Hope this helps.
Spencer Graves
Sarkar, Arup wrote:
> Hi: I am trying the following code to incorporate positions in the time
> series object. Can some please help me.
>
>
>
> Data File Format:
>
>
>
> SYMBOL|DATE|EX|TIME|PRICE|SIZE|COND|CORR|G127
>
> IBM|11/03/2008|N|9:30:07|93.0800|73600|@|0|0
>
> IBM|11/03/2008|N|9:30:07|92.9700|500|@|0|0
>
> IBM|11/03/2008|N|9:30:07|93.1100|100|@|0|0
>
> IBM|11/03/2008|N|9:30:07|92.9700|100|@|0|0
>
> IBM|11/03/2008|N|9:30:07|92.8500|200|@|0|0
>
> IBM|11/03/2008|N|9:30:07|92.8200|100|@|0|0
>
> IBM|11/03/2008|N|9:30:08|92.7500|100|@|0|0
>
> IBM|11/03/2008|N|9:30:08|92.7500|100|@|0|0
>
> IBM|11/03/2008|N|9:30:08|92.7500|100|@|0|0
>
> IBM|11/03/2008|N|9:30:08|92.7500|100|@|0|0
>
> IBM|11/03/2008|N|9:30:08|92.7500|100|@|0|0
>
> IBM|11/03/2008|N|9:30:08|93.0000|100|@|0|0
>
>
>
> R script:
>
>
>
> ## Columns Names
>
> fields.list =
> list(Symbol="",Date="",Ex="",Time="",Price=0,Size=0,Cond="",Corr=0,G127=0)
>
> #create a data frame
>
> df =
>
as.data.frame(scan(file="c:/ibm_1.txt",what=fields.list,sep="|",skip=1,multi
> .line=TRUE,strip.white=TRUE),stringsAsFactors=F)
>
> dates.tmp = timeDate(charvec = df[, "Date"])
>
> times.tmp = df[, "Time"]
>
> td.tmp = paste(dates.tmp,times.tmp, sep=" ")
>
> ans = timeSeries(data = df[, setdiff(colIds(df), c("Date","Time"))],pos =
> td.tmp)
>
>
>
> I am getting the following output when I am using the following command
> ans[1:5, ]
>
>
>
> Symbol Ex Price Size Cond Corr G127
>
> 1 "IBM" "N" "93.08" " 73600" "@" "0" "0"
>
> 2 "IBM" "N" "92.97" " 500" "@" "0" "0"
>
> 3 "IBM" "N" "93.11" " 100" "@" "0" "0"
>
> 4 "IBM" "N" "92.97" " 100" "@" "0" "0"
>
> 5 "IBM" "N" "92.85" " 200" "@" "0" "0"
>
>
>
> I want to have the following output, how can I achieve it. Any help is
> highly appreciated.
>
>
>
> Positions Symbol Ex Price Size Cond Corr G127
>
> "11/03/2008 9:30:07" "IBM" "N" "93.08" " 73600" "@" "0" "0"
>
> "11/03/2008 9:30:07" "IBM" "N" "92.97" " 500" "@" "0" "0"
>
> "11/03/2008 9:30:07" "IBM" "N" "93.11" " 100" "@" "0" "0"
>
> "11/03/2008 9:30:07" "IBM" "N" "92.97" " 100" "@" "0" "0"
>
> "11/03/2008 9:30:07" "IBM" "N" "92.85" " 200" "@" "0" "0"
>
>
>
>
> [[alternative HTML version deleted]]
>
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