[R-SIG-Finance] positions in timeSeries object
Shane Conway
shane.conway at gmail.com
Tue May 19 15:22:21 CEST 2009
You just need to format your input dates.
For instance:
> strptime('11/03/2008 9:30:07', "%m/%d/%Y %H:%M:%S")
[1] "2008-11-03 09:30:07 GMT"
Or using the Rmetrics function:
> strptimeDate('11/03/2008 9:30:07', "%m/%d/%Y %H:%M:%S")
GMT
[1] [2008-11-03 09:30:07]
The default format is usually yyyy-mm-dd hh:mm:ss. Just make sure you
account for timezone as well.
On Mon, May 18, 2009 at 8:26 PM, Sarkar, Arup <arupsarkar at yahoo.com> wrote:
> 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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