[R-SIG-Finance] xts and TTR problems

[Joshua Ulrich]

Hi Brian,

To summarize our off-list discussion for the benefit of the list:

Your first issue had been reported about a week ago and has been fixed
on the r-forge version of xts.  Your second issue has been corrected
in xts_0.6-5 on CRAN.

Please let us know if you still have any issues.

Best,
Josh
--
http://www.fosstrading.com




On Wed, May 27, 2009 at 10:09 AM, B Kim <briankim19 at yahoo.com> wrote:
> Hi,
>
> I'm having some problems using the xts and TTR packages.  After running the code below (contents of TY1.txt are at the end of the email), I have two questions:
>
> 1) daily.xts has no timestamps but when I pass it in to RSI(), the return object is timestamped.  why does this occur?
> 2) why does the object returned from ATR() contain multiple rows with the same date where duplicate date rows contain NA's?
>
> The ultimate goal of this code snippet is to run various indicators, cbind them, and write them to a file for further processing.
>
> thanks,
> Brian
>
> code:
> library(quantmod);
> library(TTR);
>
> TY1.mat = read.table(paste("TY1.txt", sep = ""), header = T);
> TY1.mat[,"date"] = as.Date(TY1.mat[,"date"], format = "%Y/%m/%d");
> TY1.mat[,"datetime"] = paste(TY1.mat[,"date"], TY1.mat[,"time"], sep = " ");
>
> TY1.xts = xts(TY1.mat[,"TY1"], as.POSIXct(TY1.mat[,"datetime"]));
>
> daily.xts = to.daily(TY1.xts);
>
> myrsi = RSI(daily.xts[,"TY1.xts.Close"]);
> myatr = ATR(daily.xts[,c("TY1.xts.High", "TY1.xts.Low", "TY1.xts.Close")]);
>
> file.data = as.matrix(cbind(my.xts, myrsi, myatr));
> write.table(file = "TY1.data", append = F, sep = "\t", file.data);
>
>
> TY1.txt contains the following data:
> date    time    TY1
> 2009/01/02                      08:00:00                        126.328125
> 2009/01/02                      12:00:00                        126.765625
> 2009/01/02                      13:00:00                        124.25
> 2009/01/05                      08:00:00                        124.5
> 2009/01/05                      12:00:00                        124.78125
> 2009/01/05                      13:00:00                        123.625
> 2009/01/06                      08:00:00                        124.359375
> 2009/01/06                      12:00:00                        124.90625
> 2009/01/06                      13:00:00                        123.28125
> 2009/01/07                      08:00:00                        124.78125
> 2009/01/07                      12:00:00                        124.875
> 2009/01/07                      13:00:00                        124.015625
> 2009/01/08                      08:00:00                        124.328125
> 2009/01/08                      12:00:00                        125.6875
> 2009/01/08                      13:00:00                        124.265625
> 2009/01/09                      08:00:00                        125.203125
> 2009/01/09                      12:00:00                        126.34375
> 2009/01/09                      13:00:00                        124.875
> 2009/01/12                      08:00:00                        125.625
> 2009/01/12                      12:00:00                        126.359375
> 2009/01/12                      13:00:00                        125.109375
> 2009/01/13                      08:00:00                        126.3125
> 2009/01/13                      12:00:00                        126.359375
> 2009/01/13                      13:00:00                        125.75
> 2009/01/14                      08:00:00                        126.28125
> 2009/01/14                      12:00:00                        127.484375
> 2009/01/14                      13:00:00                        125.8125
> 2009/01/15                      08:00:00                        127.125
> 2009/01/15                      12:00:00                        127.515625
> 2009/01/15                      13:00:00                        126.71875
> 2009/01/16                      08:00:00                        126.859375
> 2009/01/16                      12:00:00                        126.875
> 2009/01/16                      13:00:00                        125.40625
> 2009/01/20                      08:00:00                        125.828125
> 2009/01/20                      12:00:00                        126.421875
> 2009/01/20                      13:00:00                        124.5
> 2009/01/21                      08:00:00                        125.96875
> 2009/01/21                      12:00:00                        125.96875
> 2009/01/21                      13:00:00                        124.578125
> 2009/01/22                      08:00:00                        124.734375
> 2009/01/22                      12:00:00                        125.0625
> 2009/01/22                      13:00:00                        123.703125
> 2009/01/23                      08:00:00                        124.25
> 2009/01/23                      12:00:00                        124.765625
> 2009/01/23                      13:00:00                        123.328125
> 2009/01/26                      08:00:00                        123.890625
> 2009/01/26                      12:00:00                        124.109375
> 2009/01/26                      13:00:00                        123.171875
>
>
>
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>
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