[R-SIG-Finance] How to compare two asynchroneous xts time series?

[Joshua Ulrich]

On Thu, Jun 11, 2009 at 9:16 AM, anass<anass.mouhsine at gmail.com> wrote:
> Thx guys,
>
> well the error I got is elswhere and I thought it was due to the asynchrone
> timeseries.
>
> let's assume that I got the intraday ratio, what I do is the following
>
> d<-index(to.daily(ratio))
> for (i in 1:length(d)){
>  tstart<-paste(d[i], "09:00:00")
>  tend<-paste(d[i],"17:00:00")
> ts_ratio<-ratio[tstart:tend]

This line is incorrect.  I don't believe the ":" sequence operator in
package:base is defined for character strings (see ?":").  This is
what is causing an error.  What you probably intended is this:
ts_ratio <- ratio[paste(tstart,tend,sep="::")]

> #
> # other operations
> #
> }
>
> and I have this error
> Error in tstart:tend : argument NA / NaN
>
> So I assume if it is not due to asynchrone series, it is due to the
> subsetting.
> Does xts objects accept this kind of subset?
>
>
> On Thu, Jun 11, 2009 at 4:05 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
>>
>> Anass,
>>
>> xts and zoo automatically align series via "merge" when performing Ops
>> methods (+/-*...etc)
>>
>> This is what you want in most cases.
>>
>> See ?merge.xts, ?xts, ?merge.zoo and ?Ops.zoo
>>
>> HTH
>> Jeff
>>
>> On Thu, Jun 11, 2009 at 9:00 AM, Joshua Ulrich<josh.m.ulrich at gmail.com>
>> wrote:
>> > Hi Anass,
>> >
>> > Can you provide an example of what you're trying to do and what error
>> > you are receiving?  I'm able to run the code below without error.
>> >
>> >> require(xts)
>> >>
>> >> Lines <-
>> > + "2008-06-02 09:00:00,5007.0
>> > + 2008-06-02 09:01:00,5010.0
>> > + 2008-06-02 09:02:00,5014.0
>> > + 2008-06-02 09:03:00,5012.5
>> > + 2008-06-02 09:04:00,5013.5
>> > + 2008-06-02 09:05:00,5009.5
>> > + 2008-06-02 09:06:00,5007.0
>> > + 2008-06-02 09:07:00,5006.5
>> > + 2008-06-02 09:08:00,5008.5
>> > + 2008-06-02 09:09:00,5004.5"
>> >>
>> >> one <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
>> >> one <- as.xts(one)
>> >>
>> >> Lines <-
>> > + "2008-06-02 09:01:00,7115.0
>> > + 2008-06-02 09:03:00,7117.0
>> > + 2008-06-02 09:05:00,7111.0
>> > + 2008-06-02 09:07:00,7107.0
>> > + 2008-06-02 09:09:00,7102.5"
>> >>
>> >> two <- read.zoo(textConnection(Lines),sep=',',FUN=as.POSIXct)
>> >> two <- as.xts(two)
>> >>
>> >> one/two
>> >                           e1
>> > 2008-06-02 09:01:00 0.7041462
>> > 2008-06-02 09:03:00 0.7042996
>> > 2008-06-02 09:05:00 0.7044719
>> > 2008-06-02 09:07:00 0.7044463
>> > 2008-06-02 09:09:00 0.7046111
>> >> two/one
>> >                          e1
>> > 2008-06-02 09:01:00 1.420160
>> > 2008-06-02 09:03:00 1.419850
>> > 2008-06-02 09:05:00 1.419503
>> > 2008-06-02 09:07:00 1.419555
>> > 2008-06-02 09:09:00 1.419223
>> >>
>> >
>> > Best,
>> > Joshua
>> > --
>> > http://www.fosstrading.com
>> >
>> >
>> >
>> > On Thu, Jun 11, 2009 at 6:11 AM, Anass
>> > Mouhsine<anass.mouhsine at gmail.com> wrote:
>> >> Hi all,
>> >>
>> >> Suppose I have two xts time series with asynchroneous time index.
>> >> I would like for example to calculate a ratio of those two series, but
>> >> I
>> >> don't know how to get an intersection of the two indices in order to
>> >> avoid
>> >> errors.
>> >>
>> >> an example of the data is the following
>> >>
>> >> series1
>> >>
>> >> 2008-06-02 09:00:00 5007.0
>> >> 2008-06-02 09:01:00 5010.0
>> >> 2008-06-02 09:02:00 5014.0
>> >> 2008-06-02 09:03:00 5012.5
>> >> 2008-06-02 09:04:00 5013.5
>> >> 2008-06-02 09:05:00 5009.5
>> >> 2008-06-02 09:06:00 5007.0
>> >> 2008-06-02 09:07:00 5006.5
>> >> 2008-06-02 09:08:00 5008.5
>> >> 2008-06-02 09:09:00 5004.5
>> >>
>> >> Series2
>> >>
>> >> 2008-06-02 09:01:00 7115.0
>> >> 2008-06-02 09:03:00 7117.0
>> >> 2008-06-02 09:05:00 7111.0
>> >> 2008-06-02 09:07:00 7107.0
>> >> 2008-06-02 09:09:00 7102.5
>> >>
>> >> Any idea?
>> >>
>> >> Thanks in advance
>> >>
>> >> _______________________________________________
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>> >>
>> >
>> > _______________________________________________
>> > R-SIG-Finance at stat.math.ethz.ch mailing list
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>> >
>>
>>
>>
>> --
>> Jeffrey Ryan
>> jeffrey.ryan at insightalgo.com
>>
>> ia: insight algorithmics
>> www.insightalgo.com
>
>
>
> --
>
> En toda ocasion, disfruta de la vida
>

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