[R-SIG-Finance] in xts behavior of to.minutes() and to.period()

J Ryan jeff.a.ryan at gmail.com
Wed Jun 24 17:02:49 CEST 2009


Hi Ken,

Can you check if the index is identical?

identical(index(VI),index(WMP))

As the process is deterministic, something beside the data must be  
different.


Jeff



Jeffrey A. Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com

On Jun 24, 2009, at 9:52 AM, Kenneth Spriggs <ksspriggs at gmail.com>  
wrote:

> Both VI and WMP are derived from the same xts object - they have the
> same rows.  When I use to.minutes() on VI it yields 618 rows but for
> WMP it yields 614 rows.
> (Same thing if I use to.period() but that's not surprising.)  You can
> see both the start times and end times are the same...
>
>> nrow(VI); nrow(WMP)
> [1] 401600
> [1] 401600
>
>> head(VI, 1); tail(VI, 1)
>                        LastPrice
> 2009-06-22 21:41:54.869         0
>                        LastPrice
> 2009-06-23 18:59:59.735     25689
>
>> head(WMP, 1); tail(WMP, 1)
>                        BidPrice
> 2009-06-22 21:41:54.869       NA
>                        BidPrice
> 2009-06-23 18:59:59.735 115.4746
>
>> VI_minute2 <- to.minutes(VI,2)
>> WMP_minute2 <- to.minutes(WMP, 2)
>> nrow(VI_minute2); nrow(WMP_minute2)
> [1] 618
> [1] 614
>
>> VI_minute2p <- to.period(VI, period = "minutes", k=2)
>> WMP_minute2p <- to.period(WMP, period = "minutes", k=2)
>> nrow(VI_minute2p); nrow(WMP_minute2p)
> [1] 618
> [1] 614
>
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