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

[Joshua Ulrich]

That won't provide the result you're looking for.  It is testing if
the result of is.na() is a character string, so it will always be
FALSE because is.na() returns logical values (either TRUE or FALSE, no
quotes).  Try this instead:

nrow(is.na(VI) == FALSE)
or
sum(is.na(VI))

The results of head()/tail() in your previous email show that WMP has
at least one NA value.

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



On Wed, Jun 24, 2009 at 10:22 AM, Kenneth Spriggs<ksspriggs at gmail.com> wrote:
> Hi Josh,
>
>> nrow(is.na(VI) == 'FALSE')
> [1] 401600
>
>> nrow(is.na(WMP) == 'FALSE')
> [1] 401600
>
>>
>
>
> On Wed, Jun 24, 2009 at 10:02 AM, Joshua Ulrich <josh.m.ulrich at gmail.com>
> wrote:
>>
>> Hi Kenneth,
>>
>> to.period() removes NAs before aggregating.  So I would guess WMP has
>> 4 rows with NA, and those same values in VI are zero.
>>
>> HTH,
>> Josh
>> --
>> http://www.fosstrading.com
>>
>>
>>
>> On Wed, 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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>