[R-SIG-Finance] in xts behavior of to.minutes() and to.period()
Kenneth Spriggs
ksspriggs at gmail.com
Wed Jun 24 17:30:34 CEST 2009
Oh yeah, oops but it still isn't adding up...
> sum(is.na(VI))
[1] 0
> sum(is.na(WMP))
[1] 1973
On Wed, Jun 24, 2009 at 10:27 AM, Joshua Ulrich<josh.m.ulrich at gmail.com> wrote:
> 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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>>
>>
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