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

[J Ryan]

That is reasonable.

You are missing observations *within* the 2 minutes. Somewhere entire  
minute blocks are missing in the raw data, and there is no bar to  
calculate

You'll have to merge again the results to make the index consistent.

HTH
Jeff


Jeffrey A. Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com

On Jun 24, 2009, at 10:30 AM, Kenneth Spriggs <ksspriggs at gmail.com>  
wrote:

> 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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