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

[Kenneth Spriggs]

Hi Jeff -

> identical(index(VI),index(WMP))
[1] TRUE

>


On Wed, Jun 24, 2009 at 10:02 AM, J Ryan<jeff.a.ryan at gmail.com> wrote:
> 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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