[R-SIG-Finance] xts() speed on data with date index

Gabor Grothendieck ggrothendieck at gmail.com
Sat Jul 25 15:19:40 CEST 2009

The explanation for the time difference is likely that xts
converts all time indexes to POSIXct internally whereas
zoo works with them in their original form.   Thus the
time difference would be expected to be the conversion time.

Once its converted then xts would likely be faster for those
xts operatoins where the xts code is in C.  In contrast zoo
is 100% R although eventually it is anticipated that portions
of zoo will be in C too.

As xts in a subclass of zoo some of its operations are done
in zoo so in that case there would not be much of a difference
in speed or if xts handles the corresponding operation itself
but in R then it would not be expected that there would be
much difference either.

On Sat, Jul 25, 2009 at 8:59 AM, michael li<michaellibeijing at gmail.com> wrote:
> I like xts because  subsetting is easier.  Something like x["2009-08"].
> But it seems that xts() is a little slower than zoo() when converting
> data with date index instead of time index.
>> pr<-matrix(rnorm(20000),nrow=5000,ncol=4)
>> t<-Sys.time()+(1:5000)*24*3600
>> d<-as.Date(t)
>> system.time(x<-zoo(pr,t))
>   user  system elapsed
>      0       0       0
>> system.time(x<-zoo(pr,d))
>   user  system elapsed
>      0       0       0
>> system.time(x<-xts(pr,t))
>   user  system elapsed
>      0       0       0
>> system.time(x<-xts(pr,d))
>   user  system elapsed
>   0.34    0.00    0.35
> Regards,
> Michael
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