[R-SIG-Finance] how to handle both the symbol names and prices in one xts

[J Ryan]

Wind,

This isn't possible, as an xts object is fundamentally a matrix with  
an attribute ("index") for keeping track of time, and a matrix is just  
a contiuous block of memory (array) with a dimension.

Building two objects using a common index would be as close as you can  
get. Long term there has been some discussion and work done on having  
something akin to a list of xts objects, but that isn't implemented yet.

HTH
Jeff

Jeffrey A. Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com

On Oct 11, 2009, at 4:15 AM, Wind <windspeedo99 at gmail.com> wrote:

> I wonder how to convert a dataframe with character columns and prices
> columns into xts,  while maintaing the character class and numeric  
> class of
> each column.
>
> Regards,
> wind
>
>>
>> dput(d1)
> list(c("sym1", "sym1", "sym1", "sym2", "sym2", "sym2"), structure(c 
> (14426L,
> 14427L, 14428L, 14426L, 14427L, 14428L), class = "Date"), c(23.06,
> 24.21, 24.3, 9.57, 9.65, 9.57), c(24.19, 24.99, 24.96, 9.67,
> 9.75, 9.8), c(22.92, 24.15, 24.2, 9.54, 9.56, 9.57), c(24.14,
> 24.48, 24.93, 9.62, 9.65, 9.76), c(6787, 7974, 6116, 1370, 1527,
> 1414))
>> str(d1)
> List of 7
> $ : chr [1:6] "sym1" "sym1" "sym1" "sym2" ...
> $ :Class 'Date'  int [1:6] 14426 14427 14428 14426 14427 14428
> $ : num [1:6] 23.06 24.21 24.3 9.57 9.65 ...
> $ : num [1:6] 24.19 24.99 24.96 9.67 9.75 ...
> $ : num [1:6] 22.92 24.15 24.2 9.54 9.56 ...
> $ : num [1:6] 24.14 24.48 24.93 9.62 9.65 ...
> $ : num [1:6] 6787 7974 6116 1370 1527 ...
>> d2 <- do.call(cbind,d1[c(3,4,5,6,7)])
>> str(d2)
> num [1:6, 1:5] 23.06 24.21 24.3 9.57 9.65 ...
>> d3 <- data.frame(symbol=d1[[1]], d2,stringsAsFactors=FALSE)
>> str(d3)
> 'data.frame': 6 obs. of  6 variables:
> $ symbol: chr  "sym1" "sym1" "sym1" "sym2" ...
> $ X1    : num  23.06 24.21 24.3 9.57 9.65 ...
> $ X2    : num  24.19 24.99 24.96 9.67 9.75 ...
> $ X3    : num  22.92 24.15 24.2 9.54 9.56 ...
> $ X4    : num  24.14 24.48 24.93 9.62 9.65 ...
> $ X5    : num  6787 7974 6116 1370 1527 ...
>> d4 <- as.xts(d3,order.by=d1[[2]],unique=FALSE)
>> str(d4)
> An 'xts' object from 2009-07-01 to 2009-07-03 containing:
>  Data: chr [1:6, 1:6] "sym1" "sym2" "sym1" "sym2" "sym1" "sym2" ...
> - attr(*, "dimnames")=List of 2
>  ..$ : NULL
>  ..$ : chr [1:6] "symbol" "X1" "X2" "X3" ...
>  Indexed by objects of class: [Date] TZ: CST-8
>  Original class: 'data.frame'
>  xts Attributes:
> NULL
>>
>
>
>> sessionInfo()
> R version 2.9.2 (2009-08-24)
> i386-pc-mingw32
>
> locale:
> LC_COLLATE=Chinese (Simplified)_People's Republic of
> China.936;LC_CTYPE=Chinese (Simplified)_People's Republic of
> China.936;LC_MONETARY=Chinese (Simplified)_People's Republic of
> China.936;LC_NUMERIC=C;LC_TIME=English_United States.1252
>
> attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base
>
> other attached packages:
> [1] quantmod_0.3-11 TTR_0.20-1      Defaults_1.1-1  xts_0.6-7
> [5] zoo_1.5-8
>
> loaded via a namespace (and not attached):
> [1] grid_2.9.2      lattice_0.17-25
>>
>
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>
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