[R-SIG-Finance] Discretising intra-day data using zoo?

[Gabor Grothendieck]

See the aggregate.zoo example in vignette("zoo-quickref") but round up
to the next 4 seconds instead of next Friday:

> to4sec <- function(x) as.POSIXct(4*ceiling(as.numeric(x)/4), origin = "1970-01-01")
> aggregate(demo, to4sec, tail, 1)
                    spread    ltp
2009-02-16 05:00:04 0.0050 48.715
2009-02-16 05:00:08 0.0025 48.715
2009-02-16 05:00:12 0.0025 48.715
2009-02-16 05:00:16 0.0025 48.715


On Sun, Nov 8, 2009 at 2:10 AM, Ajay Shah <ajayshah at mayin.org> wrote:
> Folks,
>
> I have a zoo object where the time-stamps are intra-day with
> sub-second resolution. Can you take a look:
>
>  library(zoo)
>  print(load(url("http://www.mayin.org/ajayshah/tmp/demo.rda")))
>  options("digits.secs"=6)
>  head(demo)
>  tail(demo)
>
> My question is: How do I force this down to a uniform grid of (say)
> four second resolution. In that case, we'd have readings for
>
>    10:30:00
>    10:30:04
>    10:30:08
>    10:30:12
>
> out of this dataset. As with the standard
>  zoo::aggregate(blah, tail, 1)
> we'd take the last available record as of 10:30:08 and put this
> information for that timepoint.
>
> Suppose there is not a single record in the raw data from 10:30:04 to
> 10:30:09. Despite this, the resulting object should contain a record
> for 10:30:08 with NA values (which can then be filled out e.g. using
> na.locf()). How would we do this? This problem is not present in this
> data, where records are plentiful. But discretisation code should be
> general and handle this case right.
>
> --
> Ajay Shah                                      http://www.mayin.org/ajayshah
> ajayshah at mayin.org                             http://ajayshahblog.blogspot.com
> <*(:-? - wizard who doesn't know the answer.
>
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