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

[Ajay Shah]

library(zoo)
print(load(url("http://www.mayin.org/ajayshah/tmp/demo.rda")))
options("digits.secs"=6)
head(demo)
tail(demo)

On Sun, Nov 08, 2009 at 07:20:02AM -0500, Gabor Grothendieck wrote:
> 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

Gabor, thanks! I am not as fluent with as.POSIXct() as I should be.

And, to continue with my original question:

> > 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.

How would we do this? To illustrate:

  demo2 <- demo[-300:-700,]
  plot(index(demo2), 1:599, type="l")         # we see that 5th to 10th 
                                              # second is zapped out.
  to5sec <- function(x) as.POSIXct(5*ceiling(as.numeric(x)/5), origin = "1970-01-01")


Now :

> aggregate(demo, to5sec, tail, 1)
                    spread    ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:10 0.0025 48.715
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715
> aggregate(demo2, to5sec, tail, 1)
                    spread    ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715  

We should get : 

                    spread    ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:10 NA     NA
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715  

-- 
Ajay Shah                                      http://www.mayin.org/ajayshah  
ajayshah at mayin.org                             http://ajayshahblog.blogspot.com
<*(:-? - wizard who doesn't know the answer.