[R-SIG-Finance] Rounding time series to nearest 5mn

[Joshua Ulrich]

On Sat, Feb 13, 2010 at 9:07 PM, Kanin Kaninski <kaninski2000 at yahoo.com> wrote:
> Continuing on the learning path... I have the followig xts time series:
>
>                    LAST
> 2009-12-15 00:00:00 "0.915447"
> 2009-12-15 00:04:59 "0.916005"
> 2009-12-15 00:09:59 "0.916167"
> 2009-12-15 00:15:00 "0.9162"
> 2009-12-15 00:20:00 "0.916188"
> 2009-12-15 00:24:59 "0.916265"
>
> I would like to quantize the time stamps so that 00:04:59 becomes 00:05:00, i.e. rounding the time series to the nearest (in this case) 5 minutes.
>
> What I could find on the net was the align function in the xts package. Unfortunately it doesnt really perform as expected: it has transformed a 5mn multiple timestamp (e.g. 00:00:00) into the next multiple (00:05:00). Moreover I understand that it always "round up" the time, rather than rounding to closest.
>
It performs exactly as documented.  Is that really unfortunate or unexpected?

"Description:

     Change timestamps to the start of the next period, specified in
     multiples of seconds."
[snip]
"Details:

     This function is an S3 generic.  The result is to round up to the
     next period determined by ‘n modulo x’."


>> tSerie_align<-align.time(tSerie, n=300)
>> head(tSerie_align)
>                    LAST
> 2009-12-15 00:05:00 "0.915447"
> 2009-12-15 00:05:00 "0.916005"
> 2009-12-15 00:10:00 "0.916167"
> 2009-12-15 00:20:00 "0.9162"
> 2009-12-15 00:25:00 "0.916188"
> 2009-12-15 00:25:00 "0.916265"
>
> Any ideas how I could transform this time series to look as follows:
>
>                    LAST
> 2009-12-15 00:00:00 "0.915447"
> 2009-12-15 00:05:00 "0.916005"
> 2009-12-15 00:10:00 "0.916167"
> 2009-12-15 00:15:00 "0.9162"
> 2009-12-15 00:20:00 "0.916188"
> 2009-12-15 00:25:00 "0.916265"
>
Make a new xts object:

new.tSerie <- xts(coredata(tSerie),index(tSerie)-1)
align.time(new.tSerie)
                        [,1]
2009-12-15 00:00:00 0.915447
2009-12-15 00:05:00 0.916005
2009-12-15 00:10:00 0.916167
2009-12-15 00:15:00 0.916200
2009-12-15 00:20:00 0.916188
2009-12-15 00:25:00 0.916265

Best,
Josh
--
http://www.fosstrading.com


> Thank you in advance.
>
> /K
>
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