[R-SIG-Finance] time series aggregating error message

[Joshua Ulrich]

On Mon, May 10, 2010 at 10:33 AM, mam3xs <mam3xs at gmail.com> wrote:
> Hi Josh,
>
> I've tried to.daily function before I posted the note. Basically, I am
> trying to aggregate the return data, the column 7, not the open, high, low,
> close prices.
>
> As you can see from the attached data, which consists 3 days, so after I
> aggregate there should be only 3 return data for 3 days.
>
> Cheers
> mam

Then you want:
> apply.daily(test.rn,sum)
                   [,1]
2005-01-03 -0.016000345
2005-01-04 -0.016260516
2005-01-05 -0.007899979

By the way, please keep your replies on list so others can follow the
discussion.

Best,
--
Joshua Ulrich
FOSS Trading: www.fosstrading.com



On Mon, May 10, 2010 at 10:00 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> Have you looked at ?to.period in xts?  If so, why didn't that work for you?
> --
> Joshua Ulrich
> FOSS Trading: www.fosstrading.com
>
>
>
> On Mon, May 10, 2010 at 9:50 AM, mam3xs <mam3xs at gmail.com> wrote:
>> Hi all,
>>
>> I am tring to aggregate intra-day data to daily basis data, (data sample
>> attached at the end of email.)
>>
>> test <- read.table("D:\\test.csv", header=F, sep=",")
>>
>> test.ep <- test[1:304231,]
>>
>> tt <- as.Date(test.ep[,1], "%m/%d/%y" )
>>
>> rn <- test.ep[,7]
>>
>> test.rn <- as.xts(rn,tt)
>>
>> nodudate = tt[!duplicated(tt)]
>>
>> test.sum = aggregate(test.rn, nodudate, sum)
>>
>> The error message said, "Error: length(time(x)) == length(by[[1]]) is not
>> TRUE"
>>
>>
>> Appreciate for any hints.
>>
>> Cheers
>> mam
>>
>>
>>
>>  01/03/05 31.8 31.8 31.78 31.8 167600 0.009479  01/03/05 31.8 31.8 31.78
>> 31.8 4500 0  01/03/05 31.75 31.75 31.6 31.67 11800 -0.0041  01/03/05 31.62
>> 31.63 31.6 31.6 9200 -0.00221  01/03/05 31.61 31.67 31.6 31.67 20300
>> 0.002213  01/04/05 31.69 31.71 31.67 31.71 29800 0.001262  01/04/05 31.7
>> 31.74 31.64 31.64 34800 -0.00221  01/04/05 31.64 31.66 31.63 31.63 35000
>> -0.00032  01/04/05 31.64 31.66 31.63 31.66 41600 0.000948  01/05/05 31.65
>> 31.65 31.64 31.64 17000 -0.00063  01/05/05 31.61 31.61 31.6 31.6 16600
>> -0.00127  01/05/05 31.6 31.61 31.6 31.6 6600 0  01/05/05 31.61 31.61 31.57
>> 31.59 20500 -0.00032  01/05/05 31.6 31.67 31.59 31.63 12800 0.001265
>> 01/06/05 31.64 31.67 31.64 31.66 5800 0.000948  01/06/05 31.64 31.66 31.64
>> 31.66 71700 0  01/06/05 31.66 31.66 31.64 31.65 7300 -0.00032
>>
>>        [[alternative HTML version deleted]]
>>
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>