[R-SIG-Finance] removing repeating values from xts series

[Patrick Burns]

So you want to compare

y[-1,]

with

y[-nrow(y),]

I think.  And save the rows
that aren't all equal.  Yes?

On 15/09/2010 08:25, Ulrich Staudinger wrote:
> Hi David,
>
> as far as I understand, duplicated works from the inner workings very
> much like unique.
>
> With a vector y (in this case no timeseries), duplicated yields:
>> y
> [1] 1 1 2 3 2 2 2 2 1
>> duplicated(y)
> [1] FALSE  TRUE FALSE FALSE  TRUE  TRUE  TRUE  TRUE  TRUE
>
>
> But what I would like to have is:
> FALSE TRUE FALSE FALSE FALSE TRUE TRUE TRUE FALSE
> or ...
> 1 2 3 2 1
>
>
> I am not so sure that duplicated is what I want, unless I didn't spot
> something ... some other approach maybe?
>
>
> Regards,
> Ulrich
>
>
>
>
> On Wed, Sep 15, 2010 at 9:08 AM, Lüthi David (XICD 1)
> <david.luethi at claridenleu.com>  wrote:
>> Ulrich,
>> try duplicated(xts.object, ...) or possibly duplicated(as.data.frame(xts.object), ...) if all columns should be considered.
>> Regards, david
>>
>> -----Original Message-----
>> From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Ulrich Staudinger
>> Sent: Wednesday, September 15, 2010 8:28 AM
>> To: r-sig-finance
>> Subject: [R-SIG-Finance] removing repeating values from xts series
>>
>> Hi fellows,
>>
>> I am facing a case that I cannot solve with my limited knowledge of R,
>> unless I write the function myself - which I would like to avoid
>> (reusing is better than reinventing the wheel). Following the relevant
>> information.
>>
>> Input scenario:
>> An xts time series object with duplicates, the object contains bid,
>> bid volume, ask, ask volume.
>> Example:
>> 01-01-2010 09:00:01     100     1       101     1
>> 01-01-2010 09:00:02     100     1       101     1
>> 01-01-2010 09:00:03     100     1       101     1
>> 01-01-2010 09:00:04     101     1       102     1
>> 01-01-2010 09:00:05     102     1       102     1
>> 01-01-2010 09:00:06     100     1       101     1
>> ...
>>
>> Goal:
>> A timeseries with only non-repeating values, removing the duplicates
>> in between the values.
>>
>> I tried "unique" already, but that one returns only the unique values
>> from within the whole timeseries and not on a running base.
>>
>>
>> Example code:
>> The following example code exemplifies with a non-xts series what I
>> want to achieve ...
>>> y = c(1,1,2,2,1,1,1,2,3,4,3,3,3,3,3,1)
>>> removeDuplicates<- function(input)
>> {
>>         index = 2
>>         ret = c(input[1])
>>         for(i in 2:length(input))
>>         {
>>                 if(input[i]!=input[i-1])
>>                 {
>>                         ret[index] = input[i]
>>                         index = index + 1
>>                 }
>>         }
>>         ret
>> }
>>>
>>> removeDuplicates(y)
>> [1] 1 2 1 2 3 4 3 1
>>>
>>
>>
>>
>> How can I make this with an xts series? Is there a function for this?
>>
>> Thanks in advance,
>> with kind regards,
>> Ulrich
>>
>> --
>> Ulrich Staudinger
>> activequant.org
>>
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>>
>
>
>

-- 
Patrick Burns
patrick at burns-stat.com
http://www.burns-stat.com
http://www.portfolioprobe.com/blog