[R-SIG-Finance] removing repeating values from xts series
Ulrich Staudinger
ustaudinger at gmail.com
Wed Sep 15 17:23:43 CEST 2010
Thanks, that works very well. I'll check later about the performance
aspects of these two solutions, especially with large data sets.
Have a nice day!
On Wed, Sep 15, 2010 at 4:06 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> Ulrich,
>
> Patrick's suggestion is a vectorized solution to your problem. But it
> won't work for xts objects because they are merged by time index
> before the comparison.
>
> You need to use lag:
>
>> x <- xts(cbind(c(100,100,100,101,102,100),
> + 1,c(101,101,101,102,102,101),1),
> + as.POSIXct("2010-01-01 09:00:01")+0:5)
>> x[!c(FALSE,apply(lag(x)==x,1,all)[-1]),]
> [,1] [,2] [,3] [,4]
> 2010-01-01 09:00:01 100 1 101 1
> 2010-01-01 09:00:04 101 1 102 1
> 2010-01-01 09:00:05 102 1 102 1
> 2010-01-01 09:00:06 100 1 101 1
>
> Or you could use diff (as you suggest):
>
>> x[!c(FALSE,apply(diff(x)==0,1,all)[-1]),]
> [,1] [,2] [,3] [,4]
> 2010-01-01 09:00:01 100 1 101 1
> 2010-01-01 09:00:04 101 1 102 1
> 2010-01-01 09:00:05 102 1 102 1
> 2010-01-01 09:00:06 100 1 101 1
>
> Best,
> --
> Joshua Ulrich
> FOSS Trading: www.fosstrading.com
>
>
>
> On Wed, Sep 15, 2010 at 4:33 AM, Ulrich Staudinger
> <ustaudinger at gmail.com> wrote:
>> I think diff and a logical operation on all four colums would help.
>> I hoped I would find a ready function for ...
>> Thanks ...
>>
>> On Wed, Sep 15, 2010 at 9:46 AM, Ulrich Staudinger
>> <ustaudinger at gmail.com> wrote:
>>> I want to compare
>>>
>>> y(t) with y(t-1)
>>> where
>>> t = 2... length(y)
>>> y is an xts timeseries
>>>
>>>
>>>
>>> On Wed, Sep 15, 2010 at 9:33 AM, Patrick Burns <patrick at burns-stat.com> wrote:
>>>> So you want to compare
>>>>
>>>> y[-1,]
>>>>
>>>> with
>>>>
>>>> y[-nrow(y),]
>>>>
>>>> I think. And save the rows
>>>> that aren't all equal. Yes?
>>>>
>>>
>>>
>>>
>>>
>>> --
>>> Ulrich Staudinger
>>> activequant.org
>>>
>>
>>
>>
>> --
>> Ulrich Staudinger
>> ustaudinger at activequant.org
>> http://www.activequant.org
>>
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>
--
Ulrich Staudinger
ustaudinger at activequant.org
http://www.activequant.org
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