[R-SIG-Finance] non-standard time-format conversion from data.frame to xts

[Jeff Ryan]

I'd personally advise against using anything other than real
POSIX-style time. Time alone can't exist without a date, certainly
with respect to observable data.

Do as Brian says and you'll have the most flexibility, but if you
insist on just time chron can certainly be useful.  Note that chron
uses fractional days to represent time, which is only an approximation
of time - you will run into issues at certain times.

> dput(as.chron(Sys.time()))
structure(14951.6248495370, format = structure(c("m/d/y", "h:m:s"
), .Names = c("dates", "times")), origin = structure(c(1, 1,
1970), .Names = c("month", "day", "year")), class = c("chron",
"dates", "times"))

Best
Jeff

On Wed, Dec 8, 2010 at 8:39 AM, Gabor Grothendieck
<ggrothendieck at gmail.com> wrote:
> On Wed, Dec 8, 2010 at 9:02 AM, Andres Susrud <andres.susrud at gmail.com> wrote:
>> Hi,
>>
>> I have a conversion problem from data.frame to xts.
>>
>> my dataset looks like this
>>> data[1:5,]
>>        Time   Bid  Offer
>> 1 7:10:03 AM 6118.5 6119.5
>> 2 7:10:36 AM 6118.5 6119.5
>> 3 7:11:07 AM 6119.5 6119.5
>> 4 7:11:48 AM 6119.0 6120.0
>> 5 7:12:25 AM 6119.0 6119.5
>>
>> Because of the lack of date, and the time format of H,M,S and AM/PM, I can't
>> convert via as.xts or as.zoo etc.
>>
>
> Assuming your data frame is this we can use read.zoo to read it into
> zoo giving it a chron "times" class:
>
> DF <- structure(list(Time = structure(1:5, .Label = c("7:10:03 AM",
>    "7:10:36 AM", "7:11:07 AM", "7:11:48 AM", "7:12:25 AM"), class = "factor"),
>    Bid = c(6118.5, 6118.5, 6119.5, 6119, 6119), Offer = c(6119.5,
>    6119.5, 6119.5, 6120, 6119.5)), .Names = c("Time", "Bid",
>    "Offer"), class = "data.frame", row.names = c(NA, -5L))
>
> library(zoo)
> library(chron)
> z <- read.zoo(DF, FUN = function(x) times(as.chron(paste("1970-01-01", x),
>   format = "%Y-%m-%d %H:%M:%S %p")))
> z
>
> If you need it in zoo then you now have it with "times" class which
> seems the most appropriate for that data.
>
> xts does not support chron "times" class but if you need it in xts you
> could convert it to some date/time class and then use as.xts. e.g.
>
> as.xts(aggregate(z, chron))
>
>
> --
> Statistics & Software Consulting
> GKX Group, GKX Associates Inc.
> tel: 1-877-GKX-GROUP
> email: ggrothendieck at gmail.com
>
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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com