[R-SIG-Finance] Create a Monday-Friday time series?

[Gabor Grothendieck]

> Cheers,
> Murali
>
> -----Original Message-----
> From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Mark Knecht
> Sent: 06 January 2011 17:19
> To: R-Finance
> Subject: [R-SIG-Finance] Create a Monday-Friday time series?
>
> Hi,
>   I think I'm going to have a couple of questions but I figured I'd
> start with (I hope) a very simple one. I've not worked with time
> series objects before so I'm trying to learn them. I've been looking
> at things like ?xts, ?zoo as well as Phil Proctor's book but so far no
> luck.
>
>   Starting from this little code stub I'd like to create a Monday
> through Friday time series into which I can eventually place trading
> system results.
>
>   Here's the stub:
>
> TStoDate = function (TSDate) {
>        X = strptime(TSDate + 19e6L, "%Y%m%d")
>        return(as.Date(X))
> }
>
> # TradeStation date format
> FirstDate = 1100401
> LastDate = 1100601
>
> #Dates
> StartDate = TStoDate(FirstDate)
> EndDate = TStoDate(LastDate)
>
> StartDate
> EndDate
>
>   How can I do this, and (if possible and easy) is there a way to
> exclude U.S. holidays?
>
>   I did discover
>
> R1 <- as.zoo(StartDate:EndDate )
>
> does create an object, but the values are numbers which I don't
> understand but suspect are some internal R code for a date, and it
> appears to have enough entries to include weekends.
>
>   Anyway, hopefully this is clear enough to describe what I'm trying
> to do and where I'm stuck.
>
On Thu, Jan 6, 2011 at 12:29 PM,  <Murali.Menon at avivainvestors.com> wrote:
> Hi,
>
> For US holidays, the timeDate package in Rmetrics has a function holidayNYSE() to which you pass a numeric range for years, e.g. holidayNYSE(1980:1990).
>

To add to this try:

library(timeDate) # holidayNYSE
library(chron) # .Holidays / is.holiday / is.weekend

# this will be used by is.holiday
.Holidays <- chron(as.Date(holidayNYSE(year = 2010)))

StartDate <- as.Date("2010-01-01")
EndDate <- as.Date("2010-04-01")

dd <- seq(StartDate, EndDate, by = "day")

dd[!is.weekend(dd) & !is.holiday(dd)]


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