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

[Mark Knecht]

Thanks Gabor. That seems to work nicely.

What is chron trying to tell me about the origin? Is that specific to
my machine or did you see it also?

I am using 2.12.1.

Also, what's the command to package up some real data from a
data.frame so that it survives being emailed? When I respond back
later I want to include a few real trades so you can recreate whatever
I'm seeing.

Cheers,
Mark

On Thu, Jan 6, 2011 at 9:55 AM, Gabor Grothendieck
<ggrothendieck at gmail.com> wrote:
<SNIP>
> 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)]
>

<SNIP>

> library(timeDate) # holidayNYSE
> library(chron) # .Holidays / is.holiday / is.weekend
>
> # this will be used by is.holiday
> .Holidays <- chron(as.Date(holidayNYSE(year = 2010)))
Error in convert.dates(dates., format = fmt, origin. = origin.) :
  object dates. must be numeric or character
>
> 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)]
 [1] "2010-01-01" "2010-01-04" "2010-01-05" "2010-01-06" "2010-01-07"
 [6] "2010-01-08" "2010-01-11" "2010-01-12" "2010-01-13" "2010-01-14"
[11] "2010-01-15" "2010-01-18" "2010-01-19" "2010-01-20" "2010-01-21"
[16] "2010-01-22" "2010-01-25" "2010-01-26" "2010-01-27" "2010-01-28"
[21] "2010-01-29" "2010-02-01" "2010-02-02" "2010-02-03" "2010-02-04"
[26] "2010-02-05" "2010-02-08" "2010-02-09" "2010-02-10" "2010-02-11"
[31] "2010-02-12" "2010-02-15" "2010-02-16" "2010-02-17" "2010-02-18"
[36] "2010-02-19" "2010-02-22" "2010-02-23" "2010-02-24" "2010-02-25"
[41] "2010-02-26" "2010-03-01" "2010-03-02" "2010-03-03" "2010-03-04"
[46] "2010-03-05" "2010-03-08" "2010-03-09" "2010-03-10" "2010-03-11"
[51] "2010-03-12" "2010-03-15" "2010-03-16" "2010-03-17" "2010-03-18"
[56] "2010-03-19" "2010-03-22" "2010-03-23" "2010-03-24" "2010-03-25"
[61] "2010-03-26" "2010-03-29" "2010-03-30" "2010-03-31" "2010-04-01"
>