[R-SIG-Finance] XTS with unique time stamps?

[Dirk Eddelbuettel]

On 31 January 2011 at 09:37, Jeffrey Ryan wrote:
| Brian, Worik
| 
| w.r.t the new functionality in xts.
| 
| It is so bleeding edge that Brian gave you the wrong name ;-) think
| "make [the] index unique".  It probably will also be extended to do
| the former removal of subsequent non-unique observations/times as
| well.
| 
| HTH,
| Jeff
| 
| 
| ?make.index.unique
| 
| make.index.unique             package:xts              R Documentation
| 
| Force Time Values To Be Unique
| 
| Description:
| 
|      A generic function to force sorted time vectors to be unique.
|      Useful for high-frequency time-series where original time-stamps
|      may have identical values. For the case of xts objects, the
|      default ‘eps’ is set to one-hundred microseconds. In practice this
|      advances each subsequent identical time by ‘eps’ over the previous
|      (possibly also advanced) value.
| 
| Usage:
| 
|      make.index.unique(x, eps = 1e-05, ...)
| 
|      make.time.unique(x, eps = 1e-05, ...)

Why eps=1e-05?  I wrote variants of this in-house and use 

    incrementTimestamps <- function(times, incr=1.0e-6, ...) {
       ...
    }

Dirk

| 
| Arguments:
| 
|        x: An xts object, or POSIXct vector.
| 
|      eps: value to add to force uniqueness.
| 
|      ...: unused
| 
| Details:
| 
|      The returned time-series object will have new time-stamps so that
|      ‘isOrdered( .index(x) )’ evaluates to TRUE.
| 
| Value:
| 
|      A modified version of x.
| 
| Note:
| 
|      Incoming values must be pre-sorted, and no check is done to make
|      sure that this is the case.  If the index values are of
|      storage.mode ‘integer’, they will be coerced to ‘double’.
| 
| Author(s):
| 
|      Jeffrey A. Ryan
| 
| See Also:
| 
|      ‘align.time’
| 
| Examples:
| 
|      ds <- options(digits.secs=6) # so we can see the change
| 
|      x <- xts(1:10, as.POSIXct("2011-01-21") + c(1,1,1,2:8)/1e3)
|      x
|      make.index.unique(x)
| 
|      options(ds)
| 
| 
| 
| On Mon, Jan 31, 2011 at 6:05 AM, Brian G. Peterson <brian at braverock.com> wrote:
| > On Monday, January 31, 2011 12:55:03 am Worik wrote:
| >> I am having trouble with non-unique time stamps in an xts.
| >>
| >> My underlying data has some repeated rows (in a csv file).
| >>
| >> How can I easily get rid of the duplicates?
| >>
| >> I feel I must be missing something simple.  If not I can concoct an
| >> example to illustrate my problem.
| >
| > Worik,
| >
| > It depends on what you need.
| >
| > If you can remove the rows with duplicated indices, then a construction such
| > as:
| >
| > myxts<-myxts[!duplicated(index(myxts))]
| >
| > should work.
| >
| > If you need all of the observations, and need to artificially make them unique
| > (as is a common problem with tick data), then you will see discussion in the
| > list archives here and other places regarding adding artificial indices to high
| > frequency data while preserving order. You will need the latest xts from R-
| > Forge and use a construction like this:
| >
| > myxts<-make.unique.index(myxts)
| >
| > which will (by default) add .00001 sec to each non-unique index after the
| > first, preserving order, and providing every observation with a unique index.
| > Note that this presumes that the original order of the observations was
| > correct in the first place, no provision has been made if you have different
| > circumstances.
| >
| > Thanks to Jeff Ryan for (very) recently adding this second method.
| >
| > Regards,
| >
| >  - Brian
| >
| > --
| > Brian G. Peterson
| > http://braverock.com/brian/
| > Ph: 773-459-4973
| > IM: bgpbraverock
| >
| > _______________________________________________
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| >
| 
| 
| 
| -- 
| Jeffrey Ryan
| jeffrey.ryan at lemnica.com
| 
| www.lemnica.com
| 
| _______________________________________________
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-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com