[R-SIG-Finance] xts, period.apply question

[Joshua Ulrich]

Hi Subhrangshu,

This is a bug that was introduced when I attempted to change
period.apply to nicely handle functions that provide multi-column
output.  I've patched on R-forge -- revision 593.

The R-forge servers will re-build the package soon, at which point can
install via:
R> install.packages("xts", repos="http://r-forge.r-project.org").

Thanks for the report!

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Tue, May 10, 2011 at 8:50 AM, Subhrangshu Nandi <nands31 at gmail.com> wrote:
> Is anyone else having issues with the latest update of xts and/or zoo? Some
> of my functions that use apply.weekly or apply.daily are not working any
> more. I'm attaching a sample dataset to help you replicate the error. Below
> is a copy of my RConsole:
>> str(Data.xts)
> An ‘xts’ object from 2010-03-23 04:20:00 to 2011-05-06 15:10:00 containing:
>   Data: num [1:17902, 1:2] 1508 1508 1507 1507 1506 ...
>  - attr(*, "dimnames")=List of 2
>   ..$ : NULL
>   ..$ : chr [1:2] "Close" "Close.1"
>   Indexed by objects of class: [POSIXt,POSIXct] TZ:
>   Original class: 'data.frame'
>   xts Attributes:
> List of 2
>  $ tclass   : chr [1:2] "POSIXt" "POSIXct"
>  $ na.action:Class 'omit'  atomic [1:1] 1
>   .. ..- attr(*, "index")= num 1.27e+09
>> head(Data.xts)
>                        Close Close.1
> 2010-03-23 04:20:00 1507.750  537.75
> 2010-03-23 04:30:00 1507.875  538.50
> 2010-03-23 04:40:00 1506.875  538.25
> 2010-03-23 04:50:00 1507.000  538.00
> 2010-03-23 05:00:00 1506.500  538.00
> 2010-03-23 05:10:00 1506.500  538.00
>> fn_checkApply
> function(Data=Data_D){
>         MaxDiff <- max(Data[,1]) - max(Data[,2])
>         return(MaxDiff)
> }
>> apply.daily(x=Data.xts, FUN=fn_checkApply)
> Error in dimnames(x) <- dn :
>   length of 'dimnames' [2] not equal to array extent
>> traceback()
> 3: `colnames<-`(`*tmp*`, value = c("Close", "Close.1"))
> 2: period.apply(x, ep, FUN, ...)
> 1: apply.daily(x = Data.xts, FUN = fn_checkApply)
>
> Any help would be greatly appreciated. Everything was working fine until I
> updated the packages on 05/02.
> --
> I'm a great believer in luck, and I find the harder I work the more I have
> of it.  ~Thomas Jefferson
>
> Subhrangshu Nandi
> Algorithmic Stat-Arb Trader
>
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