[R-SIG-Finance] using [ on xts object

[Joshua Ulrich]

Dear Mr. or Mrs. Engineer,

On Fri, Dec 23, 2011 at 1:50 PM, financial engineer
<fin_engr at hotmail.com> wrote:
>
> I have the following sample tick data set (Z11):
> 24990  2011-10-31       0421        8900          B
> 24991  2011-10-31       0421        8900          B
> 24992  2011-10-31       0421        8900          B
> 24993  2011-10-31       0421        8900          B
> 24994  2011-10-31       0421        8900          B
> 24995  2011-10-31       0421        8900          B
> 24996  2011-10-31       0421        8900          B
> 24997  2011-10-31       0421        8900          B
> 24998  2011-10-31       0421        8900          B
> 24999  2011-10-31       0421        8900          B
>
> where the second field is the date, third- time, fourth - price, and fifth - bid, ask, or trade
>
> I have converted the above into a xts object using the following command
>
> z<-xts(Z11[,-1],order.by=as.Date(Z11[,1]))
>
> which has resulted in data in the following form
> 2011-10-31 "0421"     "8900"      "B"
> 2011-10-31 "0421"     "8900"      "B"
> 2011-10-31 "0421"     "8900"      "B"
> 2011-10-31 "0421"     "8900"      "B"
> 2011-10-31 "0421"     "8900"      "B"
> 2011-10-31 "0421"     "8900"      "B"
> 2011-10-31 "0421"     "8900"      "B"
> 2011-10-31 "0421"     "8900"      "B"
>
> I want to split my data based on the hour of the day,  so I was trying to use the following
> z['2011-10-31 04/'] to get the data starting from the 04 hour through the end of the day,
>
> but it returns the following:
> z['2011-10-31 04/']
>     trade_time trade_price trade_type
>
> can anyone pls. suggest how I can split the data into hourly intervals from this xts object.....thanks!
>
You can't.  You created an xts object with a Date class index.  The
Date class doesn't contain any information about time of day.  Use a
date/time class (read ?DateTimeClasses).

Subsetting xts objects by time of day has been discussed several times
on this list.  Please search the list archives (e.g. via rseek.org).

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