[R-SIG-Finance] How do I bin data into 5 min bins and compute the medians in the bins?

[Jeffrey Ryan]

It is preserved, just not displayed.

options(digits.secs=6)

HTH
Jeff

On Thu, Jan 19, 2012 at 1:36 PM, Michael <comtech.usa at gmail.com> wrote:
> So is there a way to convert into xts object while preserving the ".082225"
> part?
>
> Thx
>
> On Thu, Jan 19, 2012 at 1:32 PM, Michael <comtech.usa at gmail.com> wrote:
>
>> Thank you! But it doesn't work...
>>
>> >
>> g1
>>
>> [1] 46.00 46.00 46.00 45.75 45.75
>>
>>
>> >
>> g2
>>
>> [1] "2006-06-16 12:12:00.082225" "2006-06-16 12:12:00.082225"
>>
>> [3] "2006-06-16 12:12:00.082225" "2006-06-16 12:07:00.082225"
>>
>> [5] "2006-06-16 12:12:00.082225"
>>
>> It doesn't work:
>>
>> g3=xts(g1, order.by=as.POSIXct(strptime(g2, "%Y-%m-%d %H:%M:%OS3")))
>>
>> >
>> g3
>>
>> [,1]
>>
>> <NA> 46.00
>>
>> <NA> 46.00
>>
>> <NA> 46.00
>>
>> <NA> 45.75
>>
>> <NA> 45.75
>>
>>
>>
>> But the following worked:
>>
>> >
>> g3=xts(g1, order.by=as.POSIXct(strptime(g2, "%Y-%m-%d %H:%M:%OS")))
>>
>> >
>>
>> >
>>
>> >
>> g3
>>
>> [,1]
>>
>> 2006-06-16 12:07:00 45.75
>>
>> 2006-06-16 12:12:00 46.00
>>
>> 2006-06-16 12:12:00 46.00
>>
>> 2006-06-16 12:12:00 46.00
>>
>> 2006-06-16 12:12:00 45.75
>>
>>
>>
>> On Thu, Jan 19, 2012 at 1:07 PM, G See <gsee000 at gmail.com> wrote:
>>
>>> Michael comtech,
>>>
>>> You might also consider reading one of the 2 e-mails that Brian sent
>>> you on-list in the last month that say to look at
>>> ?strftime
>>>
>>> For example ... the second example on that page
>>> format(Sys.time(), "%H:%M:%OS3")
>>>
>>>
>>> On Thu, Jan 19, 2012 at 1:01 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com>
>>> wrote:
>>> > You should lead with what you have tried, it lets everyone have a
>>> > better idea of what you are looking for.
>>> >
>>> > That said, the .082225 is perfectly acceptable to xts, though
>>> > precision-wise you are near the limit of floating point precision on
>>> > many platforms.  The previous post in this thread is on target to what
>>> > you want.
>>> >
>>> > Take a good look at ?endpoints and to a lesser extend ?period.apply.
>>> >
>>> > HTH
>>> > Jeff
>>> >
>>> > On Thu, Jan 19, 2012 at 12:54 PM, Michael <comtech.usa at gmail.com>
>>> wrote:
>>> >> I have also searched "crazily"... and read into both "xts" and
>>> "zoo"... but
>>> >> couldn't find a solution...
>>> >>
>>> >> My questions are:
>>> >>
>>> >> 1. How to handle the ".082225" part in "xts" and "zoo"?
>>> >>
>>> >> 2. The "xts/zoo" interval arithmatic only handles OHLC of an interval,
>>> not
>>> >> median of an interval, right?
>>> >>
>>> >> Thanks a lot!
>>> >>
>>> >> On Thu, Jan 19, 2012 at 12:51 PM, Jeffrey Ryan <
>>> jeffrey.ryan at lemnica.com>wrote:
>>> >>
>>> >>> Use a time series class.  This has all been solved thousands of times
>>> >>> before in private and on the lists.
>>> >>>
>>> >>> Jeff
>>> >>>
>>> >>> On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com>
>>> wrote:
>>> >>> > Hi all,
>>> >>> >
>>> >>> > I have data in the following format:
>>> >>> >
>>> >>> > How do I bucket the data into 5 min bins and then compute the
>>> median of
>>> >>> > quotes in the bins?
>>> >>> >
>>> >>> > Currently the "DateTimeStamps" are "factors" in the data frame and I
>>> >>> > ordered the rows according to these DateTimeStamps
>>> >>> >
>>> >>> > Thanks a lot!
>>> >>> >
>>> >>> > Bid           Offer      DateTimeStamps
>>> >>> >
>>> >>> > 46.00       46.10     2006-06-16 12:12:00.082225
>>> >>> >
>>> >>> >        [[alternative HTML version deleted]]
>>> >>> >
>>> >>> > _______________________________________________
>>> >>> > R-SIG-Finance at r-project.org mailing list
>>> >>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> >>> > -- Subscriber-posting only. If you want to post, subscribe first.
>>> >>> > -- Also note that this is not the r-help list where general R
>>> questions
>>> >>> should go.
>>> >>>
>>> >>>
>>> >>>
>>> >>> --
>>> >>> Jeffrey Ryan
>>> >>> jeffrey.ryan at lemnica.com
>>> >>>
>>> >>> www.lemnica.com
>>> >>> www.esotericR.com <http://www.esotericr.com/> <
>>> http://www.esotericr.com/>
>>> >>>
>>> >>
>>> >>        [[alternative HTML version deleted]]
>>> >>
>>> >> _______________________________________________
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>>> >
>>> >
>>> >
>>> > --
>>> > Jeffrey Ryan
>>> > jeffrey.ryan at lemnica.com
>>> >
>>> > www.lemnica.com
>>> > www.esotericR.com <http://www.esotericr.com/>
>>> >
>>> > _______________________________________________
>>> > R-SIG-Finance at r-project.org mailing list
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>>>
>>
>>
>
>        [[alternative HTML version deleted]]
>
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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com
www.esotericR.com