[R-SIG-Finance] Time indexation after selection in an xts object

[Jeffrey Ryan]

The point is not to guess.  We need a reproducible example to be able to
debug anything.  This is reiterated in posting guidelines and is the only
route apart from being psychic.

Don't send the file, rather try and create a minimal example that isolates
the issue.  Only xts and zoo on your search path to start, and only the
example data you are showing.  It is VERY likely that timeDate is an
issue, or something upstream.

Again, distill to the minimal code that can reproduce the error, or it is
simply not possible for anyone to take the time to guess.  It is free
software, not free support per se.  Though we are very inclined to help,
but you must show that you are helping as well, not just asking for help.

Thanks,
Jeff

On 5/1/12 10:40 AM, "Karim" <kktrash.k at gmail.com> wrote:

>I could send the file itself, but maybe that's because the index is not
>unique? (yours is unique)
>> sessionInfo() 
>R version 2.14.1 (2011-12-22)
>Platform: i386-pc-mingw32/i386 (32-bit)
>
>locale:
>[1] LC_COLLATE=French_France.1252  LC_CTYPE=French_France.1252
>LC_MONETARY=French_France.1252 LC_NUMERIC=C
>[5] LC_TIME=French_France.1252
>
>attached base packages:
>[1] datasets  stats     graphics  grDevices utils     methods   base
>
>other attached packages:
> [1] RTAQ_0.1                   timeDate_2131.00
>quantstrat_0.6.4
>blotter_0.8.4     
> [5] FinancialInstrument_0.13.6 quantmod_0.3-17            TTR_0.21-0
>xts_0.8-2         
> [9] zoo_1.7-7                  Defaults_1.1-1
>randomForest_4.6-6         RRF_1.1
>[13] fractal_1.1-1              scatterplot3d_0.3-33       akima_0.5-7
>wmtsa_1.1-1       
>[17] sapa_1.1-0                 ifultools_1.1-2            MASS_7.3-16
>splus2R_1.1-0     
>[21] RODBC_1.3-4  
>
>loaded via a namespace (and not attached):
>[1] grid_2.14.1    lattice_0.20-0 tools_2.14.1
>
>-----Message d'origine-----
>De : Joshua Ulrich [mailto:josh.m.ulrich at gmail.com]
>Envoyé : mardi 1 mai 2012 15:41
>À : Karim
>Cc : r-sig-finance at r-project.org
>Objet : Re: [R-SIG-Finance] Time indexation after selection in an xts
>object
>
>I cannot replicate this behavior.  Please provide a reproducible example.
>
>> library(xts)
>> set.seed(21)
>> x <- .xts(trunc(runif(1e4)*10), 1:1e4, dimnames=list(NULL,"SIZE"))
>> s <- cumsum(x$SIZE['1969-12-31'])
>> head(s)
>                    SIZE
>1969-12-31 18:00:01    7
>1969-12-31 18:00:02    9
>1969-12-31 18:00:03   15
>1969-12-31 18:00:04   16
>1969-12-31 18:00:05   25
>1969-12-31 18:00:06   34
>> sessionInfo()
>R version 2.15.0 (2012-03-30)
>Platform: i386-pc-mingw32/i386 (32-bit)
>
>locale:
>[1] LC_COLLATE=English_United States.1252
>[2] LC_CTYPE=English_United States.1252
>[3] LC_MONETARY=English_United States.1252
>[4] LC_NUMERIC=C
>[5] LC_TIME=English_United States.1252
>
>attached base packages:
>[1] stats     graphics  grDevices utils     datasets  methods   base
>
>other attached packages:
>[1] xts_0.8-6 zoo_1.7-7
>
>loaded via a namespace (and not attached):
>[1] grid_2.15.0    lattice_0.20-6
>
>Best,
>--
>Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
>
>R/Finance 2012: Applied Finance with R
>www.RinFinance.com
>
>
>On Tue, May 1, 2012 at 6:04 AM, Karim <kktrash.k at gmail.com> wrote:
>>
>> Hi,
>>
>> My xts object : SP500TiSa
>>
>> > head(SP500TiSa)
>>
>>                         BID  OFR   PRICE SIZE
>> 2012-01-23 06:00:58 1306.75 1307 1307.00    2
>> 2012-01-23 06:00:58 1306.75 1307 1306.75    6
>> 2012-01-23 06:00:58 1306.75 1307 1307.00    1
>> 2012-01-23 06:00:58 1306.75 1307 1307.00    2
>> 2012-01-23 06:00:59 1306.75 1307 1307.00    1
>> 2012-01-23 06:00:59 1306.75 1307 1307.00    1
>>
>> What I want to do is to calculate the cumulated sum of the column SIZE
>>of
>the records of day 2012-01-24 but I want the resulting selection to keep
>the
>time information
>>
>> > s=cumsum(SP500TiSa$SIZE['2012-01-24'])
>>
>>
>> When I plot s, that’s ok, I have the time information on the x-axis of
>>the
>graph :
>>
>> > plot(s,type="l")
>>
>>
>> But when I display s on the console :
>>
>> > head(s)
>>            SIZE
>> 2012-01-24    4
>> 2012-01-24    5
>> 2012-01-24    6
>> 2012-01-24   16
>> 2012-01-24   17
>> 2012-01-24   32
>>
>> We have only the day information on the index. The time info is lost,
>>how
>to keep it ?
>>
>> Thank you
>>
>> _______________________________________________
>> R-SIG-Finance at r-project.org mailing list
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>> -- Also note that this is not the r-help list where general R questions
>should go.
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