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

[Joshua Ulrich]

It's not because the index isn't unique.

> set.seed(21)
> x <- .xts(trunc(runif(1e4)*10), 1:1e4, dimnames=list(NULL,"SIZE"))
> x <- rbind(x,x)
> s <- cumsum(x$SIZE['1969-12-31'])
> head(s)
                    SIZE
1969-12-31 18:00:01    7
1969-12-31 18:00:01   14
1969-12-31 18:00:02   16
1969-12-31 18:00:02   18
1969-12-31 18:00:03   24
1969-12-31 18:00:03   30

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

R/Finance 2012: Applied Finance with R
www.RinFinance.com


On Tue, May 1, 2012 at 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
>>
>> _______________________________________________
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> should go.
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