[R-SIG-Finance] bug on to.monthly
Ulrich Staudinger
ustaudinger at activequant.com
Mon Feb 4 14:04:42 CET 2013
Am confirming what Phil said ...
> getSymbols("SPY", src="yahoo", from="2012-06-01")
[1] "SPY"
> to.monthly(SPY) # looks correct
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted
Jun 2012 129.41 136.27 127.14 136.10 3644670300 134.42
Jul 2012 136.48 139.34 132.60 137.71 2864743300 136.01
Aug 2012 138.70 143.09 135.58 141.16 2413590900 139.42
Sep 2012 141.04 148.11 140.13 143.97 2391233500 142.96
Oct 2012 144.52 147.16 140.39 141.35 2719915500 140.35
Nov 2012 141.65 143.72 134.70 142.15 3032769100 141.15
Dec 2012 142.80 145.58 139.54 142.41 2889875900 142.41
Jan 2013 145.11 150.94 144.73 149.70 2587140200 149.70
Jan 2013 150.65 151.42 150.39 151.24 131148500 151.24
> indexTZ(SPY) <- "America/Chicago"
> to.monthly(SPY) # Missing January Print
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted
May 2012 129.41 131.50 128.16 128.16 253240900 125.93
Jun 2012 128.39 136.27 127.14 136.10 3391429400 134.42
Jul 2012 136.48 139.34 132.60 137.59 3003037100 135.90
Aug 2012 136.55 143.09 135.58 141.16 2275297100 139.42
Sep 2012 141.04 148.11 140.13 144.35 2527144700 143.33
Oct 2012 144.92 147.16 140.39 142.83 2684999900 141.82
Nov 2012 143.68 143.72 134.70 142.15 2931773500 141.15
Dec 2012 142.80 145.58 139.54 142.41 2889875900 142.41
Jan 2013 145.11 151.42 144.73 151.24 2718288700 151.24
Warning message:
timezone of object (America/Chicago) is different than current timezone ().
> SPY[endpoints(SPY, "months")] # Same thing here
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted
2012-05-31 129.41 131.50 128.16 128.16 253240900 125.93
2012-06-28 135.20 136.27 134.85 136.10 212250900 134.42
2012-07-31 138.70 138.73 137.40 137.59 138293800 135.90
2012-08-30 141.29 141.82 140.36 141.16 151970400 139.42
2012-09-30 144.52 145.69 144.01 144.35 135911200 143.33
2012-10-31 141.65 143.01 141.52 142.83 100995600 141.82
2012-11-29 142.14 142.42 141.66 142.15 136568300 141.15
2012-12-30 139.66 142.56 139.54 142.41 243935200 142.41
2013-01-31 150.65 151.42 150.39 151.24 131148500 151.24
>
So, it must be some sort of a timezone issue?
On Mon, Feb 4, 2013 at 1:55 PM, Phil Elsasser <paelsasser1 at gmail.com> wrote:
> I am having a very similar issue.
>
> I believe. Here is some code to reproduce it.
>
>
> getSymbols("SPY", src="yahoo", from="2012-06-01")
> to.monthly(SPY) # looks correct
> indexTZ(SPY) <- "America/Chicago"
> to.monthly(SPY) # Missing January Print
>
> SPY[endpoints(SPY, "months")] # Same thing here
>
> packageVersion("xts")
> [1] ‘0.9.2’
>
>
> On Mon, Feb 4, 2013 at 5:00 AM, <r-sig-finance-request at r-project.org> wrote:
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>> 1. bug on to.monthly? (Ulrich Staudinger)
>>
>>
>> ----------------------------------------------------------------------
>>
>> Message: 1
>> Date: Mon, 4 Feb 2013 11:58:15 +0100
>> From: Ulrich Staudinger <ustaudinger at activequant.com>
>> To: R-SIG-Finance <r-sig-finance at r-project.org>
>> Subject: [R-SIG-Finance] bug on to.monthly?
>> Message-ID:
>> <CAMrz3D1_x4-g2P7xfh7PRJe-DoAHRbAwk8ASPfhCJezYUzd=Hg at mail.gmail.com>
>> Content-Type: text/plain; charset=UTF-8
>>
>> Gents,
>>
>> I want to convert the following xts NAV series from daily to monthly.
>>
>> Browse[1]> navSeries
>> [..]
>> 2013-01-21 1089.233
>> 2013-01-22 1088.627
>> 2013-01-23 1086.648
>> 2013-01-24 1095.522
>> 2013-01-25 1100.402
>> 2013-01-28 1098.846
>> 2013-01-29 1105.938
>> 2013-01-30 1102.504
>> 2013-01-31 1102.386
>> 2013-02-01 1111.651
>>
>> So I call ...
>> monthlyNAV = to.monthly(navSeries)[,4]
>>
>> and it yields:
>>
>> Oct 2012 1034.037
>> Nov 2012 1039.267
>> Dec 2012 1055.666
>> Jan 2013 1102.386
>> Jan 2013 1111.651
>> Browse[1]>
>>
>>
>> As you can see, the Jan2013 exists twice!
>>
>> I also had a look at the index already:
>> Browse[1]> tail(index(navSeries))
>> [1] "2013-01-25 CET" "2013-01-28 CET" "2013-01-29 CET" "2013-01-30 CET"
>> [5] "2013-01-31 CET" "2013-02-01 CET"
>> Browse[1]>
>>
>>
>> For reproduction, I made a little script:
>>
>> Here's test.csv:
>> 2013-01-30;100
>> 2013-01-31;101
>> 2013-02-01;102
>>
>>> x1 = read.zoo("/opt/reports/etl/test.csv", sep=";")
>>> index(x1)
>> [1] "2013-01-30" "2013-01-31" "2013-02-01"
>>> as.POSIXct(index(x1))
>> [1] "2013-01-30 01:00:00 CET" "2013-01-31 01:00:00 CET"
>> [3] "2013-02-01 01:00:00 CET"
>>> to.monthly(x1)
>> x1.Open x1.High x1.Low x1.Close
>> Jan 2013 100 101 100 101
>> Jan 2013 102 102 102 102
>> Warning message:
>> In zoo(xx, order.by = index(x), ...) :
>> some methods for ?zoo? objects do not work if the index entries in
>> ?order.by? are not unique
>>>
>>
>> Can someone shed some light?
>>
>> Thanks
>> Ulrich
>>
>>
>>
>>
>>
>> --
>> Ulrich Staudinger
>>
>> P: +41 79 702 05 95
>> E: ustaudinger at activequant.com
>>
>> http://www.activequant.com
>>
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>>
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--
Ulrich Staudinger, Managing Director and Sr. Software Engineer, ActiveQuant GmbH
P: +41 79 702 05 95
E: ustaudinger at activequant.com
http://www.activequant.com
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