[R-SIG-Finance] merge.xts problem

[Nikos Rachmanis]

Hi Joshua,

I did some additional research and found that the command below, which 
tries to shift the index by 3 days, creates a problem and does not allow 
to the 2 datasets to be combined.
#shift the index
index(weekly)<-index(weekly)+3

This used to work in the previous version but not anymore.

Attached you will find the datasets and r code.

Nikos



On 2/13/2013 6:55 AM, Joshua Ulrich wrote:
> Nikos,
>
> Please provide a minimal reproducible example.  For examples of how to
> do this, see:
> http://stackoverflow.com/q/5963269/271616
>
> Best,
> --
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com
>
> R/Finance 2013: Applied Finance with R  | www.RinFinance.com
>
>
> On Tue, Feb 12, 2013 at 11:34 PM, Nikos Rachmanis
> <nikos.rachmanis at gmail.com> wrote:
>> Hi all,
>>
>> Just wondering if someone has come across this problem with the
>> merge.xts function after updating from 0.8-6 to 0.9-3 version.
>>
>> I am trying to merge 2 xts objects one with daily observations and
>> another one with weekly.
>>
>> With the older packet and the following command:
>>
>> tradedata<-merge.xts(timeseries.daily,timeseries.daily,join="left")
>>
>> the merge is done fine. With the new one does not work and although puts
>> together the 2 datasets shows all the incoming observations as NA.
>>
>> Daily dataset
>> Dates   IMM0ECOL Index  IMM0ECOS Index  IMM0ENCL Index
>> 12/26/2000      4316    38769   26834
>> 1/2/2001        5495    29995   15885
>> 1/9/2001        5786    41915   21845
>> 1/16/2001       6866    41480   19696
>>
>>
>> Weekly dataset
>> Index   SP1.OPEN        SP1.HIGH
>> 1/2/1990        356.35  362.85
>> 1/3/1990        363.25  364.8
>> 1/4/1990        361.4   362.6
>> 1/5/1990        359.2   359.6
>> 1/8/1990        354.1   358.4
>> 1/9/1990        357.8   358.1
>> 1/10/1990       351.9   353.2
>> 1/11/1990       352.4   353.5
>>
>>
>> Has the command changed?
>>
>> Thanks,
>>
>> Nikos
>>
>>          [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> 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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####################################################################################################################
### Libraries + Settings ###########################################################################################
####################################################################################################################
#Clear memory
rm(list=ls())
#Increase display buffer (only when it is used with display opearations)
options(max.print=5E8)

#Common Libraries
library(xts)

#Read the files 
data01=read.csv("000.SPX.csv", sep=",", header=TRUE)
data02=read.csv("001.S&P_Commit.csv", sep=",", header=TRUE)

#Create the xts using the constructor
daily<-xts(data01[,-1],as.Date(data01[,1],"%m/%d/%Y"))

#replace NA with zeros(0) in Commit
data02<-replace(data02,is.na(data02),0)

#Create the xts using the constructor
weekly<-xts(data02[,-1],as.Date(data02[,1],"%m/%d/%Y"))

#shift the index
index(weekly)<-index(weekly)+3

#merge the 2 datasets
tradedata<-merge.xts(daily,weekly,join="left")