[R-SIG-Finance] Dates not formatting properly for quarterly time series in xtsExtra

[Mark Knecht]

On Mon, Jan 6, 2014 at 4:25 PM, Eric Zivot <ezivot at u.washington.edu> wrote:
> I have been working on some examples of plotting time series for my new book
> Modeling Financial Time Series with R and I noticed something funny with
> plot.xts() from the R package xtsExtra when trying to plot quarterly time
> series created from the xts function to.quarterly. Here is an example:
>
>
>
>> sessionInfo()
>
> R version 3.0.2 (2013-09-25)
>
> Platform: x86_64-w64-mingw32/x64 (64-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
>
> [7] base
>
>
>
> other attached packages:
>
> [1] xtsExtra_0.0-1 quantmod_0.4-0 TTR_0.22-0     Defaults_1.1-1
>
> [5] xts_0.9-7      zoo_1.7-10
>
>
>
> loaded via a namespace (and not attached):
>
> [1] grid_3.0.2      lattice_0.20-23 tools_3.0.2
>
>
>
>> getSymbols("GS")
>
>> GS.Ad.xts = Ad(GS)
>> GS.Ad.quarterly.xts = to.quarterly(GS.Ad.xts, OHLC=FALSE)
>> periodicity(GS.Ad.quarterly.xts)
> Quarterly periodicity from 2007 Q1 to 2014 Q1
>> GS.Ad.quarterly.xts = to.quarterly(GS.Ad.xts, OHLC=FALSE)
>> periodicity(GS.Ad.quarterly.xts)
> Quarterly periodicity from 2007 Q1 to 2014 Q1
>> head(GS.Ad.quarterly.xts)
>         GS.Adjusted
> 2007 Q1       191.4
> 2007 Q2       201.1
> 2007 Q3       201.5
> 2007 Q4       200.2
> 2008 Q1       154.3
> 2008 Q2       163.4
> Warning message:
> timezone of object (UTC) is different than current timezone ().
>> class(index(GS.Ad.quarterly.xts))
> [1] "yearqtr"
>> # Error in axis format for time plot
>> plot(GS.Ad.quarterly.xts, lwd=2, col="blue")
>
>
>
> In the resulting plot, the format for the axis is not correct. Instead of
> showing the date as "Q1 2007", I see "%b 2007".
>
> Also, I notice a strange error related to timezones.
>
>
>
>> Sys.timezone()
> [1] "PST"
>
>
>
> Do I have to change my system timezone to UTC prior to downloading the data
> to get rid of this error?
>
<SNIP>

Hi Eric,
   I'm dealing with lots of timezone problems here that I don't
understand. However when I run your code I don't seem to see the same
problems. It would have been easier if you supplied just a code
snippet to run so please check what I culled from your message to the
list.

   From Stack Overflow I see Joshua saying that for daily data there
isn't a time zone. That only matters if your data has something
smaller like hours, etc. However I also see people having trouble if
there data crosses a Daylight Savings Time change ( I think ) so I'm
very confused at the moment.

   I am not finding the xtsExtra package on CRAN so I'll have to see
about R-Forge later.

   In my case, with my code, below all the data is tzone == "UTC" and
I don't get the error you get. I get a plot in blue with no borders or
axis or anything. There is a warning message.

   I have an example of the tzone getting messed up somewhere around
using Blotter but I'm trying to whittle it down enough to post a
question myself.

- Mark


library(quantmod)

sessionInfo()

getSymbols("GS")

GS.Ad.xts = Ad(GS)
GS.Ad.quarterly.xts = to.quarterly(GS.Ad.xts, OHLC=FALSE)
periodicity(GS.Ad.quarterly.xts)

GS.Ad.quarterly.xts = to.quarterly(GS.Ad.xts, OHLC=FALSE)
periodicity(GS.Ad.quarterly.xts)
class(index(GS.Ad.quarterly.xts))
plot(GS.Ad.quarterly.xts, lwd=2, col="blue")
Sys.timezone()


tzone(GS)
tzone(GS.Ad.xts)
tzone(GS.Ad.quarterly.xts)





> library(quantmod)
>
> sessionInfo()
R version 3.0.2 (2013-09-25)
Platform: x86_64-pc-linux-gnu (64-bit)

locale:
 [1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C         LC_TIME=C
LC_COLLATE=C
 [5] LC_MONETARY=C        LC_MESSAGES=C        LC_PAPER=C
LC_NAME=C
 [9] LC_ADDRESS=C         LC_TELEPHONE=C       LC_MEASUREMENT=C
LC_IDENTIFICATION=C

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base

other attached packages:
 [1] RMySQL_0.9-3               DBI_0.2-7
blotter_0.8.17
 [4] PerformanceAnalytics_1.1.0 FinancialInstrument_1.1.9
quantmod_0.4-1
 [7] TTR_0.22-0                 Defaults_1.1-1             xts_0.9-7
[10] zoo_1.7-10

loaded via a namespace (and not attached):
[1] grid_3.0.2      lattice_0.20-23 tools_3.0.2
>
> getSymbols("GS")
[1] "GS"
>
> GS.Ad.xts = Ad(GS)
> GS.Ad.quarterly.xts = to.quarterly(GS.Ad.xts, OHLC=FALSE)
> periodicity(GS.Ad.quarterly.xts)
Quarterly periodicity from 2007 Q1 to 2014 Q1
>
> GS.Ad.quarterly.xts = to.quarterly(GS.Ad.xts, OHLC=FALSE)
> periodicity(GS.Ad.quarterly.xts)
Quarterly periodicity from 2007 Q1 to 2014 Q1
> class(index(GS.Ad.quarterly.xts))
[1] "yearqtr"
> plot(GS.Ad.quarterly.xts, lwd=2, col="blue")
Error in axis(1, at = xycoords$x, labels = FALSE, col = "#BBBBBB", ...) :
  formal argument "col" matched by multiple actual arguments
> Sys.timezone()
[1] ""
> tzone(GS)
[1] "UTC"
> tzone(GS.Ad.xts)
[1] "UTC"
> tzone(GS.Ad.quarterly.xts)
[1] "UTC"