[R-SIG-Finance] problem subsetting xts object with yearmon time index

[Joshua Ulrich]

On Fri, Mar 20, 2015 at 12:30 PM, Daniel Cegiełka
<daniel.cegielka at gmail.com> wrote:
> 2015-03-20 18:18 GMT+01:00 Joshua Ulrich <josh.m.ulrich at gmail.com>:
>> I can confirm this behavior with a simplified example using zoo 1.7-12
>> and the latest development xts.
>>
>>> data(sample_matrix)
>>> x <- as.xts(sample_matrix)
>>> y <- to.monthly(x)
>>> y['2007']
>>            x.Open   x.High    x.Low  x.Close
>> Feb 2007 50.22448 51.32342 50.19101 50.77091
>> Mar 2007 50.81620 50.81620 48.23648 48.97490
>> Apr 2007 48.94407 50.33781 48.80962 49.33974
>> May 2007 49.34572 49.69097 47.51796 47.73780
>> Jun 2007 47.74432 47.94127 47.09144 47.76719
>>
>>
>> Thanks for the report.  I'll investigate.
>>
>> Best,
>> Josh
>
> hi,
> I can not reproduce this error with zoo-1.7-12 and xts-0.8-0.
>
>> getSymbols('MSFT')
> [1] "MSFT"
>> x <- xts::to.monthly(MSFT)
>> x['2015']
>          MSFT.Open MSFT.High MSFT.Low MSFT.Close MSFT.Volume MSFT.Adjusted
> Jan 2015     46.66     47.91    40.35      40.40   918956900         40.11
> Feb 2015     40.59     44.30    40.23      43.85   656204800         43.85
> Mar 2015     43.67     44.19    40.61      42.29   512133400         42.29
>> x['2014']
>          MSFT.Open MSFT.High MSFT.Low MSFT.Close MSFT.Volume MSFT.Adjusted
> Jan 2014     37.35     37.89    34.63      37.84   930226200         36.57
> Feb 2014     37.74     38.46    35.69      38.31   705304500         37.30
> Mar 2014     37.92     41.50    37.49      40.99   778425700         39.91
> Apr 2014     41.15     41.66    38.90      40.40   746113500         39.34
> May 2014     40.24     40.97    38.51      40.94   574362900         40.15
> Jun 2014     40.95     42.29    39.86      41.70   555779700         40.89
> Jul 2014     41.86     45.71    41.05      43.16   731616500         42.32
> Aug 2014     43.21     45.47    42.21      45.43   513919700         44.83
> Sep 2014     45.43     47.57    44.53      46.36   860827300         45.74
> Oct 2014     46.27     46.97    42.10      46.95   853235700         46.33
> Nov 2014     46.89     50.05    46.73      47.81   522988700         47.47
> Dec 2014     47.88     49.06    44.90      46.45   626740700         46.12
>
You can't reproduce this with an object returned by getSymbols because
getSymbols sets the index timezone to "UTC".  The xts sample_matrix
data, and IntroCompFinR msftMonthlyPrices data do not have an index
timezone, so the machine's local timezone is used when converting the
ISO 8601 string to a datetime.

>
> Daniel


-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com