[R-SIG-Finance] Remove first two weeks of data in half hourly resolution

[Peter Neumaier]

Hi all,

I am doing some analysis on monthly futures contracts from 2011-2016.
Each monthly contract goes for eight weeks, in half hourly resolution.

I'd like to remove first two weeks of eight weeks history for each monthly
contract.
My approach was to work out the start and end date and cut the 1st two weeks
data off, but problem is that the half hourly resolution is sometimes
incomplete(
i.e. a trading day goes from 7:00am - 4:00pm but sometimes starts at
7:30am).

Any suggestion on how to resolve this? Below a sample trading day in half
hourly:

                    NGFH6.Open NGFH6.High NGFH6.Low NGFH6.Close
NGFH6.Volume NGFH6.WAP NGFH6.hasGaps NGFH6.Count
2016-01-06 07:30:00     0.3395     0.3395    0.3375      0.3380
45   0.33811             0           5
2016-01-06 08:00:00     0.3400     0.3400    0.3387      0.3395
140   0.33928             0          12
2016-01-06 08:30:00     0.3395     0.3395    0.3379      0.3379
70   0.33884             0           5
2016-01-06 09:00:00     0.3379     0.3379    0.3379      0.3379
0   0.33790             0           0
2016-01-06 09:30:00     0.3379     0.3379    0.3379      0.3379
0   0.33790             0           0
2016-01-06 10:00:00     0.3375     0.3380    0.3373      0.3373
230   0.33738             0          14
2016-01-06 10:30:00     0.3376     0.3379    0.3376      0.3379
20   0.33775             0           2
2016-01-06 11:00:00     0.3370     0.3370    0.3370      0.3370
105   0.33700             0           5
2016-01-06 11:30:00     0.3366     0.3366    0.3365      0.3365
65   0.33658             0           4
2016-01-06 12:00:00     0.3370     0.3370    0.3370      0.3370
10   0.33700             0           1
2016-01-06 12:30:00     0.3372     0.3372    0.3361      0.3361
125   0.33686             0           9
2016-01-06 13:00:00     0.3360     0.3360    0.3357      0.3360
225   0.33585             0          17
2016-01-06 13:30:00     0.3357     0.3357    0.3355      0.3355
50   0.33560             0           5
2016-01-06 14:00:00     0.3350     0.3359    0.3350      0.3359
25   0.33554             0           2
2016-01-06 14:30:00     0.3359     0.3359    0.3359      0.3359
0   0.33590             0           0
2016-01-06 15:00:00     0.3352     0.3352    0.3348      0.3352
150   0.33492             0          15
2016-01-06 15:30:00     0.3352     0.3352    0.3334      0.3341
280   0.33364             0          24
2016-01-06 16:00:00     0.3341     0.3375    0.3341      0.3370
145   0.33543             0          17
2016-01-06 16:30:00     0.3380     0.3385    0.3380      0.3385
25   0.33830             0           3

Many Thanks
Peter

	[[alternative HTML version deleted]]