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

[Brian G. Peterson]

Peter,

You haven't published a reproducible example, and I'm not going to take
the time to write a complete example from scratch.

We use xts subsetting for this type of thing, so I suggest using xts for
your time series (this is always good advice for time series in R).

Here's a partial example to get you started.

#######################

#load some data from the PerformanceAnalytics package
data(edhec)

#check the range
range(index(edhec))

#add 14 days from the start
first(index(edhec))+14

#now assume that you have an object 'z' with  intraday data
range(z)

#check the range of Dates by forcing the index to Date type
range(as.Date(index(z)))

#add 114 days, as before
first(as.Date(index(z)))+14

# now subset by cutting off the first 14 calendar days 
# from the start of the series
zs <- z[paste0(first(as.Date(index(z)))+14,'/')]

#check the range
range(as.Date(index(zs)))

##################

Regards,

Brian
 
-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock


On Thu, 2016-03-31 at 11:50 +0100, Peter Neumaier wrote:
> 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]]
> 
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