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

[G See]

Brian's example is good if you want to remove the first 14 calendar
days.  If you want to remove the first 14 dates that appear in your
data, it's even simpler

    #create sample data
    x <- .xts(1:1000, .POSIXct(1:1000*60*30))
    # remove 1st 14 days by using a negative with first()
    first(x, "-14 days")

Garrett


On Thu, Mar 31, 2016 at 6:24 AM, Brian G. Peterson <brian at braverock.com> wrote:
> 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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>
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