Hi Josh,

> nrow(is.na(VI) == 'FALSE')
[1] 401600

> nrow(is.na(WMP) == 'FALSE')
[1] 401600

>


On Wed, Jun 24, 2009 at 10:02 AM, Joshua Ulrich <josh.m.ulrich@gmail.com>wrote:

> Hi Kenneth,
>
> to.period() removes NAs before aggregating.  So I would guess WMP has
> 4 rows with NA, and those same values in VI are zero.
>
> HTH,
> Josh
> --
> http://www.fosstrading.com
>
>
>
> On Wed, Jun 24, 2009 at 9:52 AM, Kenneth Spriggs<ksspriggs@gmail.com>
> wrote:
> > Both VI and WMP are derived from the same xts object - they have the
> > same rows.  When I use to.minutes() on VI it yields 618 rows but for
> > WMP it yields 614 rows.
> > (Same thing if I use to.period() but that's not surprising.)  You can
> > see both the start times and end times are the same...
> >
> >> nrow(VI); nrow(WMP)
> > [1] 401600
> > [1] 401600
> >
> >> head(VI, 1); tail(VI, 1)
> >                        LastPrice
> > 2009-06-22 21:41:54.869         0
> >                        LastPrice
> > 2009-06-23 18:59:59.735     25689
> >
> >> head(WMP, 1); tail(WMP, 1)
> >                        BidPrice
> > 2009-06-22 21:41:54.869       NA
> >                        BidPrice
> > 2009-06-23 18:59:59.735 115.4746
> >
> >> VI_minute2 <- to.minutes(VI,2)
> >> WMP_minute2 <- to.minutes(WMP, 2)
> >> nrow(VI_minute2); nrow(WMP_minute2)
> > [1] 618
> > [1] 614
> >
> >> VI_minute2p <- to.period(VI, period = "minutes", k=2)
> >> WMP_minute2p <- to.period(WMP, period = "minutes", k=2)
> >> nrow(VI_minute2p); nrow(WMP_minute2p)
> > [1] 618
> > [1] 614
> >
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