2011/9/26 chrisbird <chris@chrisbird.com>

> Thanks Brian,
>
> I did try using the ['T09:00/T21:00'] method for extraction but it did not
> return anything - I will reinvestigate this and see if I can get it
> working.
>
>
It works... you are sure that the data was ok? Very strange that you have
received nothing...

> d<-xts(1:25, Sys.time() + 1:25)> d                    [,1]
2011-09-26 13:26:55    1
2011-09-26 13:26:56    2
2011-09-26 13:26:57    3
2011-09-26 13:26:58    4
2011-09-26 13:26:59    5
2011-09-26 13:27:00    6
2011-09-26 13:27:01    7
2011-09-26 13:27:02    8
2011-09-26 13:27:03    9
2011-09-26 13:27:04   10
2011-09-26 13:27:05   11
2011-09-26 13:27:06   12
2011-09-26 13:27:07   13
2011-09-26 13:27:08   14
2011-09-26 13:27:09   15
2011-09-26 13:27:10   16
2011-09-26 13:27:11   17
2011-09-26 13:27:12   18
2011-09-26 13:27:13   19
2011-09-26 13:27:14   20
2011-09-26 13:27:15   21
2011-09-26 13:27:16   22
2011-09-26 13:27:17   23
2011-09-26 13:27:18   24
2011-09-26 13:27:19   25> d["2011-09-26 13:27:00/2011-09-26 13:27:10"]
                   [,1]
2011-09-26 13:27:00    6
2011-09-26 13:27:01    7
2011-09-26 13:27:02    8
2011-09-26 13:27:03    9
2011-09-26 13:27:04   10
2011-09-26 13:27:05   11
2011-09-26 13:27:06   12
2011-09-26 13:27:07   13
2011-09-26 13:27:08   14
2011-09-26 13:27:09   15
2011-09-26 13:27:10   16> d["T13:27:00/T13:27:10"]                    [,1]
2011-09-26 13:27:00    6
2011-09-26 13:27:01    7
2011-09-26 13:27:02    8
2011-09-26 13:27:03    9
2011-09-26 13:27:04   10
2011-09-26 13:27:05   11
2011-09-26 13:27:06   12
2011-09-26 13:27:07   13
2011-09-26 13:27:08   14
2011-09-26 13:27:09   15
2011-09-26 13:27:10   16




> The processing is not to remove non-trading days/holidays - I do that
> elsewhere. I'm doing processing on some complex strategies which use some
> instruments which trade a lot, but not everyday. I only wish to process the
> data from liquid days and strip out the less liquid data.
>
>
It's quite a sophisticated approach to data. Probably when you filter using
the time you would have to count the number of observations and does not
bind data below a certain level. I have no idea how to do it in an elegant
way.

best regards,
daniel



> I will certainly investigate quantstrat.
>
> Thanks,
>
> Chris.
>
>
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