Query about creating time sequences
Try this: # Setting TZ is optional, but I find it helps me to be more aware of # timezone effects Sys.setenv( TZ="Asia/Kolkata") library(lubridate) pdates <- as.POSIXct( fdates ) hstart <- new_period( hour=9, minute=15 ) hend <- new_period( hour=15, minute=30 ) mperiod <- new_period( minute=15 ) numperday <- (hend-hstart)/mperiod dtms <- expand.grid( dt=pdates, tm=hstart + mperiod * seq( from=0, to=numperday ) ) dtms$dtm <- with( dtyms, dt + tm ) dtms <- dtms[ order( dtms$dtm ), ] You can discard everything but dtms$dtm once it has been created.
On Mon, 28 May 2012, Shivam wrote:
Thanks for the effort Michael, but the problem here is that the dates for
which the sequences need to be created have gaps in between. Basically I
need the sequence for only those days on which the security market is open
(I have the dates in a file which is present at the end of THIS mail).
What I have been able to do is to create a list, where each element of the
list is a sequence for a single day. It was done like below:
for(i in 1:124){
seqtimes[[i]] = xts(,seq(as.POSIXct(paste(fdates[i],'09:15:00', sep=" ")),
as.POSIXct(paste(fdates[i],'15:30:00', sep=" ")), by = 1))}
where 'fdates' is the file which contains the dates for which the sequences
need to be created.
But now I am stuck. I need a way to get all these sequences in a
(vector/dataframe/xts object) where all the list items are sequentially
present.
I tried merge.xts, but to no avail.
seqtimes[[1]]
Data: numeric(0) Index: POSIXct[1:22501], format: "2011-01-03 09:15:00" "2011-01-03 09:15:01" "2011-01-03 09:15:02" "2011-01-03 09:15:03" "2011-01-03 09:15:04" "2011-01-03 09:15:05" ...
seqtimes[[2]]
Data: numeric(0) Index: POSIXct[1:22501], format: "2011-01-04 09:15:00" "2011-01-04 09:15:01" "2011-01-04 09:15:02" "2011-01-04 09:15:03" "2011-01-04 09:15:04" "2011-01-04 09:15:05" ...
tseq = merge.xts(seqtimes[[1]],seqtimes[[2]], all = TRUE) tseq
Data: numeric(0) Index: integer(0) Any help would be greatly appreciated. Thanks in advance, Regards, Shivam P.S. - The dput of the fdates file:
dput(fdates)
structure(c("2011-01-03", "2011-01-04", "2011-01-05", "2011-01-06",
"2011-01-07", "2011-01-10", "2011-01-11", "2011-01-12", "2011-01-13",
"2011-01-14", "2011-01-17", "2011-01-18", "2011-01-19", "2011-01-20",
"2011-01-21", "2011-01-24", "2011-01-25", "2011-01-27", "2011-01-28",
"2011-01-31", "2011-02-01", "2011-02-02", "2011-02-03", "2011-02-04",
"2011-02-07", "2011-02-08", "2011-02-09", "2011-02-10", "2011-02-11",
"2011-02-14", "2011-02-15", "2011-02-16", "2011-02-17", "2011-02-18",
"2011-02-21", "2011-02-22", "2011-02-23", "2011-02-24", "2011-02-25",
"2011-02-28", "2011-03-01", "2011-03-03", "2011-03-04", "2011-03-07",
"2011-03-08", "2011-03-09", "2011-03-10", "2011-03-11", "2011-03-14",
"2011-03-15", "2011-03-16", "2011-03-17", "2011-03-18", "2011-03-21",
"2011-03-22", "2011-03-23", "2011-03-24", "2011-03-25", "2011-03-28",
"2011-03-29", "2011-03-30", "2011-03-31", "2011-04-01", "2011-04-04",
"2011-04-05", "2011-04-06", "2011-04-07", "2011-04-08", "2011-04-11",
"2011-04-13", "2011-04-15", "2011-04-18", "2011-04-19", "2011-04-20",
"2011-04-21", "2011-04-25", "2011-04-26", "2011-04-27", "2011-04-28",
"2011-04-29", "2011-05-02", "2011-05-03", "2011-05-04", "2011-05-05",
"2011-05-06", "2011-05-09", "2011-05-10", "2011-05-11", "2011-05-12",
"2011-05-13", "2011-05-16", "2011-05-17", "2011-05-18", "2011-05-19",
"2011-05-20", "2011-05-23", "2011-05-24", "2011-05-25", "2011-05-26",
"2011-05-27", "2011-05-30", "2011-05-31", "2011-06-01", "2011-06-02",
"2011-06-03", "2011-06-06", "2011-06-07", "2011-06-08", "2011-06-09",
"2011-06-10", "2011-06-13", "2011-06-14", "2011-06-15", "2011-06-16",
"2011-06-17", "2011-06-20", "2011-06-21", "2011-06-22", "2011-06-23",
"2011-06-24", "2011-06-27", "2011-06-28", "2011-06-29", "2011-06-30"
), .Dim = c(124L, 1L))
On Sat, May 26, 2012 at 6:22 AM, R. Michael Weylandt <
michael.weylandt at gmail.com> <michael.weylandt at gmail.com> wrote:
One (somewhat kludgy) way would be to use seq() to make one day's worth of times then to pass those to outer() to add in the needed days and then coerce the whole thing back to a sorted vector. I'm not at a computer right now so this won't be quite right but something like x <- seq(x.start.first.day, x.end.first.day, by = "sec") y <- 24*60*60 *(1:n.days) sort(as.vector(outer(x, y, "+"))) Changing the order of x and y might make the sort unnecessary. M On May 25, 2012, at 1:14 PM, Shivam <shivamsingh at gmail.com> wrote:
Hi All, I have a query about time based sequences. I know such questions have
been
asked a lot on forums, but I couldnt find the exact thing that I was looking for. I want to create a time-based sequence which will mimic the trading
window
AND would span multiple days. Something like below: "2011-01-03 09:15:00 IST" "2011-01-03 09:15:01 IST" .... .... .... "2011-01-03 15:29:59 IST" "2011-01-03 15:30:00 IST" "2011-01-04 09:15:00 IST" "2011-01-04 09:15:01 IST" .... .... .... "2011-01-04 15:29:59 IST" "2011-01-04 15:30:00 IST" Kindly notice the change of date in the sequence. The Indian Equity markets open at 09:15:00 and close at 15:30:00. I have equity data that spans 124 days, and I need to create a corresponding sequence which I will later use to regularize the irregular dataset to
make
a regular time-series. I was able to accomplish this task for a single day (i.e. creating a sequence then merging my dataset with it and use na.locf to make my
dataset
regular) but am unable to create a sequence for 'n' number of days. Can anyone help me with this? If it is of any help, I have a file which contains all the dates for
which
I need the sequence. The dput of the file is placed at the end of the email. One option is to create sequences for the entire days and then later
remove
all these records after merging. Although I havent checked the
feasibility
of this method, it would be complex and more so it will increase the data four folds (I already have 2 million records in the dataframe which I
have
to make regular). Another approach that I could think of was to make a timebased sequence based on the date from the file and then use a loop to append one
sequence
after another. But am not having much success there either.
Any kind of help would be greatly appreciated.
Thanks and regards,
Shivam
structure(list("20110103", "20110104", "20110105", "20110106",
"20110107", "20110110", "20110111", "20110112", "20110113",
"20110114", "20110117", "20110118", "20110119", "20110120",
"20110121", "20110124", "20110125", "20110127", "20110128",
"20110131", "20110201", "20110202", "20110203", "20110204",
"20110207", "20110208", "20110209", "20110210", "20110211",
"20110214", "20110215", "20110216", "20110217", "20110218",
"20110221", "20110222", "20110223", "20110224", "20110225",
"20110228", "20110301", "20110303", "20110304", "20110307",
"20110308", "20110309", "20110310", "20110311", "20110314",
"20110315", "20110316", "20110317", "20110318", "20110321",
"20110322", "20110323", "20110324", "20110325", "20110328",
"20110329", "20110330", "20110331", "20110401", "20110404",
"20110405", "20110406", "20110407", "20110408", "20110411",
"20110413", "20110415", "20110418", "20110419", "20110420",
"20110421", "20110425", "20110426", "20110427", "20110428",
"20110429", "20110502", "20110503", "20110504", "20110505",
"20110506", "20110509", "20110510", "20110511", "20110512",
"20110513", "20110516", "20110517", "20110518", "20110519",
"20110520", "20110523", "20110524", "20110525", "20110526",
"20110527", "20110530", "20110531", "20110601", "20110602",
"20110603", "20110606", "20110607", "20110608", "20110609",
"20110610", "20110613", "20110614", "20110615", "20110616",
"20110617", "20110620", "20110621", "20110622", "20110623",
"20110624", "20110627", "20110628", "20110629", "20110630"), .Dim =
c(124L,
1L), .Dimnames = list(c("X1", "X2", "X3", "X4", "X5", "X6", "X7",
"X8", "X9", "X10", "X11", "X12", "X13", "X14", "X15", "X16",
"X17", "X18", "X19", "X20", "X21", "X22", "X23", "X24", "X25",
"X26", "X27", "X28", "X29", "X30", "X31", "X32", "X33", "X34",
"X35", "X36", "X37", "X38", "X39", "X40", "X41", "X42", "X43",
"X44", "X45", "X46", "X47", "X48", "X49", "X50", "X51", "X52",
"X53", "X54", "X55", "X56", "X57", "X58", "X59", "X60", "X61",
"X62", "X63", "X64", "X65", "X66", "X67", "X68", "X69", "X70",
"X71", "X72", "X73", "X74", "X75", "X76", "X77", "X78", "X79",
"X80", "X81", "X82", "X83", "X84", "X85", "X86", "X87", "X88",
"X89", "X90", "X91", "X92", "X93", "X94", "X95", "X96", "X97",
"X98", "X99", "X100", "X101", "X102", "X103", "X104", "X105",
"X106", "X107", "X108", "X109", "X110", "X111", "X112", "X113",
"X114", "X115", "X116", "X117", "X118", "X119", "X120", "X121",
"X122", "X123", "X124"), NULL))
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
-- *Victoria Concordia Crescit* [[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
---------------------------------------------------------------------------
Jeff Newmiller The ..... ..... Go Live...
DCN:<jdnewmil at dcn.davis.ca.us> Basics: ##.#. ##.#. Live Go...
Live: OO#.. Dead: OO#.. Playing
Research Engineer (Solar/Batteries O.O#. #.O#. with
/Software/Embedded Controllers) .OO#. .OO#. rocks...1k