R: Help xts object Subset Date by Day of the Week

On Sun, Aug 5, 2012 at 4:49 PM, Douglas Karabasz
<douglas at sigmamonster.com> wrote:

I have a xts object made of daily closing prices I have acquired using
quantmod.



Here is my code:

library(xts)

library(quantmod)

library(lubridate)



# Gets SPY data

getSymbols("SPY")

# Subset Prices to just closing price

SP500 <- Cl(SPY)

# Show day of the week for each date using 2-6 for monday-friday

SP500wd <- wday(SP500)

# Add Price and days of week together

SP500wd <- cbind(SP500, SP500wd)

# subset Monday into one xts object

SPmon <- subset(SP500wd, SP500wd$..2=="2")





I then used the package lubridate to show the days of the week.   Due to the
requirement of an xts objects to be numeric you will see each day is
represented as a number so that Monday is =2, Tuesday=3, Wednesday=4,
Thursday=5, Friday=6, Saturday=7.   Since this is a financial index you will
only see the numbers 2-6 or Monday-Friday.

I want to subset the data by using the day column.  I would like some help
to figure out the best way to accomplish a few objectives.

1.       Subset the data so that I only show Monday in sequence.  However, I
do want to make sure that it shows the date, price and the ..2 colum(which
is the day of week) after Sub setting the data  (I have it done but not sure
if it is the best way)

I think what you do works, this might also be a one liner:

SPY[format(index(SPY), "%a") == "Mon", ]

Alternatively

split.default(SPY, format(index(SPY), "%a"))

creates a list of xts objects split by day of the week (Note you need
split.default here because split.xts does something different)

2.       Rearrange the object (hopefully without destroying the xts object)
so that my data lines up like a weekly calendar.   So it would look like the
follow.

Unfortunately, your formatting got all chewed up by the R-help server,
which doesn't like HTML so I'm not quite sure what you want here.

Possibly some black magic like this?

SPY.CL <- Cl(SPY)

length(SPY.CL) <- 7*floor(length(SPY.CL)/7)

dim(SPY.CL) <- c(length(SPY.CL)/7, 7)

But note that this looses time stamps because each row can only have a
single time stamp.

You might also try

to.weekly()

Cheers,

Michael

Long Date Monday

Monday Price

Monday Day Index

Long Date Tuesday

Tuesday Price

Tuesday Day Index

Long Date Wednesday

Wednesday Price

Wednesday Index

Long Date Thursday

Thursday Price

Thursday Index

Friday

Friday Price

Friday Index


1/5/2009

92.85

2

1/6/2009

93.47

3

1/7/2009

90.67

4

1/8/2009

84.4

5

1/9/2009

89.09

6


1/12/2009

86.95

2

1/13/2009

87.11

3

1/14/2009

84.37

4

1/15/2009

91.04

5

1/16/2009

85.06

6


MLK Mondy

MLK Monday

MLK Monday

1/20/2009

80.57

3

1/21/2009

84.05

4

1/22/2009

82.75

5

1/23/2009

83.11

6


1/26/2009

83.68

2

1/27/2009

84.53

3

1/28/2009

87.39

4

1/29/2009

84.55

5

1/30/2009

82.83

6










































Thank you,

Douglas


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