in xts behavior of to.minutes() and to.period()

Hi Jeff -
identical(index(VI),index(WMP))
[1] TRUE

Hi Ken,

Can you check if the index is identical?

identical(index(VI),index(WMP))

As the process is deterministic, something beside the data must be
different.

Jeff

Jeffrey A. Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com

On Jun 24, 2009, at 9:52 AM, Kenneth Spriggs <ksspriggs at 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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in xts behavior of to.minutes() and to.period()

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