removing repeating values from xts series

Hi David,

as far as I understand, duplicated works from the inner workings very
much like unique.

With a vector y (in this case no timeseries), duplicated yields:
y
[1] 1 1 2 3 2 2 2 2 1
duplicated(y)
[1] FALSE  TRUE FALSE FALSE  TRUE  TRUE  TRUE  TRUE  TRUE

But what I would like to have is:
FALSE TRUE FALSE FALSE FALSE TRUE TRUE TRUE FALSE
or ...
1 2 3 2 1

I am not so sure that duplicated is what I want, unless I didn't spot
something ... some other approach maybe?

Regards,
Ulrich

On Wed, Sep 15, 2010 at 9:08 AM, L?thi David (XICD 1)
Ulrich,
try duplicated(xts.object, ...) or possibly duplicated(as.data.frame(xts.object), ...) if all columns should be considered.
Regards, david

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Ulrich Staudinger
Sent: Wednesday, September 15, 2010 8:28 AM
To: r-sig-finance
Subject: [R-SIG-Finance] removing repeating values from xts series

Hi fellows,

I am facing a case that I cannot solve with my limited knowledge of R,
unless I write the function myself - which I would like to avoid
(reusing is better than reinventing the wheel). Following the relevant
information.

Input scenario:
An xts time series object with duplicates, the object contains bid,
bid volume, ask, ask volume.
Example:
01-01-2010 09:00:01 ? ? 100 ? ? 1 ? ? ? 101 ? ? 1
01-01-2010 09:00:02 ? ? 100 ? ? 1 ? ? ? 101 ? ? 1
01-01-2010 09:00:03 ? ? 100 ? ? 1 ? ? ? 101 ? ? 1
01-01-2010 09:00:04 ? ? 101 ? ? 1 ? ? ? 102 ? ? 1
01-01-2010 09:00:05 ? ? 102 ? ? 1 ? ? ? 102 ? ? 1
01-01-2010 09:00:06 ? ? 100 ? ? 1 ? ? ? 101 ? ? 1
...

Goal:
A timeseries with only non-repeating values, removing the duplicates
in between the values.

I tried "unique" already, but that one returns only the unique values
from within the whole timeseries and not on a running base.

Example code:
The following example code exemplifies with a non-xts series what I
want to achieve ...
y = c(1,1,2,2,1,1,1,2,3,4,3,3,3,3,3,1)
removeDuplicates <- function(input)
{
? ? ? ?index = 2
? ? ? ?ret = c(input[1])
? ? ? ?for(i in 2:length(input))
? ? ? ?{
? ? ? ? ? ? ? ?if(input[i]!=input[i-1])
? ? ? ? ? ? ? ?{
? ? ? ? ? ? ? ? ? ? ? ?ret[index] = input[i]
? ? ? ? ? ? ? ? ? ? ? ?index = index + 1
? ? ? ? ? ? ? ?}
? ? ? ?}
? ? ? ?ret
}
removeDuplicates(y)
[1] 1 2 1 2 3 4 3 1

How can I make this with an xts series? Is there a function for this?

Thanks in advance,
with kind regards,
Ulrich

--
Ulrich Staudinger
activequant.org

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Ulrich Staudinger
activequant.org

removing repeating values from xts series

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