Message-ID: <CA+xi=qaysdMHW_fB_wO5ac23Vb5dcMXXvwmrCDV03=eggDVmdQ@mail.gmail.com>
Date: 2016-03-31T11:57:43Z
From: G See
Subject: Remove first two weeks of data in half hourly resolution
In-Reply-To: <1459423444.7774.63.camel@brian-rcg>
Brian's example is good if you want to remove the first 14 calendar
days. If you want to remove the first 14 dates that appear in your
data, it's even simpler
#create sample data
x <- .xts(1:1000, .POSIXct(1:1000*60*30))
# remove 1st 14 days by using a negative with first()
first(x, "-14 days")
Garrett
On Thu, Mar 31, 2016 at 6:24 AM, Brian G. Peterson <brian at braverock.com> wrote:
> Peter,
>
> You haven't published a reproducible example, and I'm not going to take
> the time to write a complete example from scratch.
>
> We use xts subsetting for this type of thing, so I suggest using xts for
> your time series (this is always good advice for time series in R).
>
> Here's a partial example to get you started.
>
> #######################
>
> #load some data from the PerformanceAnalytics package
> data(edhec)
>
> #check the range
> range(index(edhec))
>
> #add 14 days from the start
> first(index(edhec))+14
>
> #now assume that you have an object 'z' with intraday data
> range(z)
>
> #check the range of Dates by forcing the index to Date type
> range(as.Date(index(z)))
>
> #add 114 days, as before
> first(as.Date(index(z)))+14
>
> # now subset by cutting off the first 14 calendar days
> # from the start of the series
> zs <- z[paste0(first(as.Date(index(z)))+14,'/')]
>
> #check the range
> range(as.Date(index(zs)))
>
> ##################
>
> Regards,
>
> Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>
> On Thu, 2016-03-31 at 11:50 +0100, Peter Neumaier wrote:
>> Hi all,
>>
>> I am doing some analysis on monthly futures contracts from 2011-2016.
>> Each monthly contract goes for eight weeks, in half hourly resolution.
>>
>> I'd like to remove first two weeks of eight weeks history for each monthly
>> contract.
>> My approach was to work out the start and end date and cut the 1st two weeks
>> data off, but problem is that the half hourly resolution is sometimes
>> incomplete(
>> i.e. a trading day goes from 7:00am - 4:00pm but sometimes starts at
>> 7:30am).
>>
>> Any suggestion on how to resolve this? Below a sample trading day in half
>> hourly:
>>
>> NGFH6.Open NGFH6.High NGFH6.Low NGFH6.Close
>> NGFH6.Volume NGFH6.WAP NGFH6.hasGaps NGFH6.Count
>> 2016-01-06 07:30:00 0.3395 0.3395 0.3375 0.3380
>> 45 0.33811 0 5
>> 2016-01-06 08:00:00 0.3400 0.3400 0.3387 0.3395
>> 140 0.33928 0 12
>> 2016-01-06 08:30:00 0.3395 0.3395 0.3379 0.3379
>> 70 0.33884 0 5
>> 2016-01-06 09:00:00 0.3379 0.3379 0.3379 0.3379
>> 0 0.33790 0 0
>> 2016-01-06 09:30:00 0.3379 0.3379 0.3379 0.3379
>> 0 0.33790 0 0
>> 2016-01-06 10:00:00 0.3375 0.3380 0.3373 0.3373
>> 230 0.33738 0 14
>> 2016-01-06 10:30:00 0.3376 0.3379 0.3376 0.3379
>> 20 0.33775 0 2
>> 2016-01-06 11:00:00 0.3370 0.3370 0.3370 0.3370
>> 105 0.33700 0 5
>> 2016-01-06 11:30:00 0.3366 0.3366 0.3365 0.3365
>> 65 0.33658 0 4
>> 2016-01-06 12:00:00 0.3370 0.3370 0.3370 0.3370
>> 10 0.33700 0 1
>> 2016-01-06 12:30:00 0.3372 0.3372 0.3361 0.3361
>> 125 0.33686 0 9
>> 2016-01-06 13:00:00 0.3360 0.3360 0.3357 0.3360
>> 225 0.33585 0 17
>> 2016-01-06 13:30:00 0.3357 0.3357 0.3355 0.3355
>> 50 0.33560 0 5
>> 2016-01-06 14:00:00 0.3350 0.3359 0.3350 0.3359
>> 25 0.33554 0 2
>> 2016-01-06 14:30:00 0.3359 0.3359 0.3359 0.3359
>> 0 0.33590 0 0
>> 2016-01-06 15:00:00 0.3352 0.3352 0.3348 0.3352
>> 150 0.33492 0 15
>> 2016-01-06 15:30:00 0.3352 0.3352 0.3334 0.3341
>> 280 0.33364 0 24
>> 2016-01-06 16:00:00 0.3341 0.3375 0.3341 0.3370
>> 145 0.33543 0 17
>> 2016-01-06 16:30:00 0.3380 0.3385 0.3380 0.3385
>> 25 0.33830 0 3
>>
>> Many Thanks
>> Peter
>>
>> [[alternative HTML version deleted]]
>>
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