Message-ID: <CAPPM_gRcPDNX0r64O_X7bt-Mo0GqoBPzAxyBKAn2ooxfK1ErnQ@mail.gmail.com>
Date: 2011-12-23T20:00:18Z
From: Joshua Ulrich
Subject: using [ on xts object
In-Reply-To: <COL118-W17711693473B934DD406ADEFAB0@phx.gbl>
Dear Mr. or Mrs. Engineer,
On Fri, Dec 23, 2011 at 1:50 PM, financial engineer
<fin_engr at hotmail.com> wrote:
>
> I have the following sample tick data set (Z11):
> 24990 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24991 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24992 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24993 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24994 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24995 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24996 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24997 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24998 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
> 24999 ?2011-10-31 ? ? ? 0421 ? ? ? ?8900 ? ? ? ? ?B
>
> where the second field is the date, third- time, fourth - price, and fifth - bid, ask, or trade
>
> I have converted the above into a xts object using the following command
>
> z<-xts(Z11[,-1],order.by=as.Date(Z11[,1]))
>
> which has resulted in data in the following form
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
> 2011-10-31 "0421" ? ? "8900" ? ? ?"B"
>
> I want to split my data based on the hour of the day, ?so I was trying to use the following
> z['2011-10-31 04/'] to get the data starting from the 04 hour through the end of the day,
>
> but it returns the following:
> z['2011-10-31 04/']
> ? ? trade_time trade_price trade_type
>
> can anyone pls. suggest how I can split the data into hourly intervals from this xts object.....thanks!
>
You can't. You created an xts object with a Date class index. The
Date class doesn't contain any information about time of day. Use a
date/time class (read ?DateTimeClasses).
Subsetting xts objects by time of day has been discussed several times
on this list. Please search the list archives (e.g. via rseek.org).
Regards,
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com