Discretising intra-day data using zoo?

library(zoo)
print(load(url("http://www.mayin.org/ajayshah/tmp/demo.rda")))
options("digits.secs"=6)
head(demo)
tail(demo)

On Sun, Nov 08, 2009 at 07:20:02AM -0500, Gabor Grothendieck wrote:

See the aggregate.zoo example in vignette("zoo-quickref") but round up
to the next 4 seconds instead of next Friday:

to4sec <- function(x) as.POSIXct(4*ceiling(as.numeric(x)/4), origin = "1970-01-01")
aggregate(demo, to4sec, tail, 1)

? ? ? ? ? ? ? ? ? ? spread ? ?ltp
2009-02-16 05:00:04 0.0050 48.715
2009-02-16 05:00:08 0.0025 48.715
2009-02-16 05:00:12 0.0025 48.715
2009-02-16 05:00:16 0.0025 48.715

Gabor, thanks! I am not as fluent with as.POSIXct() as I should be.

And, to continue with my original question:

Suppose there is not a single record in the raw data from 10:30:04 to
10:30:09. Despite this, the resulting object should contain a record
for 10:30:08 with NA values (which can then be filled out e.g. using
na.locf()). How would we do this? This problem is not present in this
data, where records are plentiful. But discretisation code should be
general and handle this case right.

How would we do this? To illustrate:

?demo2 <- demo[-300:-700,]
?plot(index(demo2), 1:599, type="l") ? ? ? ? # we see that 5th to 10th
? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?# second is zapped out.
?to5sec <- function(x) as.POSIXct(5*ceiling(as.numeric(x)/5), origin = "1970-01-01")


Now :

aggregate(demo, to5sec, tail, 1)

? ? ? ? ? ? ? ? ? ?spread ? ?ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:10 0.0025 48.715
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715

aggregate(demo2, to5sec, tail, 1)

? ? ? ? ? ? ? ? ? ?spread ? ?ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715

We should get :

? ? ? ? ? ? ? ? ? ?spread ? ?ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:10 NA ? ? NA
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715

# aggregate to 5 seconds
ag <- aggregate(demo2, to5sec, tail, 1)

# make regular (this will strip class from time)
ag.fill <- as.zoo(as.ts(ag))

# put class back on time
time(ag.fill) <- structure(time(ag.fill), class = class(time(ag)))
ag.fill