insert element in IBrokers/XTS time series?

If you are simply looking to make an irregular series 'regular' per
some time-scale (e.g. days), you can merge with a zero-width xts
object or a time-based vector:

?merge.xts and example(merge.xts) will give you some tips.

reg.time <- timeBasedSeq('20090625/20090703')    # creates a 'Date' vector, use retclass to override if needed
reg.time

[1] "2009-06-25" "2009-06-26" "2009-06-27" "2009-06-28" "2009-06-29"
[6] "2009-06-30" "2009-07-01" "2009-07-02" "2009-07-03"

# get some daily data

getSymbols("AAPL", from='2009-06-25')
AAPL

AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2009-06-25    135.75    140.20   135.21     139.86    21051700        139.86
2009-06-26    139.79    143.56   139.74     142.44    15692300        142.44
2009-06-29    143.46    143.95   141.54     141.97    20272000        141.97
2009-06-30    142.58    143.80   141.80     142.43    15508000        142.43
2009-07-01    143.50    144.66   142.52     142.83    14792100        142.83
2009-07-02    141.25    142.83   139.79     140.02    13231400        140.02

merge(AAPL,reg.time)

AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2009-06-25    135.75    140.20   135.21     139.86    21051700        139.86
2009-06-26    139.79    143.56   139.74     142.44    15692300        142.44
2009-06-27        NA        NA       NA         NA          NA            NA
2009-06-28        NA        NA       NA         NA          NA            NA
2009-06-29    143.46    143.95   141.54     141.97    20272000        141.97
2009-06-30    142.58    143.80   141.80     142.43    15508000        142.43
2009-07-01    143.50    144.66   142.52     142.83    14792100        142.83
2009-07-02    141.25    142.83   139.79     140.02    13231400        140.02
2009-07-03        NA        NA       NA         NA          NA            NA

HTH,
Jeff

Hi all,

Let's say I have the following timeseres in IBrokers and XTS:

2009-06-25 ? ? ?18038 ? ? ?18350 ? ? 18011 ? ? ? 18327 ? ? ? ? 5396 ? ? 18183
2009-06-26 ? ? ?18420 ? ? ?18708 ? ? 18331 ? ? ? 18515 ? ? ? ? 7367 ? ? 18499
2009-06-29 ? ? ?18546 ? ? ?18688 ? ? 18423 ? ? ? 18577 ? ? ? ?28728 ? ? 18555
2009-07-03 ? ? ?17951 ? ? ?18198 ? ? 17866 ? ? ? 18149 ? ? ? ?38019 ? ? 18059

I want to add a few more rows, indexed by

"2009-06-30", "2009-07-01", "2009-07-02", and using NA's,

I did the following:

myhist["2009-07-01",]=c(NA, NA, NA, NA, NA, NA, NA, NA)

But it didn't really work.

What's the good way to insert missing points in time series?

Thanks!

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Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com