hdf5, quantmod, xts... and dates

Hi

I try use hdf5 with quantmod and xts and I have some problems with dates.

Some ideas how can I restore the original date (or 'origin' parametr)?

regards
daniel cegielka

my session:
library(hdf5)
getSymbols('GOOG',from='2009-09-01')
[1] "GOOG"
GOOG
GOOG.Open GOOG.High GOOG.Low GOOG.Close GOOG.Volume GOOG.Adjusted
2009-09-01    459.68    466.82   454.42     455.76     2594900        455.76
2009-09-02    455.82    458.33   452.59     453.01     1804800        453.01
2009-09-03    455.82    458.25   455.00     457.52     1646200        457.52
2009-09-04    457.57    462.60   455.78     461.30     1499200        461.30
2009-09-08    464.29    466.99   455.84     458.62     2656700        458.62
2009-09-09    459.06    466.27   458.80     463.97     2195400        463.97
2009-09-10    466.65    470.94   462.00     470.94     2534600        470.94
2009-09-11    470.40    473.30   467.63     472.14     1902900        472.14
2009-09-14    470.51    476.80   470.05     475.12     1975700        475.12
2009-09-15    475.08    478.91   472.71     477.54     2398100        477.54
hdf5save('test.hdf','GOOG')
Setting buffer size in plist
in vector_io: permuting
About to write
About to write
in vector_io: tidying
ls()
[1] "GOOG"
rm(GOOG)
ls()
character(0)
hdf5load('test.hdf')
NULL
ls()
[1] "GOOG"
GOOG
[,1]   [,2]   [,3]   [,4]    [,5]   [,6]
 [1,] 459.68 466.82 454.42 455.76 2594900 455.76
 [2,] 455.82 458.33 452.59 453.01 1804800 453.01
 [3,] 455.82 458.25 455.00 457.52 1646200 457.52
 [4,] 457.57 462.60 455.78 461.30 1499200 461.30
 [5,] 464.29 466.99 455.84 458.62 2656700 458.62
 [6,] 459.06 466.27 458.80 463.97 2195400 463.97
 [7,] 466.65 470.94 462.00 470.94 2534600 470.94
 [8,] 470.40 473.30 467.63 472.14 1902900 472.14
 [9,] 470.51 476.80 470.05 475.12 1975700 475.12
[10,] 475.08 478.91 472.71 477.54 2398100 477.54
attr(,"index")
 [1] 1251763200 1251849600 1251936000 1252022400 1252368000 1252454400
 [7] 1252540800 1252627200 1252886400 1252972800
attr(,".indexCLASS")
[1] "Date"
attr(,".indexTZ")
[1] "GMT"
attr(,"src")
[1] "yahoo"
attr(,"updated")
[1] 1253104705
xts(GOOG[,],as.Date(GOOG[,1]))
[,1]   [,2]   [,3]   [,4]    [,5]   [,6]
1971-04-01 455.82 458.33 452.59 453.01 1804800 453.01
1971-04-01 455.82 458.25 455.00 457.52 1646200 457.52
1971-04-03 457.57 462.60 455.78 461.30 1499200 461.30
1971-04-05 459.06 466.27 458.80 463.97 2195400 463.97
1971-04-05 459.68 466.82 454.42 455.76 2594900 455.76
1971-04-10 464.29 466.99 455.84 458.62 2656700 458.62
1971-04-12 466.65 470.94 462.00 470.94 2534600 470.94
1971-04-16 470.40 473.30 467.63 472.14 1902900 472.14
1971-04-16 470.51 476.80 470.05 475.12 1975700 475.12
1971-04-21 475.08 478.91 472.71 477.54 2398100 477.54
xts(GOOG[,],as.POSIXct(GOOG[,1],origin='1970-01-01'))
[,1]   [,2]   [,3]   [,4]    [,5]   [,6]
1970-01-01 00:07:35 455.82 458.33 452.59 453.01 1804800 453.01
1970-01-01 00:07:35 455.82 458.25 455.00 457.52 1646200 457.52
1970-01-01 00:07:37 457.57 462.60 455.78 461.30 1499200 461.30
1970-01-01 00:07:39 459.06 466.27 458.80 463.97 2195400 463.97
1970-01-01 00:07:39 459.68 466.82 454.42 455.76 2594900 455.76
1970-01-01 00:07:44 464.29 466.99 455.84 458.62 2656700 458.62
1970-01-01 00:07:46 466.65 470.94 462.00 470.94 2534600 470.94
1970-01-01 00:07:50 470.40 473.30 467.63 472.14 1902900 472.14
1970-01-01 00:07:50 470.51 476.80 470.05 475.12 1975700 475.12
1970-01-01 00:07:55 475.08 478.91 472.71 477.54 2398100 477.54
xts(GOOG[,],as.Date(GOOG[,1],origin='1970-01-01'))
[,1]   [,2]   [,3]   [,4]    [,5]   [,6]
1971-04-01 455.82 458.33 452.59 453.01 1804800 453.01
1971-04-01 455.82 458.25 455.00 457.52 1646200 457.52
1971-04-03 457.57 462.60 455.78 461.30 1499200 461.30
1971-04-05 459.06 466.27 458.80 463.97 2195400 463.97
1971-04-05 459.68 466.82 454.42 455.76 2594900 455.76
1971-04-10 464.29 466.99 455.84 458.62 2656700 458.62
1971-04-12 466.65 470.94 462.00 470.94 2534600 470.94
1971-04-16 470.40 473.30 467.63 472.14 1902900 472.14
1971-04-16 470.51 476.80 470.05 475.12 1975700 475.12
1971-04-21 475.08 478.91 472.71 477.54 2398100 477.54
The problem is GOOG[,1] isn't the time index, that is stored as the
'index' attribute in the object:
character(0)
hdf5load('test.hdf')
NULL
ls()
[1] "GOOG"
GOOG
? ? ? ?[,1] ? [,2] ? [,3] ? [,4] ? ?[,5] ? [,6]
?[1,] 459.68 466.82 454.42 455.76 2594900 455.76
?[2,] 455.82 458.33 452.59 453.01 1804800 453.01
?[3,] 455.82 458.25 455.00 457.52 1646200 457.52
?[4,] 457.57 462.60 455.78 461.30 1499200 461.30
?[5,] 464.29 466.99 455.84 458.62 2656700 458.62
?[6,] 459.06 466.27 458.80 463.97 2195400 463.97
?[7,] 466.65 470.94 462.00 470.94 2534600 470.94
?[8,] 470.40 473.30 467.63 472.14 1902900 472.14
?[9,] 470.51 476.80 470.05 475.12 1975700 475.12
[10,] 475.08 478.91 472.71 477.54 2398100 477.54
attr(,"index")
?[1] 1251763200 1251849600 1251936000 1252022400 1252368000 1252454400
?[7] 1252540800 1252627200 1252886400 1252972800
attr(,".indexCLASS")
[1] "Date"
attr(,".indexTZ")
[1] "GMT"
attr(,"src")
[1] "yahoo"
attr(,"updated")
[1] 1253104705

Something like:

goog <- .xts(GOOG, attr(GOOG,"index"))

should work.  Note the *dot* preceding the *xts* call. This is the
internal version that uses raw
POSIXct timestamps for efficiency purposes.

This would also work:

goog <- xts(GOOG, as.POSIXct(attr(GOOG,"index"),origin="1970-01-01"))

HTH
Jeff

xts(GOOG[,],as.Date(GOOG[,1]))
? ? ? ? ? ? [,1] ? [,2] ? [,3] ? [,4] ? ?[,5] ? [,6]
1971-04-01 455.82 458.33 452.59 453.01 1804800 453.01
1971-04-01 455.82 458.25 455.00 457.52 1646200 457.52
1971-04-03 457.57 462.60 455.78 461.30 1499200 461.30
1971-04-05 459.06 466.27 458.80 463.97 2195400 463.97
1971-04-05 459.68 466.82 454.42 455.76 2594900 455.76
1971-04-10 464.29 466.99 455.84 458.62 2656700 458.62
1971-04-12 466.65 470.94 462.00 470.94 2534600 470.94
1971-04-16 470.40 473.30 467.63 472.14 1902900 472.14
1971-04-16 470.51 476.80 470.05 475.12 1975700 475.12
1971-04-21 475.08 478.91 472.71 477.54 2398100 477.54

xts(GOOG[,],as.POSIXct(GOOG[,1],origin='1970-01-01'))
? ? ? ? ? ? ? ? ? ? ?[,1] ? [,2] ? [,3] ? [,4] ? ?[,5] ? [,6]
1970-01-01 00:07:35 455.82 458.33 452.59 453.01 1804800 453.01
1970-01-01 00:07:35 455.82 458.25 455.00 457.52 1646200 457.52
1970-01-01 00:07:37 457.57 462.60 455.78 461.30 1499200 461.30
1970-01-01 00:07:39 459.06 466.27 458.80 463.97 2195400 463.97
1970-01-01 00:07:39 459.68 466.82 454.42 455.76 2594900 455.76
1970-01-01 00:07:44 464.29 466.99 455.84 458.62 2656700 458.62
1970-01-01 00:07:46 466.65 470.94 462.00 470.94 2534600 470.94
1970-01-01 00:07:50 470.40 473.30 467.63 472.14 1902900 472.14
1970-01-01 00:07:50 470.51 476.80 470.05 475.12 1975700 475.12
1970-01-01 00:07:55 475.08 478.91 472.71 477.54 2398100 477.54

xts(GOOG[,],as.Date(GOOG[,1],origin='1970-01-01'))
? ? ? ? ? ? [,1] ? [,2] ? [,3] ? [,4] ? ?[,5] ? [,6]
1971-04-01 455.82 458.33 452.59 453.01 1804800 453.01
1971-04-01 455.82 458.25 455.00 457.52 1646200 457.52
1971-04-03 457.57 462.60 455.78 461.30 1499200 461.30
1971-04-05 459.06 466.27 458.80 463.97 2195400 463.97
1971-04-05 459.68 466.82 454.42 455.76 2594900 455.76
1971-04-10 464.29 466.99 455.84 458.62 2656700 458.62
1971-04-12 466.65 470.94 462.00 470.94 2534600 470.94
1971-04-16 470.40 473.30 467.63 472.14 1902900 472.14
1971-04-16 470.51 476.80 470.05 475.12 1975700 475.12
1971-04-21 475.08 478.91 472.71 477.54 2398100 477.54

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Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com
Jeff Ryan pisze:
The problem is GOOG[,1] isn't the time index, that is stored as the
'index' attribute in the object:

character(0)

hdf5load('test.hdf')

NULL

ls()

[1] "GOOG"

GOOG

       [,1]   [,2]   [,3]   [,4]    [,5]   [,6]
 [1,] 459.68 466.82 454.42 455.76 2594900 455.76
 [2,] 455.82 458.33 452.59 453.01 1804800 453.01
 [3,] 455.82 458.25 455.00 457.52 1646200 457.52
 [4,] 457.57 462.60 455.78 461.30 1499200 461.30
 [5,] 464.29 466.99 455.84 458.62 2656700 458.62
 [6,] 459.06 466.27 458.80 463.97 2195400 463.97
 [7,] 466.65 470.94 462.00 470.94 2534600 470.94
 [8,] 470.40 473.30 467.63 472.14 1902900 472.14
 [9,] 470.51 476.80 470.05 475.12 1975700 475.12
[10,] 475.08 478.91 472.71 477.54 2398100 477.54
attr(,"index")
 [1] 1251763200 1251849600 1251936000 1252022400 1252368000 1252454400
 [7] 1252540800 1252627200 1252886400 1252972800
attr(,".indexCLASS")
[1] "Date"
attr(,".indexTZ")
[1] "GMT"
attr(,"src")
[1] "yahoo"
attr(,"updated")
[1] 1253104705

Something like:

goog <- .xts(GOOG, attr(GOOG,"index"))

should work.  Note the *dot* preceding the *xts* call. This is the
internal version that uses raw
POSIXct timestamps for efficiency purposes.

This would also work:

goog <- xts(GOOG, as.POSIXct(attr(GOOG,"index"),origin="1970-01-01"))

HTH
Jeff
THX Jeff.. It works ;)