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How do I bin data into 5 min bins and compute the medians in the bins?
13 messages · Jeff Ryan, Michael, G See +1 more
Use a time series class. This has all been solved thousands of times before in private and on the lists. Jeff
On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com> wrote:
Hi all, I have data in the following format: How do I bucket the data into 5 min bins and then compute the median of quotes in the bins? Currently the "DateTimeStamps" are "factors" in the data frame and I ordered the rows according to these DateTimeStamps Thanks a lot! Bid ? ? ? ? ? Offer ? ? ?DateTimeStamps 46.00 ? ? ? 46.10 ? ? 2006-06-16 12:12:00.082225 ? ? ? ?[[alternative HTML version deleted]]
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Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com
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Use something like: period.apply(X, endpoints(X, "minutes", 5), median) Michael Weylandt
On Thu, Jan 19, 2012 at 1:54 PM, Michael <comtech.usa at gmail.com> wrote:
I have also searched "crazily"... and read into both "xts" and "zoo"... but couldn't find a solution... My questions are: 1. How to handle the ".082225" part in "xts" and "zoo"? 2. The "xts/zoo" interval arithmatic only handles OHLC of an interval, not median of an interval, right? Thanks a lot! On Thu, Jan 19, 2012 at 12:51 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com>wrote:
Use a time series class. ?This has all been solved thousands of times before in private and on the lists. Jeff On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com> wrote:
Hi all, I have data in the following format: How do I bucket the data into 5 min bins and then compute the median of quotes in the bins? Currently the "DateTimeStamps" are "factors" in the data frame and I ordered the rows according to these DateTimeStamps Thanks a lot! Bid ? ? ? ? ? Offer ? ? ?DateTimeStamps 46.00 ? ? ? 46.10 ? ? 2006-06-16 12:12:00.082225 ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions
should go. -- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/>
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
You should lead with what you have tried, it lets everyone have a better idea of what you are looking for. That said, the .082225 is perfectly acceptable to xts, though precision-wise you are near the limit of floating point precision on many platforms. The previous post in this thread is on target to what you want. Take a good look at ?endpoints and to a lesser extend ?period.apply. HTH Jeff
On Thu, Jan 19, 2012 at 12:54 PM, Michael <comtech.usa at gmail.com> wrote:
I have also searched "crazily"... and read into both "xts" and "zoo"... but couldn't find a solution... My questions are: 1. How to handle the ".082225" part in "xts" and "zoo"? 2. The "xts/zoo" interval arithmatic only handles OHLC of an interval, not median of an interval, right? Thanks a lot! On Thu, Jan 19, 2012 at 12:51 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com>wrote:
Use a time series class. ?This has all been solved thousands of times before in private and on the lists. Jeff On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com> wrote:
Hi all, I have data in the following format: How do I bucket the data into 5 min bins and then compute the median of quotes in the bins? Currently the "DateTimeStamps" are "factors" in the data frame and I ordered the rows according to these DateTimeStamps Thanks a lot! Bid ? ? ? ? ? Offer ? ? ?DateTimeStamps 46.00 ? ? ? 46.10 ? ? 2006-06-16 12:12:00.082225 ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions
should go. -- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/>
? ? ? ?[[alternative HTML version deleted]]
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Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com
Michael comtech, You might also consider reading one of the 2 e-mails that Brian sent you on-list in the last month that say to look at ?strftime For example ... the second example on that page format(Sys.time(), "%H:%M:%OS3")
On Thu, Jan 19, 2012 at 1:01 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
You should lead with what you have tried, it lets everyone have a better idea of what you are looking for. That said, the .082225 is perfectly acceptable to xts, though precision-wise you are near the limit of floating point precision on many platforms. ?The previous post in this thread is on target to what you want. Take a good look at ?endpoints and to a lesser extend ?period.apply. HTH Jeff On Thu, Jan 19, 2012 at 12:54 PM, Michael <comtech.usa at gmail.com> wrote:
I have also searched "crazily"... and read into both "xts" and "zoo"... but couldn't find a solution... My questions are: 1. How to handle the ".082225" part in "xts" and "zoo"? 2. The "xts/zoo" interval arithmatic only handles OHLC of an interval, not median of an interval, right? Thanks a lot! On Thu, Jan 19, 2012 at 12:51 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com>wrote:
Use a time series class. ?This has all been solved thousands of times before in private and on the lists. Jeff On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com> wrote:
Hi all, I have data in the following format: How do I bucket the data into 5 min bins and then compute the median of quotes in the bins? Currently the "DateTimeStamps" are "factors" in the data frame and I ordered the rows according to these DateTimeStamps Thanks a lot! Bid ? ? ? ? ? Offer ? ? ?DateTimeStamps 46.00 ? ? ? 46.10 ? ? 2006-06-16 12:12:00.082225 ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions
should go. -- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/>
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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It is preserved, just not displayed. options(digits.secs=6) HTH Jeff
On Thu, Jan 19, 2012 at 1:36 PM, Michael <comtech.usa at gmail.com> wrote:
So is there a way to convert into xts object while preserving the ".082225" part? Thx On Thu, Jan 19, 2012 at 1:32 PM, Michael <comtech.usa at gmail.com> wrote:
Thank you! But it doesn't work...
g1 [1] 46.00 46.00 46.00 45.75 45.75
g2 [1] "2006-06-16 12:12:00.082225" "2006-06-16 12:12:00.082225" [3] "2006-06-16 12:12:00.082225" "2006-06-16 12:07:00.082225" [5] "2006-06-16 12:12:00.082225" It doesn't work: g3=xts(g1, order.by=as.POSIXct(strptime(g2, "%Y-%m-%d %H:%M:%OS3")))
g3 [,1] <NA> 46.00 <NA> 46.00 <NA> 46.00 <NA> 45.75 <NA> 45.75 But the following worked:
g3=xts(g1, order.by=as.POSIXct(strptime(g2, "%Y-%m-%d %H:%M:%OS")))
g3 [,1] 2006-06-16 12:07:00 45.75 2006-06-16 12:12:00 46.00 2006-06-16 12:12:00 46.00 2006-06-16 12:12:00 46.00 2006-06-16 12:12:00 45.75 On Thu, Jan 19, 2012 at 1:07 PM, G See <gsee000 at gmail.com> wrote:
Michael comtech, You might also consider reading one of the 2 e-mails that Brian sent you on-list in the last month that say to look at ?strftime For example ... the second example on that page format(Sys.time(), "%H:%M:%OS3") On Thu, Jan 19, 2012 at 1:01 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
You should lead with what you have tried, it lets everyone have a better idea of what you are looking for. That said, the .082225 is perfectly acceptable to xts, though precision-wise you are near the limit of floating point precision on many platforms. ?The previous post in this thread is on target to what you want. Take a good look at ?endpoints and to a lesser extend ?period.apply. HTH Jeff On Thu, Jan 19, 2012 at 12:54 PM, Michael <comtech.usa at gmail.com>
wrote:
I have also searched "crazily"... and read into both "xts" and
"zoo"... but
couldn't find a solution... My questions are: 1. How to handle the ".082225" part in "xts" and "zoo"? 2. The "xts/zoo" interval arithmatic only handles OHLC of an interval,
not
median of an interval, right? Thanks a lot! On Thu, Jan 19, 2012 at 12:51 PM, Jeffrey Ryan <
jeffrey.ryan at lemnica.com>wrote:
Use a time series class. ?This has all been solved thousands of times before in private and on the lists. Jeff On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com>
wrote:
Hi all, I have data in the following format: How do I bucket the data into 5 min bins and then compute the
median of
quotes in the bins? Currently the "DateTimeStamps" are "factors" in the data frame and I ordered the rows according to these DateTimeStamps Thanks a lot! Bid ? ? ? ? ? Offer ? ? ?DateTimeStamps 46.00 ? ? ? 46.10 ? ? 2006-06-16 12:12:00.082225 ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R
questions
should go. -- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/> <
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R
questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/>
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions
should go.
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com
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It's remarkable how often people's R problems are actually Excel problems. :-) Michael Weylandt
On Fri, Jan 20, 2012 at 11:35 AM, Michael <comtech.usa at gmail.com> wrote:
I followed the "period.apply" advice given previously and it worked... And the write.zoo problem is just an artifact of Excel displaying dates/times... ? Index 17:00.1 49:00.1 00:00.1 03:00.1 On Fri, Jan 20, 2012 at 9:51 AM, Michael <comtech.usa at gmail.com> wrote:
I finally got it work based on you guys' suggestions... Thanks so much guys! On Thu, Jan 19, 2012 at 2:38 PM, Michael <comtech.usa at gmail.com> wrote:
Okay I can see it displays the .082225 part... But when I used: write.zoo It doesn't write out the correct DateTimeStamp... Instead, the csv file has the 1st column: ? ?Index 17:00.1 49:00.1 00:00.1 03:00.1 ? On Thu, Jan 19, 2012 at 2:14 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com
wrote:
It is preserved, just not displayed. options(digits.secs=6) HTH Jeff On Thu, Jan 19, 2012 at 1:36 PM, Michael <comtech.usa at gmail.com> wrote:
So is there a way to convert into xts object while preserving the
".082225"
part? Thx On Thu, Jan 19, 2012 at 1:32 PM, Michael <comtech.usa at gmail.com>
wrote:
Thank you! But it doesn't work...
g1 [1] 46.00 46.00 46.00 45.75 45.75
g2 [1] "2006-06-16 12:12:00.082225" "2006-06-16 12:12:00.082225" [3] "2006-06-16 12:12:00.082225" "2006-06-16 12:07:00.082225" [5] "2006-06-16 12:12:00.082225" It doesn't work: g3=xts(g1, order.by=as.POSIXct(strptime(g2, "%Y-%m-%d %H:%M:%OS3")))
g3 [,1] <NA> 46.00 <NA> 46.00 <NA> 46.00 <NA> 45.75 <NA> 45.75 But the following worked:
g3=xts(g1, order.by=as.POSIXct(strptime(g2, "%Y-%m-%d %H:%M:%OS")))
g3 [,1] 2006-06-16 12:07:00 45.75 2006-06-16 12:12:00 46.00 2006-06-16 12:12:00 46.00 2006-06-16 12:12:00 46.00 2006-06-16 12:12:00 45.75 On Thu, Jan 19, 2012 at 1:07 PM, G See <gsee000 at gmail.com> wrote:
Michael comtech, You might also consider reading one of the 2 e-mails that Brian sent you on-list in the last month that say to look at ?strftime For example ... the second example on that page format(Sys.time(), "%H:%M:%OS3") On Thu, Jan 19, 2012 at 1:01 PM, Jeffrey Ryan <
jeffrey.ryan at lemnica.com>
wrote:
You should lead with what you have tried, it lets everyone have a better idea of what you are looking for. That said, the .082225 is perfectly acceptable to xts, though precision-wise you are near the limit of floating point precision
on
many platforms. ?The previous post in this thread is on target to
what
you want. Take a good look at ?endpoints and to a lesser extend
?period.apply.
HTH Jeff On Thu, Jan 19, 2012 at 12:54 PM, Michael <comtech.usa at gmail.com>
wrote:
I have also searched "crazily"... and read into both "xts" and
"zoo"... but
couldn't find a solution... My questions are: 1. How to handle the ".082225" part in "xts" and "zoo"? 2. The "xts/zoo" interval arithmatic only handles OHLC of an
interval,
not
median of an interval, right? Thanks a lot! On Thu, Jan 19, 2012 at 12:51 PM, Jeffrey Ryan <
jeffrey.ryan at lemnica.com>wrote:
Use a time series class. ?This has all been solved thousands of
times
before in private and on the lists. Jeff On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com
wrote:
Hi all, I have data in the following format: How do I bucket the data into 5 min bins and then compute the
median of
quotes in the bins? Currently the "DateTimeStamps" are "factors" in the data frame
and I
ordered the rows according to these DateTimeStamps Thanks a lot! Bid ? ? ? ? ? Offer ? ? ?DateTimeStamps 46.00 ? ? ? 46.10 ? ? 2006-06-16 12:12:00.082225 ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe
first.
-- Also note that this is not the r-help list where general R
questions
should go. -- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/> <
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R
questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/> <
http://www.esotericr.com/> ?>>> >
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R
questions
should go.
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R
questions should go. -- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com <http://www.esotericr.com/>
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.