Hi All,
I have a query about time based sequences. I know such questions have been
asked a lot on forums, but I couldnt find the exact thing that I was
looking for.
I want to create a time-based sequence which will mimic the trading window
AND would span multiple days. Something like below:
"2011-01-03 09:15:00 IST"
"2011-01-03 09:15:01 IST"
....
....
....
"2011-01-03 15:29:59 IST"
"2011-01-03 15:30:00 IST"
"2011-01-04 09:15:00 IST"
"2011-01-04 09:15:01 IST"
....
....
....
"2011-01-04 15:29:59 IST"
"2011-01-04 15:30:00 IST"
Kindly notice the change of date in the sequence.
The Indian Equity markets open at 09:15:00 and close at 15:30:00. I have
equity data that spans 124 days, and I need to create a corresponding
sequence which I will later use to regularize the irregular dataset to make
a regular time-series.
I was able to accomplish this task for a single day (i.e. creating a
sequence then merging my dataset with it and use na.locf to make my dataset
regular) but am unable to create a sequence for 'n' number of days. Can
anyone help me with this?
If it is of any help, I have a file which contains all the dates for which
I need the sequence. The dput of the file is placed at the end of the
email.
One option is to create sequences for the entire days and then later remove
all these records after merging. Although I havent checked the feasibility
of this method, it would be complex and more so it will increase the data
four folds (I already have 2 million records in the dataframe which I have
to make regular).
Another approach that I could think of was to make a timebased sequence
based on the date from the file and then use a loop to append one sequence
after another. But am not having much success there either.
Any kind of help would be greatly appreciated.
Thanks and regards,
Shivam
structure(list("20110103", "20110104", "20110105", "20110106",
"20110107", "20110110", "20110111", "20110112", "20110113",
"20110114", "20110117", "20110118", "20110119", "20110120",
"20110121", "20110124", "20110125", "20110127", "20110128",
"20110131", "20110201", "20110202", "20110203", "20110204",
"20110207", "20110208", "20110209", "20110210", "20110211",
"20110214", "20110215", "20110216", "20110217", "20110218",
"20110221", "20110222", "20110223", "20110224", "20110225",
"20110228", "20110301", "20110303", "20110304", "20110307",
"20110308", "20110309", "20110310", "20110311", "20110314",
"20110315", "20110316", "20110317", "20110318", "20110321",
"20110322", "20110323", "20110324", "20110325", "20110328",
"20110329", "20110330", "20110331", "20110401", "20110404",
"20110405", "20110406", "20110407", "20110408", "20110411",
"20110413", "20110415", "20110418", "20110419", "20110420",
"20110421", "20110425", "20110426", "20110427", "20110428",
"20110429", "20110502", "20110503", "20110504", "20110505",
"20110506", "20110509", "20110510", "20110511", "20110512",
"20110513", "20110516", "20110517", "20110518", "20110519",
"20110520", "20110523", "20110524", "20110525", "20110526",
"20110527", "20110530", "20110531", "20110601", "20110602",
"20110603", "20110606", "20110607", "20110608", "20110609",
"20110610", "20110613", "20110614", "20110615", "20110616",
"20110617", "20110620", "20110621", "20110622", "20110623",
"20110624", "20110627", "20110628", "20110629", "20110630"), .Dim =
c(124L,
1L), .Dimnames = list(c("X1", "X2", "X3", "X4", "X5", "X6", "X7",
"X8", "X9", "X10", "X11", "X12", "X13", "X14", "X15", "X16",
"X17", "X18", "X19", "X20", "X21", "X22", "X23", "X24", "X25",
"X26", "X27", "X28", "X29", "X30", "X31", "X32", "X33", "X34",
"X35", "X36", "X37", "X38", "X39", "X40", "X41", "X42", "X43",
"X44", "X45", "X46", "X47", "X48", "X49", "X50", "X51", "X52",
"X53", "X54", "X55", "X56", "X57", "X58", "X59", "X60", "X61",
"X62", "X63", "X64", "X65", "X66", "X67", "X68", "X69", "X70",
"X71", "X72", "X73", "X74", "X75", "X76", "X77", "X78", "X79",
"X80", "X81", "X82", "X83", "X84", "X85", "X86", "X87", "X88",
"X89", "X90", "X91", "X92", "X93", "X94", "X95", "X96", "X97",
"X98", "X99", "X100", "X101", "X102", "X103", "X104", "X105",
"X106", "X107", "X108", "X109", "X110", "X111", "X112", "X113",
"X114", "X115", "X116", "X117", "X118", "X119", "X120", "X121",
"X122", "X123", "X124"), NULL))
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