Thanks for the effort Michael, but the problem here is that the dates for
which the sequences need to be created have gaps in between. Basically I
need the sequence for only those days on which the security market is open
(I have the dates in a file which is present at the end of THIS mail).
What I have been able to do is to create a list, where each element of the
list is a sequence for a single day. It was done like below:
for(i in 1:124){
seqtimes[[i]] = xts(,seq(as.POSIXct(paste(fdates[i],'09:15:00', sep=" ")),
as.POSIXct(paste(fdates[i],'15:30:00', sep=" ")), by = 1))}
where 'fdates' is the file which contains the dates for which the sequences
need to be created.
But now I am stuck. I need a way to get all these sequences in a
(vector/dataframe/xts object) where all the list items are sequentially
present.
I tried merge.xts, but to no avail.
> seqtimes[[1]]
Data:
numeric(0)
Index:
POSIXct[1:22501], format: "2011-01-03 09:15:00" "2011-01-03 09:15:01"
"2011-01-03 09:15:02" "2011-01-03 09:15:03" "2011-01-03 09:15:04"
"2011-01-03 09:15:05" ...
> seqtimes[[2]]
Data:
numeric(0)
Index:
POSIXct[1:22501], format: "2011-01-04 09:15:00" "2011-01-04 09:15:01"
"2011-01-04 09:15:02" "2011-01-04 09:15:03" "2011-01-04 09:15:04"
"2011-01-04 09:15:05" ...
> tseq = merge.xts(seqtimes[[1]],seqtimes[[2]], all = TRUE)
> tseq
Data:
numeric(0)
Index:
integer(0)
Any help would be greatly appreciated.
Thanks in advance,
Regards,
Shivam
P.S. - The dput of the fdates file:
> dput(fdates)
structure(c("2011-01-03", "2011-01-04", "2011-01-05", "2011-01-06",
"2011-01-07", "2011-01-10", "2011-01-11", "2011-01-12", "2011-01-13",
"2011-01-14", "2011-01-17", "2011-01-18", "2011-01-19", "2011-01-20",
"2011-01-21", "2011-01-24", "2011-01-25", "2011-01-27", "2011-01-28",
"2011-01-31", "2011-02-01", "2011-02-02", "2011-02-03", "2011-02-04",
"2011-02-07", "2011-02-08", "2011-02-09", "2011-02-10", "2011-02-11",
"2011-02-14", "2011-02-15", "2011-02-16", "2011-02-17", "2011-02-18",
"2011-02-21", "2011-02-22", "2011-02-23", "2011-02-24", "2011-02-25",
"2011-02-28", "2011-03-01", "2011-03-03", "2011-03-04", "2011-03-07",
"2011-03-08", "2011-03-09", "2011-03-10", "2011-03-11", "2011-03-14",
"2011-03-15", "2011-03-16", "2011-03-17", "2011-03-18", "2011-03-21",
"2011-03-22", "2011-03-23", "2011-03-24", "2011-03-25", "2011-03-28",
"2011-03-29", "2011-03-30", "2011-03-31", "2011-04-01", "2011-04-04",
"2011-04-05", "2011-04-06", "2011-04-07", "2011-04-08", "2011-04-11",
"2011-04-13", "2011-04-15", "2011-04-18", "2011-04-19", "2011-04-20",
"2011-04-21", "2011-04-25", "2011-04-26", "2011-04-27", "2011-04-28",
"2011-04-29", "2011-05-02", "2011-05-03", "2011-05-04", "2011-05-05",
"2011-05-06", "2011-05-09", "2011-05-10", "2011-05-11", "2011-05-12",
"2011-05-13", "2011-05-16", "2011-05-17", "2011-05-18", "2011-05-19",
"2011-05-20", "2011-05-23", "2011-05-24", "2011-05-25", "2011-05-26",
"2011-05-27", "2011-05-30", "2011-05-31", "2011-06-01", "2011-06-02",
"2011-06-03", "2011-06-06", "2011-06-07", "2011-06-08", "2011-06-09",
"2011-06-10", "2011-06-13", "2011-06-14", "2011-06-15", "2011-06-16",
"2011-06-17", "2011-06-20", "2011-06-21", "2011-06-22", "2011-06-23",
"2011-06-24", "2011-06-27", "2011-06-28", "2011-06-29", "2011-06-30"
), .Dim = c(124L, 1L))
On Sat, May 26, 2012 at 6:22 AM, R. Michael Weylandt <
michael.weyla...@gmail.com> <michael.weyla...@gmail.com> wrote:
> One (somewhat kludgy) way would be to use seq() to make one day's worth of
> times then to pass those to outer() to add in the needed days and then
> coerce the whole thing back to a sorted vector.
>
> I'm not at a computer right now so this won't be quite right but something
> like
>
>
> x <- seq(x.start.first.day, x.end.first.day, by = "sec")
>
> y <- 24*60*60 *(1:n.days)
>
> sort(as.vector(outer(x, y, "+")))
>
> Changing the order of x and y might make the sort unnecessary.
>
> M
>
> On May 25, 2012, at 1:14 PM, Shivam <shivamsi...@gmail.com> wrote:
>
> > 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))
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
--
*Victoria Concordia Crescit*
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