On Mon, Jun 16, 2014 at 7:04 AM, Costas Vorlow <costas.vor...@gmail.com> wrote: > Dear Joshua, > > Thanks for your reply. As I see, the solution you suggest aligns the time > stamps as required but leaves the aggregation results as is. > > Hence, the last quarter data of every hour are not aggregated still... > > Am I right or am I understanding something wrongly? > You still seem to think the "00" time is the end of the hour, but it's not; it's the beginning. The first 3 rows of 'observation' contain data for the first hour (9 o'clock). The fourth row is the beginning of the second hour (10 o'clock).
> I tried to "move" ahead ends by one (ends<-ends+1) but this does not work > either. It seems that if you change the endpoints, still aggregation happens > every 45 minutes as you pointed out, although the ends variable points to > the round hour time stamp... > ends <- endpoints(observation,'hours')+1 The above doesn't work because endpoints always includes the last observation, which is now out of bounds. You would need to adjust the first and last 'ends' values. ends <- endpoints(observation,'hours')+1 ends[1] <- 0 ends[length(ends)] <- nrow(observation) ends <- unique(ends) temp <- period.apply(observation, ends, sum) Be very careful with the results in this 'temp' object though. If you merge it with another xts object, you will have a look-ahead bias because you will know the aggregate for the time period before it has occurred. > > > __________________________________________________________________ > Costas Vorlow > http://www.linkedin.com/in/costasvorlow > http://www.vorlow.com > > ▇ ▅ █ ▅ ▇ ▂ ▃ ▁ ▁ ▅ ▃ ▅ ▅ ▄ ▅ ▇ ▅ █ ▅ ▇ ▂ ▃ ▁ ▁ ▅ ▃ ▅ ▅ ▄ ▅ ▇ ▅ █ ▅ ▇ > > > On 16 June 2014 13:31, Joshua Ulrich <josh.m.ulr...@gmail.com> wrote: >> >> On Mon, Jun 16, 2014 at 3:41 AM, Costas Vorlow <costas.vor...@gmail.com> >> wrote: >> > Dear all, >> > >> > Why aggregation of 15 minute xts data happens on the 45th (3rd quarter) >> > and >> > not the exact hour close (i.e., 00) time? >> > >> The "00" time is the beginning of the hour, not the end. E.g., >> 10:00:00 is the beginning of the 10-o'clock hour. >> >> > For example, temp below is an xts sequence with 15-minute frequency: >> > >> >> quarters <- ISOdatetime(2012,05,02,9,0,0) + seq(0:39)*15*60; >> >> set.seed(42); >> >> observation <- xts(1:40, order.by=as.POSIXct(quarters)); >> >> head(observation); >> > [,1] >> > 2012-05-02 09:15:00 1 >> > 2012-05-02 09:30:00 2 >> > 2012-05-02 09:45:00 3 >> > 2012-05-02 10:00:00 4 >> > 2012-05-02 10:15:00 5 >> > 2012-05-02 10:30:00 6 >> > >> >> ends<-endpoints(observation,'hours'); >> >> temp<-period.apply(observation, ends,sum); >> >> temp >> > [,1] >> > 2012-05-02 09:45:00 6 >> > 2012-05-02 10:45:00 22 >> > 2012-05-02 11:45:00 38 >> > 2012-05-02 12:45:00 54 >> > 2012-05-02 13:45:00 70 >> > 2012-05-02 14:45:00 86 >> > 2012-05-02 15:45:00 102 >> > 2012-05-02 16:45:00 118 >> > 2012-05-02 17:45:00 134 >> > 2012-05-02 18:45:00 150 >> > 2012-05-02 19:00:00 40 >> >> >> > >> > I get the sum of every quarter within the hour on the third quarter. How >> > can I implicitly calculate the sum of the quarterly data on the hour's >> > close (10:00, 11:00, 12:00 and so on) ? >> > >> Again, those are the beginnings of the hours. endpoints() and >> period.apply() only use the timestamps in your data. If you want to >> round up to the beginning of the next hour, use align.time(). >> >> > align.time(temp, 3600) >> [,1] >> 2012-05-02 10:00:00 6 >> 2012-05-02 11:00:00 22 >> 2012-05-02 12:00:00 38 >> 2012-05-02 13:00:00 54 >> 2012-05-02 14:00:00 70 >> 2012-05-02 15:00:00 86 >> 2012-05-02 16:00:00 102 >> 2012-05-02 17:00:00 118 >> 2012-05-02 18:00:00 134 >> 2012-05-02 19:00:00 150 >> 2012-05-02 20:00:00 40 >> >> > Many thanks in advance, >> > Costas >> > >> > __________________________________________________________________ >> > >> > *Costas Vorlow >> > <http://www.gravatar.com/avatar/49a9dee59073b1ed4a36440a06aeb81b> * >> > *http://www.linkedin.com/in/costasvorlow >> > <http://www.linkedin.com/in/costasvorlow>* >> > *http://www.vorlow.com* <http://www.vorlow.com> >> > >> > ▇ ▅ █ ▅ ▇ ▂ ▃ ▁ ▁ ▅ ▃ ▅ ▅ ▄ ▅ ▇ ▅ █ ▅ ▇ ▂ ▃ ▁ ▁ ▅ ▃ ▅ ▅ ▄ ▅ ▇ ▅ █ ▅ ▇ >> > >> >> Best, >> -- >> Joshua Ulrich | about.me/joshuaulrich >> FOSS Trading | www.fosstrading.com > > ______________________________________________ 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.
