Depending on your exchange of interest, you might also find some of
the functions of the timeDate package helpful, e.g., holidayNYSE() --
it will miss the day the market was closed for extraordinary
circumstances, but it seems to do a very good job. [Disclaimer: I
haven't used it myself extensively
On Sun, May 27, 2012 at 8:01 PM, Shivam wrote:
> Its not the number of days per se, it is the random gaps between the dates
> (corresponding to the dates on which the security market was closed) which
> will be difficult to accommodate in the solution proposed by you. So I would
> have to remove t
Its not the number of days per se, it is the random gaps between the dates
(corresponding to the dates on which the security market was closed) which
will be difficult to accommodate in the solution proposed by you. So I
would have to remove the sequence corresponding to those days from the
entire
On Sun, May 27, 2012 at 7:03 PM, Shivam wrote:
> Thanks for the responses ppl.
>
> @Gabor - The issue with your approach was that I had to select the time
> window for many days (124), which would be very difficult to achieve. I
> really appreciate you time though.
Why does the number of days "ma
Thanks for the responses ppl.
@Gabor - The issue with your approach was that I had to select the time
window for many days (124), which would be very difficult to achieve. I
really appreciate you time though.
@Jeff - Your solution works. I had to tweak it a little as I needed the
sequence for eac
Try this:
# Setting TZ is optional, but I find it helps me to be more aware of
# timezone effects
Sys.setenv( TZ="Asia/Kolkata")
library(lubridate)
pdates <- as.POSIXct( fdates )
hstart <- new_period( hour=9, minute=15 )
hend <- new_period( hour=15, minute=30 )
mperiod <- new_period( minute=15
On Fri, May 25, 2012 at 1:14 PM, Shivam 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 wind
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
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.fi
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:
"201
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