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 each second (as against the 15 min interval you had
exhibited). But I was able to achieve that without much hassle. Thanks a
lot, been stuck at this for almost a week :)
Pasting the tweaked version for future reference.
pdates <- as.POSIXct( fdates )
hstart <- new_period( hour=9, minute=15, second=0)
hend <- new_period( hour=15, minute=30,second=0 )
mperiod <- new_period( second=1 )
numperday <- (hend-hstart)/mperiod
dtms <- expand.grid( dt=pdates, tm=hstart + mperiod * seq( from=0,
to=numperday ) )
dtms$dtm <- with( dtms, dt + tm )
dtms <- dtms[ order( dtms$dtm ), ]
Regards,
Shivam
On Mon, May 28, 2012 at 2:51 AM, Jeff Newmiller <jdnew...@dcn.davis.ca.us>wrote:
> 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 )
> numperday <- (hend-hstart)/mperiod
> dtms <- expand.grid( dt=pdates, tm=hstart + mperiod * seq( from=0,
> to=numperday ) )
> dtms$dtm <- with( dtyms, dt + tm )
> dtms <- dtms[ order( dtms$dtm ), ]
>
> You can discard everything but dtms$dtm once it has been created.
>
>
> On Mon, 28 May 2012, Shivam wrote:
>
> 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]]
>>>>
>>>> ______________________________**________________
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>>>> https://stat.ethz.ch/mailman/**listinfo/r-help<https://stat.ethz.ch/mailman/listinfo/r-help>
>>>> PLEASE do read the posting guide
>>>>
>>> http://www.R-project.org/**posting-guide.html<http://www.R-project.org/posting-guide.html>
>>>
>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>
>>>
>>>
>>
>>
>> --
>> *Victoria Concordia Crescit*
>>
>> [[alternative HTML version deleted]]
>>
>> ______________________________**________________
>> R-help@r-project.org mailing list
>> https://stat.ethz.ch/mailman/**listinfo/r-help<https://stat.ethz.ch/mailman/listinfo/r-help>
>> PLEASE do read the posting guide http://www.R-project.org/**
>> posting-guide.html <http://www.R-project.org/posting-guide.html>
>> and provide commented, minimal, self-contained, reproducible code.
>>
>>
> ------------------------------**------------------------------**
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