On Jun 12, 2012, at 11:32 PM, Matthew Johnson wrote:
Dear R-help,
I have an xts data set that i have subset by date.
now it contains a date-time-stamp, and two columns (price and volume
traded): my objective is to create tables of volume traded at a
price - and
i've been successfully using aggregate to do so in interactive use.
say the data looks as follows:
px_ym1 vol_ym1
2012-06-01 09:37:00 97.91 437
2012-06-01 09:37:00 97.91 64
2012-06-01 09:37:00 97.91 1
2012-06-01 09:37:00 97.91 5
2012-06-01 09:37:00 97.91 5
2012-06-01 09:37:00 97.92 174
2012-06-01 09:37:00 97.92 64
2012-06-01 09:37:00 97.92 125
2012-06-01 09:37:00 97.92 124
2012-06-01 09:37:00 97.92 64
2012-06-01 09:37:00 97.92 109
2012-06-01 09:37:00 97.92 64
2012-06-01 09:37:00 97.92 19
2012-06-01 09:37:00 97.92 45
2012-06-01 09:37:00 97.92 75
2012-06-01 09:37:00 97.92 3
2012-06-01 09:37:00 97.92 47
2012-06-01 09:37:00 97.91 26
2012-06-01 09:37:00 97.92 4
2012-06-01 09:37:00 97.92 1
the the following gives me what i'm looking for:
adf <- aggregate(.~px_ym1, data=mm, sum)
which is this table:
px_ym1 vol_ym1
1 97.91 538
2 97.92 918
however now i'm trying to code it to run automatically, and use of the
templated version:
adf <- aggregate(.~mm[,1], data=mm, sum)
Did you try:
adf <- aggregate(mm[,-1] ~ mm[,1], data=mm, sum)
adf
I would have used names:
adf <- aggregate(vol_ym1 ~ px_ym1, data=mm, sum)
adf
yields the following - which contains what i'd like, but is has also
summed
across the price column (not ideal).
px_ym1 px_ym1 vol_ym1
1 97.91 587.46 538
2 97.92 1370.88 918
how do i code this so that i can enter an xts data-frame with
arbitrary
names and still obtain the table with only the information i desire?
That is too far to the vague side of the vague-specific continuum.
on a related point, is there a way to combine the two steps?
Er, which two steps would that be?
the function
i've written splits by date and then returns a list containing data-
frames
that report the volume traded at each price on each date
- am i re-creating the wheel here? is there canned function that
does this?
thanks + best regards
matt johnson
David Winsemius, MD
West Hartford, CT
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