Hi all, I am doing some analysis on monthly futures contracts from 2011-2016. Each monthly contract goes for eight weeks, in half hourly resolution.
I'd like to remove first two weeks of eight weeks history for each monthly contract. My approach was to work out the start and end date and cut the 1st two weeks data off, but problem is that the half hourly resolution is sometimes incomplete( i.e. a trading day goes from 7:00am - 4:00pm but sometimes starts at 7:30am). Any suggestion on how to resolve this? Below a sample trading day in half hourly: NGFH6.Open NGFH6.High NGFH6.Low NGFH6.Close NGFH6.Volume NGFH6.WAP NGFH6.hasGaps NGFH6.Count 2016-01-06 07:30:00 0.3395 0.3395 0.3375 0.3380 45 0.33811 0 5 2016-01-06 08:00:00 0.3400 0.3400 0.3387 0.3395 140 0.33928 0 12 2016-01-06 08:30:00 0.3395 0.3395 0.3379 0.3379 70 0.33884 0 5 2016-01-06 09:00:00 0.3379 0.3379 0.3379 0.3379 0 0.33790 0 0 2016-01-06 09:30:00 0.3379 0.3379 0.3379 0.3379 0 0.33790 0 0 2016-01-06 10:00:00 0.3375 0.3380 0.3373 0.3373 230 0.33738 0 14 2016-01-06 10:30:00 0.3376 0.3379 0.3376 0.3379 20 0.33775 0 2 2016-01-06 11:00:00 0.3370 0.3370 0.3370 0.3370 105 0.33700 0 5 2016-01-06 11:30:00 0.3366 0.3366 0.3365 0.3365 65 0.33658 0 4 2016-01-06 12:00:00 0.3370 0.3370 0.3370 0.3370 10 0.33700 0 1 2016-01-06 12:30:00 0.3372 0.3372 0.3361 0.3361 125 0.33686 0 9 2016-01-06 13:00:00 0.3360 0.3360 0.3357 0.3360 225 0.33585 0 17 2016-01-06 13:30:00 0.3357 0.3357 0.3355 0.3355 50 0.33560 0 5 2016-01-06 14:00:00 0.3350 0.3359 0.3350 0.3359 25 0.33554 0 2 2016-01-06 14:30:00 0.3359 0.3359 0.3359 0.3359 0 0.33590 0 0 2016-01-06 15:00:00 0.3352 0.3352 0.3348 0.3352 150 0.33492 0 15 2016-01-06 15:30:00 0.3352 0.3352 0.3334 0.3341 280 0.33364 0 24 2016-01-06 16:00:00 0.3341 0.3375 0.3341 0.3370 145 0.33543 0 17 2016-01-06 16:30:00 0.3380 0.3385 0.3380 0.3385 25 0.33830 0 3 Many Thanks Peter [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.