I am trying to align an xts object containing irregularly spaced intra-day
price data to a regularly spaced time clock so that I can do realized
variance/covariance calculations. For example, I have two xts objects
msftTrades and geTrades created by the RTAQ package (the time index variable
is a timeDate object) :
> start(msftTrades)
GMT
[1] [2010-01-04 09:30:00]
> end(msftTrades)
GMT
[1] [2010-01-04 16:00:00]
> start(geTrades)
GMT
[1] [2010-01-04 09:30:01]
> end(geTrades)
GMT
[1] [2010-01-04 15:59:59]
> msftTrades$PRICE[1:10,]
PRICE
2010-01-04 09:30:00 "30.62"
2010-01-04 09:30:01 "30.64"
2010-01-04 09:30:02 "30.66"
2010-01-04 09:30:03 "30.71"
2010-01-04 09:30:04 "30.705"
2010-01-04 09:30:05 "30.695"
2010-01-04 09:30:06 "30.725"
2010-01-04 09:30:07 "30.74"
2010-01-04 09:30:08 "30.74"
2010-01-04 09:30:09 "30.74"
> geTrades$PRICE[1:10,]
PRICE
2010-01-04 09:30:01 "15.21"
2010-01-04 09:30:03 "15.22"
2010-01-04 09:30:06 "15.23"
2010-01-04 09:30:07 "15.24"
2010-01-04 09:30:08 "15.23"
2010-01-04 09:30:09 "15.23"
2010-01-04 09:30:10 "15.22"
2010-01-04 09:30:11 "15.22"
2010-01-04 09:30:13 "15.22"
2010-01-04 09:30:14 "15.21"
Here, the trade prices are recorded to the nearest second but are
irregularly spaced and the time clocks for MSFT and GE are different. For
example, there is no transaction for GE at 09:30:02. I want to do the
following
1. Create a regularly spaced one second time clock between 9:30 and
16:00
2. Align the two price series to this regularly spaced time clock
using the "previous tick" method
For (1), I can use the timeDate align() function to get the regularly
spaced time clock. For example,
> td1sec = align(index(msftTrades), by="1s")
> start(td1sec)
GMT
[1] [2010-01-04 09:30:00]
> end(td1sec)
GMT
[1] [2010-01-04 16:00:00]
> td1sec[1:5]
GMT
[1] [2010-01-04 09:30:00] [2010-01-04 09:30:01] [2010-01-04 09:30:02]
[2010-01-04 09:30:03] [2010-01-04 09:30:04]
> length(td1sec)
[1] 23401
I can't figure out how to do (2). I want to align the data in msftTrades and
geTrades to the new time index td1sec. For the observations that do not
occur on a given time stamp, I want to use the previous tick for that
observation. (In S-PLUS I can easily do this using the align() function).
The RTAQ package has a function called aggregatets() that almost does what I
want. It will do the previous tick aggregation to a one second clock but it
will omit observations in case an interval is empty.
For example, what I want for the geTrades data aligned to the one-second
time clock is the following:
2010-01-04 09:30:00 NA
2010-01-04 09:30:01 "15.21"
2010-01-04 09:30:02 "15.21"
2010-01-04 09:30:03 "15.22"
2010-01-04 09:30:04 "15.22"
2010-01-04 09:30:05 "15.22"
2010-01-04 09:30:06 "15.23"
2010-01-04 09:30:07 "15.24"
2010-01-04 09:30:08 "15.23"
2010-01-04 09:30:09 "15.23"
2010-01-04 09:30:10 "15.22"
2010-01-04 09:30:11 "15.22"
2010-01-04 09:30:12 "15.22"
2010-01-04 09:30:13 "15.22"
2010-01-04 09:30:14 "15.21"
.
Eric Zivot
Professor and Gary Waterman Distinguished Scholar
Department of Economics
Adjunct Professor of Finance
Adjunct Professor of Statistics
Box 353330 email: [email protected]
University of Washington phone: 206-543-6715
Seattle, WA 98195-3330
www: http://faculty.washington.edu/ezivot
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