# Here is the solution:
require(fBasics)
# Be sure that R is running in time zone GMT.
# Set your Windows environment variable to GMT
# Your PC Windows clock can still run in any other time zone!
# My clock is now running in Zurich in Europe.
Date= c(2003-10-09, 2003-10-10, 2003-10-13, 2003-10-14)
Open = c(1.27, 1.25, 1.27, 1.29)
High = c(1.28, 1.28, 1.29, 1.29)
Low= c(1.25, 1.25, 1.27, 1.27)
Close = c(1.25, 1.27, 1.28, 1.27)
Volume = c(152810, 111338, 243843, 180211)
Data= data.frame(Open, High, Low, Close, Volume)
# In which time zone are your data recorded?
zone = Australia/Sydney
# At what local time have your data been recorded?
# Say, 16:00:00 local time Australia/Sydney when the exchange closes?
Time = 16:00:00
# At which Financial Center you like to use your Data?
FinCenter = Australia/Sydney
# Make a timeSeries Object:
sydney.ts = timeSeries(
data = Data,
charvec = paste(Date, Time),
units = c(Open, High, Low, Close, Volume),
zone = Australia/Sydney,
FinCenter = Australia/Sydney)
sydney.ts
# You should get:
# Open High Low Close Volume
# 2003-10-09 16:00:00 1.27 1.28 1.25 1.25 152810
# 2003-10-10 16:00:00 1.25 1.28 1.25 1.27 111338
# 2003-10-13 16:00:00 1.27 1.29 1.27 1.28 243843
# 2003-10-14 16:00:00 1.29 1.29 1.27 1.27 180211
# Now, you are living at your FinCenter in Adelaide,
# but the data were recorded in the time zone of Sydney:
adelaide.ts = timeSeries(
data = Data,
charvec = paste(Date, Time),
units = c(Open, High, Low, Close, Volume),
zone = Australia/Sydney,
FinCenter = Australia/Adelaide)
adelaide.ts
# Or, you are living in Melbourne:
melbourne.ts = timeSeries(
data = Data,
charvec = paste(Date, Time),
units = c(Open, High, Low, Close, Volume),
zone = Australia/Sydney,
FinCenter = Australia/Melbourne)
melbourne.ts
# Why does it fail for Perth?
# Have a look on the tail of the DST rules for Sydney:
tail(Sydney())
# You get:
# Sydney offSet
# 123 2028-03-25 16:00:00 36000
# 124 2028-10-28 16:00:00 39600
# 125 2029-03-24 16:00:00 36000
# 126 2029-10-27 16:00:00 39600
# 127 2030-03-30 16:00:00 36000
# 128 2030-10-26 16:00:00 39600
# Now for Perth:
tail(Perth())
# You get:
# Perth offSet
# 8 1974-10-26 18:00:00 32400
# 9 1975-03-01 18:00:00 28800
# 10 1983-10-29 18:00:00 32400
# 11 1984-03-03 18:00:00 28800
# 12 1991-11-16 18:00:00 32400
# 13 1992-02-29 18:00:00 28800
# OOPS ...
# The DST rules are missing after 1992.
# A quick repair:
# Let's assume that the DST dates are the same as for Sydney:
# and the offset 2 hours (120 Minutes) earlier:
rm(Perth)
PERTH - Perth
Perth = function() {
Perth = paste(substring(as.character(Sydney()[52:128,1]), 1, 10),
18:00:00)
offSet = Sydney()[52:128,2] - 2*60*60
rbind(PERTH(), data.frame(Perth, offSet))
}
# Try the complete Perth():
Perth()
perth.ts = timeSeries(
data = Data,
charvec = paste(Date, Time),
units = c(Open, High, Low, Close, Volume),
zone = Australia/Sydney,
FinCenter = Australia/Perth)
perth.ts
# You get:
# Open High Low Close Volume
# 2003-10-09 14:00:00 1.27 1.28 1.25 1.25 152810
# 2003-10-10 14:00:00 1.25 1.28 1.25 1.27 111338
# 2003-10-13 14:00:00 1.27 1.29 1.27 1.28 243843
# 2003-10-14 14:00:00 1.29 1.29 1.27 1.27 180211
# Is that right, there are 2 hours difference from Perth to Sydney?
# Note there are some other FinCenters which are not up to date.
# The list will be checked and updated with the next version of Rmetrics.
# Regards
# Diethelm Wuertz
Tom Mulholland wrote:
First things first
R R version 2.0.1, 2004-11-15
OS.type windows
GUI Rgui
I thought that I had the time and date stuff nearly under control. I
don't get the ubiquitous GMT warning although I'm not sure that the
way I have done it is correct. I use a batch file to invoke R
set TZ=GMT
rgui.exe
I have a dataset that I use called tempdata
str(tempdata)
`data.frame': 300 obs. of 7 variables:
$ date : chr 2003/10/09 2003/10/10 2003/10/13 2003/10/14
...
$ Open : num 1.27 1.25 1.27 1.29 1.27 1.28 1.32 1.35 1.35 1.34 ...
$ High : num 1.28 1.28 1.29 1.29 1.29 1.31 1.35 1.37 1.37 1.34 ...
$ Low : num 1.25 1.25 1.27 1.27 1.27 1.28 1.31 1.32 1.33 1.32 ...
$ Close: num 1.25 1.27 1.28 1.27 1.28 1.31 1.35 1.35 1.34 1.33 ...
$ Volume : int 152810 111338 243843 180211 159147 386021 270289
690343 574630 314740 ...
$ dateposix:`POSIXct', format: chr 2003-10-09 2003-10-10
2003-10-13 2003-10-14 ...
I use the POSIXct in my own home-made plots. In playing with Fmetrics
I naturaly wanted to create a time series
This works
ts = timeSeries(tempdata[,2:6], charvec = tempdata[,1],format =
%Y/%m/%d,FinCenter = Australia/Sydney)
Although if I set myFinCenter to Australia/Perth it fails. (See
below for structure)
while
ts = timeSeries(tempdata[,2:6], charvec = tempdata[,1],format =
%Y/%m/%d,FinCenter = Australia/Perth) fails with
Error in if (timeTest == 0)
