r中的向量子集

Question

I am trying to subset an xts object of OHLC hourly data with a vector.

If i create the vector myself with the following command

lookup = c("2012-01-12", "2012-01-31", "2012-03-05", "2012-03-19")
testdfx[lookup]
testdfx[lookup]

I get the correct data displayed which shows all the hours that match the dates in the vector (00:00 to 23:00.

> head(testdfx[lookup])
                       open    high     low   close
2012-01-12 00:00:00 1.27081 1.27217 1.27063 1.27211
2012-01-12 01:00:00 1.27212 1.27216 1.27089 1.27119
2012-01-12 02:00:00 1.27118 1.27166 1.27017 1.27133
2012-01-12 03:00:00 1.27134 1.27272 1.27133 1.27261
2012-01-12 04:00:00 1.27260 1.27262 1.27141 1.27183
2012-01-12 05:00:00 1.27183 1.27230 1.27145 1.27165

> tail(testdfx[lookup])
                       open    high     low   close
2012-03-19 18:00:00 1.32451 1.32554 1.32386 1.32414
2012-03-19 19:00:00 1.32417 1.32465 1.32331 1.32372
2012-03-19 20:00:00 1.32373 1.32415 1.32340 1.32372
2012-03-19 21:00:00 1.32373 1.32461 1.32366 1.32376
2012-03-19 22:00:00 1.32377 1.32424 1.32359 1.32366
2012-03-19 23:00:00 1.32364 1.32406 1.32333 1.32336

However when I extract a dates from an object and create a vector to use for subsetting I only get the hours of 00:00-19:00 displayed in my subset.

> head(testdfx[dates])
                      open   high    low  close
2007-01-05 00:00:00 1.3092 1.3093 1.3085 1.3088
2007-01-05 01:00:00 1.3087 1.3092 1.3075 1.3078
2007-01-05 02:00:00 1.3079 1.3091 1.3078 1.3084
2007-01-05 03:00:00 1.3083 1.3084 1.3073 1.3074
2007-01-05 04:00:00 1.3073 1.3080 1.3061 1.3071
2007-01-05 05:00:00 1.3070 1.3072 1.3064 1.3069

> tail(euro[nfp.releases])
                       open    high     low   close
2014-01-10 14:00:00 1.35892 1.36625 1.35728 1.36366
2014-01-10 15:00:00 1.36365 1.36784 1.36241 1.36743
2014-01-10 16:00:00 1.36742 1.36866 1.36693 1.36719
2014-01-10 17:00:00 1.36720 1.36752 1.36579 1.36617
2014-01-10 18:00:00 1.36617 1.36663 1.36559 1.36624
2014-01-10 19:00:00 1.36630 1.36717 1.36585 1.36702

I have compared both objects containing the require dates and they appear to be the same.

> class(lookup)
[1] "character"
> class(nfp.releases)
[1] "character"
> str(lookup)
 chr [1:4] "2012-01-12" "2012-01-31" "2012-03-05" "2012-03-19"
> str(nfp.releases)
 chr [1:86] "2014-02-07" "2014-01-10" "2013-12-06" "2013-11-08" ..

I am new to R but have tried everything over the past 3 days to get this to work. If I can't to it this way I will end up having to create a variable by hand but as its got 86 dates this may take some time.

Thanks in advance.

Answer 1

I cannot reproduce your problem

lookup = c("2012-01-12", "2012-01-31", "2012-03-05", "2012-03-19")

time_index <- seq(from = as.POSIXct("2012-01-01 07:00"),  to = as.POSIXct("2012-05-17 18:00"), by = "hour")

set.seed(1)

value <- matrix(rnorm(n = 4*length(time_index)),length(time_index),4)

testdfx <- xts(value, order.by = time_index)

testdfx[lookup[1]]

testdfx["2012-01-12"]

Answer 2

Thanks for the response guys I actually thought i had deleted this thread but obviously not.

The problem in the case above was to be found around 3' from the computer. When looking through the data I was only interested in Fridays which also means that the FX market is closing down for the week end.

Sorry to have wasted your time and Admin please remove.