将数据从一个数据帧提取到 r 中的另一个数据帧

Question

I have a dataframe containing daily prices of a stock exchange for several years with their respective dates. I would like to extract the last 3 observations in a month and the first 5 observations of the following month, for every month, and store it in a new dataframe.

In addition to dates (formated as "%Y-%m-%d") I have a column with a counter for every trading day pr month. Example data looks like this:

    df$date <- as.Date(c("2017-03-25","2017-03-26","2017-03-27","2017-03-29","2017-03-30",
                         "2017-03-31","2017-04-03","2017-04-04","2017-04-05","2017-04-06",
                         "2017-04-07","2017-04-08","2017-04-09"))

    df$DayofMonth <- c(18,19,20,21,22,23,1,2,3,4,5,6,7)
    
    df$price <- (100, 100.53, 101.3 ,100.94, 101.42, 101.40, 101.85, 102, 101.9, 102, 102.31, 102.1, 102.23)

And now I want to extract the last 3 observations in March and the first 5 observations in April (and then the last 3 observations in April and the first 5 in May etc, including all columns of the respective rows) and store it in a new dataframe. The only question is how do I do this?

Thanks for helping out!

Answer 1

First idea:

date <- c("2017-03-25","2017-03-26","2017-03-27","2017-03-29","2017-03-30",
                 "2017-03-31","2017-04-03","2017-04-04","2017-04-05","2017-04-06",
                 "2017-04-07","2017-04-08","2017-04-09")

df <- data.table(Date = date)

df[,YearMonth:=str_sub(Date,1,7)]
df[, DayofMonth := seq(.N), by = YearMonth]

first <- df[, .SD[1:ifelse(.N < 5, .N, 5)], by = YearMonth] #first trading days each month
last <- df[, .SD[(ifelse((.N-2) < 0, 0, (.N-2))):.N], by = YearMonth] #last trading days each month

final <- rbind(first, last)
setorder(final, Date)

# be aware that it leads to duplicates for a month if it has less than 8 trading days, 
# to resolve that use unique()

final <- unique(final)

Answer 2

quick and dirty: add a column that is like the DayofMonth column, but shifted by 3 downwards

df$dom2 <- df$DayofMonth[4:(nrow(df)+3)]
subset(df, DayofMonth<=5 | dom2<=3)

the only reason we are still filtering with the actual DayofMonth column (instead of jsut saying dom2<=8) is that at the end of dom2 there will be an NA for your example. Don't know how your real data looks like, but better safe than sorry.