r - Create xts index with both date & time -


i want run 1 minute data trading app through r program i've written. far of xts objects have been daily bars yahoo, etc. how create time part of xts index? note date & time in first 2 columns. possible there missing dates, it's pretty guaranteed there missing minutes. there should not duplicates. (i'll check myself)

thanks

library(timedate)  testdata = structure(list(x = 1:6, date = structure(c(1l, 1l, 1l, 1l, 1l,                            1l), .label = "07/01/1998", class = "factor"), time = structure(1:6, .label = c("06:31",                            "06:34", "06:35", "06:36", "06:38", "06:39"), class = "factor"),                            open = c(114.06, 114.11, 114.06, 114.09, 114.09, 114.06),                            high = c(114.06, 114.13, 114.13, 114.09, 114.09, 114.13),                            low = c(114, 114.06, 114.06, 114.03, 114.06, 114.06), close = c(114,                            114.06, 114.13, 114.03, 114.06, 114.13), volume = c(257600l,                            24400l, 2500l, 900l, 3000l, 16700l)), .names = c("x", "date",                            "time", "open", "high", "low", "close", "volume"), class = "data.frame", row.names = c(na,                            -6l))   mydates = as.date(testdata$date,format = "%m/%d/%y") mytimes = as.vector(testdata$time)  myindexes = timedate(paste(mydates, mytimes), format = "%y-%m-%d %h:%m", zone="utc")  newdata = xts(testdata[,3:7], order.by = myindexes)  is.xts(newdata)

here go.

first, data. note superfluous first columns first throws off indices used in code. corrected though.

r> testdata   x       date  time   open   high    low  close volume 1 1 07/01/1998 06:31 114.06 114.06 114.00 114.00 257600 2 2 07/01/1998 06:34 114.11 114.13 114.06 114.06  24400 3 3 07/01/1998 06:35 114.06 114.13 114.06 114.13   2500 4 4 07/01/1998 06:36 114.09 114.09 114.03 114.03    900 5 5 07/01/1998 06:38 114.09 114.09 114.06 114.06   3000 6 6 07/01/1998 06:39 114.06 114.13 114.06 114.13  16700 r>

much worse forced date , time factor type. not idea:

r> sapply(testdata, class)         x      date      time      open      high       low     close    volume  "integer"  "factor"  "factor" "numeric" "numeric" "numeric" "numeric" "integer"  r>

so when work with, first convert character, paste, parse , lastly convert as.posixct type xts rather happy with.

r> x <- xts(testdata[,4:8], +           order.by=as.posixct(strptime(paste(as.character(testdata[,2]), +                                              as.character(testdata[,3])),  +                                              "%m/%d/%y %h:%m"))) r>

et voila:

r> myxts                       open   high    low  close volume 1998-07-01 06:31:00 114.06 114.06 114.00 114.00 257600 1998-07-01 06:34:00 114.11 114.13 114.06 114.06  24400 1998-07-01 06:35:00 114.06 114.13 114.06 114.13   2500 1998-07-01 06:36:00 114.09 114.09 114.03 114.03    900 1998-07-01 06:38:00 114.09 114.09 114.06 114.06   3000 1998-07-01 06:39:00 114.06 114.13 114.06 114.13  16700 r>

but should spend time extensive documentation xts , zoo.


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