CODEWITHSUNDEEP
rxts
postelrich
postelrich

Reputation: 3506

combine time series into one xts

I'm writing a function that given a path will find all files in the folder, and read all the csv's into one xts object. The files all have the same dates which lineup and I want each file to be another column in the xts. I got the following function but I get Error in temp[, 1] : incorrect number of dimensions. What am I doing wrong?

make.libor.xts <- function(folder){
  filenames <- list.files(path=folder, full.names=TRUE)
  tables <- lapply(filenames, function(x){as.xts(read.zoo(x, sep=",", format="%Y-%m-%d", header=TRUE))})
  cnames <- lapply(filenames, function(x){basename(x)})
  myxts <- tables[1]
  names(myxts) <- cnames[1]
  if(length(filenames)>1){
    for(i in 2:length(filenames)){
      temp <- tables[i]
      myxts$cnames[i] <- temp[,1]
    }
  }
  return(myxts)
}

Upvotes: 0

Views: 1025

Answers (1)

CHP
CHP

Reputation: 17189

You code can be simplified a bit as follows. Use Reduce function to call merge.xts on list of xts objects.

dir("temp")
## [1] "AAPL.csv" "IBM.csv"  "MSFT.csv"


READ.ALL.XTS <- function(folder) {
    filenames <- list.files(path = folder, full.names = TRUE)
    tables <- lapply(filenames, function(x) {
        as.xts(read.zoo(x, sep = ",", format = "%Y-%m-%d", header = TRUE))
    })

    # Lets see contents of tables
    cat("Calling from inside function begin...\n")
    print(head(tables[[1]]))
    print(head(tables[[2]]))
    print(head(tables[[3]]))
    cat("Calling from inside function end...\n")
    cnames <- sapply(filenames, function(x) {
        basename(x)
    })
    combinedxts <- Reduce(f = merge.xts, tables)
    names(combinedxts) <- cnames
    return(combinedxts)
}

result <- READ.ALL.XTS("temp")
## Calling from inside function begin...
##              [,1]
## 2013-01-03 542.10
## 2013-01-04 527.00
## 2013-01-07 523.90
## 2013-01-08 525.31
## 2013-01-09 517.10
## 2013-01-10 523.51
##              [,1]
## 2013-01-03 195.27
## 2013-01-04 193.99
## 2013-01-07 193.14
## 2013-01-08 192.87
## 2013-01-09 192.32
## 2013-01-10 192.88
##             [,1]
## 2013-01-03 27.25
## 2013-01-04 26.74
## 2013-01-07 26.69
## 2013-01-08 26.55
## 2013-01-09 26.70
## 2013-01-10 26.46
## Calling from inside function end...


head(result)
##            AAPL.csv IBM.csv MSFT.csv
## 2013-01-03   542.10  195.27    27.25
## 2013-01-04   527.00  193.99    26.74
## 2013-01-07   523.90  193.14    26.69
## 2013-01-08   525.31  192.87    26.55
## 2013-01-09   517.10  192.32    26.70
## 2013-01-10   523.51  192.88    26.46

Upvotes: 1

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