CODEWITHSUNDEEP
rdatetimextsposixct
user3840089
user3840089

Reputation: 41

R creating XTS object using time string

I want to create an xts object using the below data frame. I understand since this is a combination of factors and combination of numeric values it cannot be in a single xts object. I am happy to create seperate objects with grouping done just by time (ok to leave date for the moment). 

date       extime   sym price size notional   ex          
1 2014-06-30 08:00:05.330 RRS.L  4895    2     9790 XLON 
2 2014-06-30 08:00:09.101 RRS.L  4893   23   112539 XLON 
3 2014-06-30 08:00:10.257 RRS.L  4893  119   582267 XLON 
4 2014-06-30 08:00:12.575 RRS.L  4892  128   626176 XLON

xts(testData$price, sapply(testData$extime, function(df) as.POSIXct((getNumericTim(df)   +0.1)/1000, origin = "2014-06-30"),simplify=FALSE))
    # Error in xts(testData$price, sapply(testData$extime, function(df) as.POSIXct((getNumericTime(df) +  : 
    # order.by requires an appropriate time-based object

getNumericTime
function (x){
options(digits.secs=3)
data <- strptime(x,format="%H:%M:%OS")
hr <- as.numeric(strftime(data,"%H"))
mins <- as.numeric(strftime(data,"%M"))
secs <- as.numeric(strftime(data,"%OS"))
(((hr*(60)+mins)*60)+secs)*1000 
}

I know the sapply call returns POSIXct object

sapply(testData$extime,function(df)as.POSIXct((getNumericTime(df)+0.1)/1000, origin = "2014-06-30"),simplify=FALSE)

[[1]]
[1] "2014-06-30 09:00:05.330 BST"

[[2]]
[1] "2014-06-30 09:00:09.101 BST"

[[3]]
[1] "2014-06-30 09:00:10.257 BST"

[[4]]
[1] "2014-06-30 09:00:12.575 BST"

Anything wrong with my xts object creation ?

Upvotes: 4

Views: 9500

Answers (1)

Henrik
Henrik

Reputation: 67818

You may create your order.by vector like this instead:

time <- as.POSIXct(paste(df$date, df$extime), format = "%Y-%m-%d %H:%M:%OS")

Then, create xts object:

library(xts)
xt <- xts(x = df$price, order.by = time)
xt
#                     [,1]
# 2014-06-30 08:00:05 4895
# 2014-06-30 08:00:09 4893
# 2014-06-30 08:00:10 4893
# 2014-06-30 08:00:12 4892

If you want to view the fractional seconds:

options(digits.secs = 3)
xt
#                         [,1]
# 2014-06-30 08:00:05.329 4895
# 2014-06-30 08:00:09.101 4893
# 2014-06-30 08:00:10.256 4893
# 2014-06-30 08:00:12.575 4892

Upvotes: 2

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