[R-SIG-Finance] Open to Close to Open data transformation (quantmod, xts and possibly zoo) + chart.TimeSeries

[Costas Vorlow]

Thanks again.

One more point:

When I try

chart.TimeSeries(newdata, date.format="%d-%m-%y", period.areas =
list(c("03-01-2011","05-06-2011")), period.color = "blue", lwd = 2)

I can't get the event period shadings.

This has to do I guess with the fact that 2 prices have the same data
though different hourly time signature.

Is this correct and how do I rectify it?

I've been trying around with formats but no result so far.

On 23 September 2011 14:56, G See <gsee000 at gmail.com> wrote:
> FWIW, I misread the docs for getSymbols.yahoo which says
>      In the case of xts objects, the indexing will be by Date. This can
>      be altered with the ‘index.class’ argument.  See ‘indexClass’ for
>      more information on changing index classes.
> So, this should be perfectly acceptable as well:
> medata <- getSymbols("^GSPC",
>         from=Sys.Date()-400,
>         index.class='POSIXct',
>         auto.assign=FALSE)
> opens <- Op(medata)
> closes <- Cl(medata)
> index(opens) <- index(opens) + (60*60*8) + (60*30)
> index(closes) <- index(closes) + (60*60*15)
> newdata <- rbind(opens,closes)
> colnames(newdata) <- "GSPC.OC"
>> tail(newdata)
>                     GSPC.OC
> 2011-09-20 08:30:00 1204.50
> 2011-09-20 15:00:00 1202.09
> 2011-09-21 08:30:00 1203.63
> 2011-09-21 15:00:00 1166.76
> 2011-09-22 08:30:00 1164.55
> 2011-09-22 15:00:00 1129.56
>
> On Fri, Sep 23, 2011 at 8:25 AM, G See <gsee000 at gmail.com> wrote:
>>
>> Hi Costas,
>> You need an indexClass that can handle times.  By default getSymbols.yahoo
>> gives you an object with 'Date' indexClass which you need to change to
>> something like 'POSIXct' or 'POSIXlt'
>> (You *can* do this directly in your getSymbols call using the argument
>> index.class='POSIXct', but the documentation says only "Date" is supported,
>> so I'll do it the other way)
>> require(quantmod)
>> getSymbols("^GSPC",from='1990-01-01')
>> medata <- tail(GSPC, 400)
>> indexClass(medata) <- "POSIXct"
>> opens <- Op(medata)
>> closes <- Cl(medata)
>> index(opens) <- index(opens) + (60*60*8) + (60*30)
>> index(closes) <- index(closes) + (60*60*15)
>> newdata <- rbind(opens,closes)
>> colnames(newdata) <- "GSPC.OC"
>> > tail(newdata)
>>                     GSPC.OC
>> 2011-09-20 08:30:00 1204.50
>> 2011-09-20 15:00:00 1202.09
>> 2011-09-21 08:30:00 1203.63
>> 2011-09-21 15:00:00 1166.76
>> 2011-09-22 08:30:00 1164.55
>> 2011-09-22 15:00:00 1129.56
>> Regards,
>> Garrett
>> On Fri, Sep 23, 2011 at 4:50 AM, Costas Vorlow <costas.vorlow at gmail.com>
>> wrote:
>>>
>>> Hello,
>>>
>>> I want to put in order (preferably as a zoo or xts object with a suitable
>>> timestamp)
>>> the open anc closing prices of an (say) index downloaded from YAHOO
>>> finance:
>>>
>>> require(quantmod)
>>> getSymbols('^GSPC',from='1990-01-01')
>>>
>>> medata<- tail((GSPC),400)
>>> opens<-Op(medata)
>>> closes<-Cl(medata)
>>>
>>> i.e., I want  asingle sequence of  1095.89,    1105.24 , 1101.24 ,
>>> 1102.94, and so on ... preferably with a timestamp (morning - evening of
>>> same day as for daily prices zoo does not like the same date in two
>>> consecutive prices...
>>>
>>> > head(merge(opens,closes))
>>>           GSPC.Open GSPC.Close
>>> 2010-02-24   1095.89    1105.24
>>> 2010-02-25   1101.24    1102.94
>>> 2010-02-26   1103.10    1104.49
>>> 2010-03-01   1105.36    1115.71
>>> 2010-03-02   1117.01    1118.31
>>> 2010-03-03   1119.36    1118.79
>>> >
>>> >
>>> Probably I could use the OpCl in quantmod and caclulate the Cl price from
>>> Op, though Is there any easy way using some implicit zoo/xts function for
>>> this? I have problems in puting the timestamps in the xts vobject.
>>>
>>> Thanks,
>>> Costas
>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>
>
>



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