R 索引 xts 与 HFT 的无间隔时间间隔（跟进显示时间索引提示）

Question

约书亚，

我希望您不会发现这是一种外行方法，但是当我尝试实现您的提示时，如何在我的 xts 对象上仅显示特定时间索引时，我总是得到空白数字。

> dput(x)
structure(c("BHP", "BHP", "BHP", "BHP", "BHP", "BHP", "N", "N", 
"N", "N", "N", "N", "44560", "44560.0313951103", "44551.6606603345", 
"44560", "44560", "44560", "39844", "1072460", "405128", "4911", 
"2782", "1632", "44570", "44573.2273632603", "44579.8960524827", 
"44577.1033732318", "44579.9904979095", "44574.9768058317", "80", 
"13054", "88410", "13785", "5262", "1509", "12", "12", "12", 
"12", "12", "12"), .indexCLASS = structure("timeDate", package = "timeDate"),
.indexTZ = "", class = c("xts", "zoo"), index = structure(c(1306922412,
1306922414, 1306922415, 1306922416, 1306922417, 1306922418), tzone = "",
tclass = structure("timeDate", package = "timeDate")), .Dim = 6:7, .Dimnames = 
list(NULL, c("SYMBOL", "EX", "BID", "BIDSIZ", "OFR", "OFRSIZ","MODE")))
> x["T10:00:14/T10:00:17"]
     SYMBOL EX BID BIDSIZ OFR OFRSIZ MODE

所以我没有得到任何价值，尽管价值显然在那里，我错过了什么？

Answer 1

你没有说你是如何创建 xts 对象的，但我认为这是 xts 如何创建对象的一个​​小错误 - 它没有从 timeDate 对象添加到 TZ。

试试：

 indexTZ(x) <- "GMT"

 x['20110601 10:00:14/20110601 10:00:17']
                SYMBOL EX  BID                BIDSIZ    OFR               
 2011-06-01 10:00:14 "BHP"  "N" "44560.0313951103" "1072460" "44573.2273632603"
 2011-06-01 10:00:15 "BHP"  "N" "44551.6606603345" "405128"  "44579.8960524827"
 2011-06-01 10:00:16 "BHP"  "N" "44560"            "4911"    "44577.1033732318"
 2011-06-01 10:00:17 "BHP"  "N" "44560"            "2782"    "44579.9904979095"
                OFRSIZ  MODE
 2011-06-01 10:00:14 "13054" "12"
 2011-06-01 10:00:15 "88410" "12"
 2011-06-01 10:00:16 "13785" "12"
 2011-06-01 10:00:17 "5262"  "12"

HTH 杰夫

w.r.t.错误 - 我会调查并修补。谢谢。

Answer 2

> x[ with(as.POSIXlt(index(x)), ( sec >= 14)) & with(as.POSIXlt(index(x)), ( sec <= 16) ), ]

                    SYMBOL EX  BID                BIDSIZ    OFR               
2011-06-01 10:00:14 "BHP"  "N" "44560.0313951103" "1072460" "44573.2273632603"
2011-06-01 10:00:15 "BHP"  "N" "44551.6606603345" "405128"  "44579.8960524827"
2011-06-01 10:00:16 "BHP"  "N" "44560"            "4911"    "44577.1033732318"
                    OFRSIZ  MODE
2011-06-01 10:00:14 "13054" "12"
2011-06-01 10:00:15 "88410" "12"
2011-06-01 10:00:16 "13785" "12"

当在规范的秒级使用时，我无法使 ?"[.xts" 中描述的形式工作，但我看到 Jeff R 已经到达现场并演示了 indexTZ(x) <- "GMT" 操作 (我看过的许多帮助页面都没有引用，这是必要的。