使用xts循环交易日

时间:2013-06-06 14:15:44

标签: r xts

我正在使用交易记录数据库,调查市场微观结构。以下示例代码适用于特定交易日。

建议使用什么方法来确定xts对象索引的日期,然后用它来遍历下面的代码,每天?

my.xts <- xts(my.frame1[,-1], order.by=my.frame1[,1])
my.val <- my.xts[,1]*my.xts[,2]
my.cumvol <- cumsum(my.xts[,2])
my.cumval <- cumsum(my.val[,1])
my.vwap <- my.cumval/my.cumvol

my.ratio <- (my.xts[,1]/my.vwap - 1)*10000

op <- par(mfrow=c(1,2))
plot(my.ratio)
plot(my.xts[,1])
lines(my.vwap)
par(op)

my.xts示例:

PRICE QUANTITY
2013-06-05 10:00:08  2772     1250
2013-06-05 10:00:08  2772     1204
2013-06-05 10:00:11  2772     1773
2013-06-05 10:00:11  2772       62
2013-06-05 10:00:11  2773     1250
2013-06-05 10:00:11  2773     1250
2013-06-05 10:00:14  2773     1250
2013-06-05 10:00:14  2773     1250
2013-06-05 10:00:14  2772     1217
2013-06-05 10:00:33  2773     1811
2013-06-05 10:00:33  2773     1250
2013-06-05 10:00:42  2773     1610
2013-06-05 10:00:42  2773     1420
2013-06-05 10:00:42  2773      190
2013-06-05 10:01:17  2773     1357
2013-06-05 10:01:17  2773     1800
2013-06-05 10:01:17  2773     1495
2013-06-05 10:01:17  2773      283
2013-06-05 10:02:07  2775      246
2013-06-05 10:02:07  2775      171
2013-06-05 10:02:07  2775     1233
2013-06-05 10:02:14  2775     1500
2013-06-05 10:02:33  2773      700
2013-06-05 10:02:40  2773     3034
2013-06-05 10:02:40  2773      750
2013-06-05 10:02:40  2773     1498
2013-06-05 10:02:58  2773      515
2013-06-05 10:02:58  2773    11985
2013-06-05 10:03:02  2773     1665
2013-06-05 10:03:03  2772     1360
2013-06-05 10:03:03  2771     1140
2013-06-05 10:03:08  2775     3325
2013-06-05 10:03:34  2772     1500
2013-06-05 10:03:34  2772     1360
2013-06-05 10:03:34  2772     1220
2013-06-05 10:03:34  2772     3323
2013-06-05 10:03:42  2772      327
2013-06-05 10:04:13  2775     3339
2013-06-05 10:04:39  2773     7730
2013-06-05 10:04:48  2775     1554
2013-06-05 10:05:15  2774     3561
2013-06-05 10:05:15  2774     1439
2013-06-05 10:05:16  2773      577
2013-06-05 10:05:16  2773     2225
2013-06-05 10:05:16  2773     1083
2013-06-05 10:05:16  2773     1900
2013-06-05 10:05:16  2774     1502
2013-06-05 10:05:16  2773      102
2013-06-05 10:05:16  2773     1338
2013-06-05 10:05:16  2773     1228
2013-06-05 10:05:16  2773     2270
2013-06-05 10:05:26  2773     2775
2013-06-05 10:05:36  2772     9000
2013-06-05 10:05:36  2772     1000
2013-06-05 10:05:42  2773     2409
2013-06-05 10:05:44  2773      464
2013-06-05 10:05:44  2773     1743
2013-06-05 10:05:44  2773     1477
2013-06-05 10:05:44  2773     1925
2013-06-05 10:05:44  2773     2438
2013-06-05 10:05:44  2773      309
2013-06-05 10:05:44  2773     1932
2013-06-05 10:05:44  2773     1447
2013-06-05 10:05:44  2773      446
2013-06-05 10:05:44  2773     1410
2013-06-05 10:05:44  2773      372
2013-06-05 10:05:44  2773      715
2013-06-05 10:05:44  2773      847
2013-06-05 10:05:44  2773     1628
2013-06-05 10:05:44  2773     1574
2013-06-05 10:05:44  2773     1504
2013-06-05 10:05:44  2773      963
2013-06-05 10:05:44  2773     1531
2013-06-05 10:05:44  2773     1628
2013-06-05 10:05:44  2773     2185
2013-06-05 10:05:44  2773     1639
2013-06-05 10:05:44  2773     2330
2013-06-05 10:05:44  2773     2113
2013-06-05 10:05:44  2773      841
2013-06-05 10:05:45  2773     2226
2013-06-05 10:05:45  2773     1332
2013-06-05 10:05:45  2773     2320
2013-06-05 10:05:45  2773      845
2013-06-05 10:05:45  2773     1665
2013-06-05 10:05:45  2773      609
2013-06-05 10:05:45  2773     2226
2013-06-05 10:05:45  2773     1497
2013-06-05 10:05:45  2773      405
2013-06-05 10:05:45  2773     1022
2013-06-05 10:05:45  2773      174
2013-06-05 10:05:45  2773     1608
2013-06-05 10:05:45  2773      228
2013-06-05 10:05:45  2773     2020
2013-06-05 10:05:45  2773     1885
2013-06-05 10:05:45  2773     1524
2013-06-05 10:05:45  2773     2262
2013-06-05 10:05:45  2773     1618
2013-06-05 10:05:45  2773     2060
2013-06-05 10:05:45  2773     1843
2013-06-05 10:05:45  2773     2036
2013-06-05 10:05:45  2773      293
2013-06-05 10:05:45  2773     2034
2013-06-05 10:05:45  2773     1039
2013-06-05 10:05:45  2773      704
2013-06-05 10:05:46  2773       91
2013-06-05 10:05:46  2773     1135
2013-06-05 10:05:46  2773     1583
2013-06-05 10:05:46  2773      972
2013-06-05 10:05:46  2773     1309
2013-06-05 10:05:46  2773     2429
2013-06-05 10:05:46  2773     2164
2013-06-05 10:05:46  2773     1708
2013-06-05 10:05:46  2773     1527
2013-06-05 10:05:46  2773     2174
2013-06-05 10:05:46  2773      434
2013-06-05 10:05:46  2773      892
2013-06-05 10:05:46  2773     1554
2013-06-05 10:05:46  2773     2091
2013-06-05 10:05:46  2773     2107
2013-06-05 10:05:46  2773     1933
2013-06-05 10:05:46  2773     2341
2013-06-05 10:05:46  2773      619
2013-06-05 10:05:46  2773      623
2013-06-05 10:05:46  2773     2393
2013-06-05 10:05:46  2773     1977
2013-06-05 10:05:46  2773     1897
2013-06-05 10:05:46  2773      204
2013-06-05 10:05:46  2773      890
2013-06-05 10:05:46  2773     1738
2013-06-05 10:05:46  2773     1998
2013-06-05 10:05:46  2773     1684
2013-06-05 10:05:46  2773     1069
2013-06-05 10:05:46  2773     1578
2013-06-05 10:05:46  2773     1769
2013-06-05 10:05:47  2773     1535
2013-06-05 10:05:47  2773     1159
2013-06-05 10:05:47  2773     1354
2013-06-05 10:05:47  2773     1300
2013-06-05 10:05:47  2773     1300
2013-06-05 10:05:47  2773     1605
2013-06-05 10:05:47  2773      937
2013-06-05 10:05:47  2775     2802
2013-06-05 10:05:47  2773     2063
2013-06-05 10:05:47  2773     2095
2013-06-05 10:05:47  2773      283
2013-06-05 10:05:47  2773      366
2013-06-05 10:05:47  2773     1940
2013-06-05 10:05:52  2775     2011
2013-06-05 10:05:52  2775     1135
2013-06-05 10:06:01  2775     3184
2013-06-05 10:06:02  2775     3184
2013-06-05 10:06:02  2775     1911
2013-06-05 10:06:02  2775     3184
2013-06-05 10:06:02  2775     3184
2013-06-05 10:06:05  2779      703
2013-06-05 10:06:05  2779     1109
2013-06-05 10:06:05  2779     2802
2013-06-05 10:06:05  2779     1212
2013-06-05 10:06:05  2778      740
2013-06-05 10:06:05  2777     1346
2013-06-05 10:06:05  2778      260
2013-06-05 10:06:06  2779     1591
2013-06-05 10:06:06  2780       51
2013-06-05 10:06:07  2779     3006
2013-06-05 10:06:18  2779     3188
2013-06-05 10:06:18  2779     3188
2013-06-05 10:06:18  2779      564
2013-06-05 10:06:18  2779     2624
2013-06-05 10:06:19  2779     2207
2013-06-05 10:06:21  2776     1136
2013-06-05 10:06:21  2776     1300
2013-06-05 10:06:21  2776     1300
2013-06-05 10:06:21  2776     1800
2013-06-05 10:06:21  2776       16
2013-06-05 10:06:30  2780     3051
2013-06-05 10:06:30  2780     3179
2013-06-05 10:06:30  2779      229
2013-06-05 10:06:30  2780     2950
2013-06-05 10:06:41  2780     3171
2013-06-05 10:06:41  2780     2598
2013-06-05 10:06:41  2780      573
2013-06-05 10:06:41  2780      859
2013-06-05 10:06:49  2780     4768
2013-06-05 10:06:49  2780     2338
2013-06-05 10:06:49  2780     2856
2013-06-05 10:06:49  2780       38
2013-06-05 10:06:52  2782      292
2013-06-05 10:06:52  2781     2932
2013-06-05 10:07:34  2782      209
2013-06-05 10:07:34  2782     3255
2013-06-05 10:07:42  2780     1435
2013-06-05 10:07:42  2780     1285
2013-06-05 10:07:42  2780      400
2013-06-05 10:07:42  2780      637
2013-06-05 10:07:42  2780     1547
2013-06-05 10:07:42  2780      263
2013-06-05 10:07:42  2780     5200
2013-06-05 10:07:42  2780     5200
2013-06-05 10:07:42  2782     4475
2013-06-05 10:07:42  2780     2663
2013-06-05 10:07:42  2780      438
2013-06-05 10:07:42  2780     5200
2013-06-05 10:07:42  2781     1900
2013-06-05 10:07:42  2780      510
2013-06-05 10:07:42  2780      910
2013-06-05 10:07:42  2782     2646
2013-06-05 10:07:42  2780     1445
2013-06-05 10:07:42  2780     4290
2013-06-05 10:07:42  2780     3477
2013-06-05 10:07:42  2780     4800
2013-06-05 10:07:43  2780     3200
2013-06-05 10:07:43  2780     3877
2013-06-05 10:07:43  2780     1323
2013-06-05 10:07:54  2782     2373
2013-06-05 10:07:59  2782     3249
2013-06-05 10:08:03  2780     2077
2013-06-05 10:08:03  2780    10000
2013-06-05 10:08:03  2780     1903
2013-06-05 10:08:03  2780     1226
2013-06-05 10:08:03  2780      670
2013-06-05 10:08:03  2780     7359
2013-06-05 10:08:03  2780     2923
2013-06-05 10:08:03  2780    10000
2013-06-05 10:08:03  2780      564
2013-06-05 10:08:04  2780     1488
2013-06-05 10:08:11  2780      200
2013-06-05 10:08:11  2780      223
2013-06-05 10:08:11  2780     4713
2013-06-05 10:08:13  2778     1453
2013-06-05 10:08:13  2780     1500
2013-06-05 10:08:13  2780     1594
2013-06-05 10:08:13  2780     8837
2013-06-05 10:08:13  2780     1599
2013-06-05 10:08:13  2780     3186
2013-06-05 10:08:13  2780    10000
2013-06-05 10:08:13  2780    10000
2013-06-05 10:08:13  2780     2763
2013-06-05 10:08:13  2780     1163
2013-06-05 10:08:13  2780     1900
2013-06-05 10:08:14  2782     2924
2013-06-05 10:08:23  2782     3183
2013-06-05 10:08:24  2782     1572
2013-06-05 10:08:24  2780     1211
2013-06-05 10:08:24  2782     1372
2013-06-05 10:08:24  2782      239
2013-06-05 10:08:24  2782     2581
2013-06-05 10:08:24  2782     3183
2013-06-05 10:08:25  2780     5596
2013-06-05 10:08:25  2780     1845
2013-06-05 10:08:25  2780     1307
2013-06-05 10:08:25  2780     1500
2013-06-05 10:08:25  2780     6604
2013-06-05 10:08:25  2780    10000
2013-06-05 10:08:25  2780     1300
2013-06-05 10:08:37  2782      597
2013-06-05 10:08:37  2782     3180
2013-06-05 10:08:39  2780     2028
2013-06-05 10:08:39  2780     3005
2013-06-05 10:08:39  2780      251
2013-06-05 10:08:39  2780     1430
2013-06-05 10:08:39  2780      244
2013-06-05 10:08:39  2780      673
2013-06-05 10:08:39  2781     1300
2013-06-05 10:08:39  2780     1500
2013-06-05 10:08:39  2780    10000
2013-06-05 10:08:39  2780      947
2013-06-05 10:08:39  2781     1500
2013-06-05 10:08:39  2780    10000
2013-06-05 10:08:42  2782      886
2013-06-05 10:08:46  2782      717
2013-06-05 10:08:46  2784      283
2013-06-05 10:08:50  2780     1889
2013-06-05 10:08:50  2780     2254
2013-06-05 10:08:50  2780     1650
2013-06-05 10:08:50  2780     1300
2013-06-05 10:08:50  2780     1549
2013-06-05 10:08:50  2780     1758
2013-06-05 10:08:50  2780     2274
2013-06-05 10:08:50  2780     1097
2013-06-05 10:08:50  2780     1500
2013-06-05 10:08:51  2780     1804
2013-06-05 10:08:51  2780     2386
2013-06-05 10:08:51  2780     2337
2013-06-05 10:08:51  2780     2042
2013-06-05 10:08:51  2780     2377
2013-06-05 10:08:51  2780     2066
2013-06-05 10:08:51  2780      182
2013-06-05 10:08:51  2780     1784
2013-06-05 10:08:51  2780     1913
2013-06-05 10:08:51  2780      457
2013-06-05 10:08:51  2780     2429
2013-06-05 10:08:51  2780     1511
2013-06-05 10:08:51  2780     2316
2013-06-05 10:08:51  2780     1569
2013-06-05 10:08:51  2780     2008
2013-06-05 10:08:51  2780      777
2013-06-05 10:08:51  2780     1792
2013-06-05 10:08:51  2780     1815
2013-06-05 10:08:51  2780      933
2013-06-05 10:08:51  2780     1684
2013-06-05 10:08:51  2780     2255
2013-06-05 10:08:51  2780     2049
2013-06-05 10:08:51  2780     1858
2013-06-05 10:08:51  2780     1659
2013-06-05 10:08:56  2784     1000
2013-06-05 10:08:56  2784     3717
2013-06-05 10:08:57  2783     3173
2013-06-05 10:08:57  2783     3173
2013-06-05 10:08:57  2783     3173
2013-06-05 10:08:58  2783     1215
2013-06-05 10:08:58  2783     3173
2013-06-05 10:09:09  2780     2469
2013-06-05 10:09:09  2780     2412
2013-06-05 10:09:09  2780     1859
2013-06-05 10:09:09  2780     3186
2013-06-05 10:09:09  2780     1732
2013-06-05 10:09:09  2780     1787
2013-06-05 10:09:09  2780     1827
2013-06-05 10:09:09  2780     2419
2013-06-05 10:09:09  2780     2238
2013-06-05 10:09:09  2780     2120
2013-06-05 10:09:09  2780     1300
2013-06-05 10:09:09  2780     3186
2013-06-05 10:09:10  2780     1846
2013-06-05 10:09:10  2780     1023
2013-06-05 10:09:10  2780     2213
2013-06-05 10:09:10  2780     1514
2013-06-05 10:09:10  2780     2172
2013-06-05 10:09:10  2780     1741
2013-06-05 10:09:10  2780     2267
2013-06-05 10:09:10  2780     1523
2013-06-05 10:09:10  2780     1510
2013-06-05 10:09:10  2780     2056
2013-06-05 10:09:10  2780     1593
2013-06-05 10:09:10  2780     3186
2013-06-05 10:09:10  2780     1727
2013-06-05 10:09:10  2780      276
2013-06-05 10:09:10  2780      771
2013-06-05 10:09:10  2780     2240
2013-06-05 10:09:10  2780     2134
2013-06-05 10:09:19  2783     3174
2013-06-05 10:09:20  2783     3174
2013-06-05 10:09:20  2783     1207
2013-06-05 10:09:20  2783     3174
2013-06-05 10:09:20  2783     3174
2013-06-05 10:09:21  2780     2238
2013-06-05 10:09:21  2780     1619
2013-06-05 10:09:21  2780      938
2013-06-05 10:09:21  2780     1572
2013-06-05 10:09:21  2780     2496
2013-06-05 10:09:21  2780     2339
2013-06-05 10:09:21  2780     2457
2013-06-05 10:09:21  2780     2398
2013-06-05 10:09:21  2780     1806
2013-06-05 10:09:21  2780     1811
2013-06-05 10:09:21  2780     1300
2013-06-05 10:09:21  2780     1907
2013-06-05 10:09:21  2780     1804
2013-06-05 10:09:21  2780     1919
2013-06-05 10:09:21  2780     2098
2013-06-05 10:09:22  2780      808
2013-06-05 10:09:22  2780     2128
2013-06-05 10:09:22  2780     1604
2013-06-05 10:09:22  2780     1620
2013-06-05 10:09:22  2778      303
2013-06-05 10:09:22  2778     1362
2013-06-05 10:09:22  2780     1910
2013-06-05 10:09:22  2780     2277
2013-06-05 10:09:22  2778     1331
2013-06-05 10:09:22  2780     2018
2013-06-05 10:09:22  2780     2422
2013-06-05 10:09:22  2780     2142
2013-06-05 10:09:22  2778      341
2013-06-05 10:09:22  2780      142
2013-06-05 10:09:22  2780     2222
2013-06-05 10:09:22  2780     1502
2013-06-05 10:09:22  2780     2271
2013-06-05 10:09:22  2780     1574
2013-06-05 10:09:22  2780     2187
2013-06-05 10:09:22  2780     1515
2013-06-05 10:09:22  2780     2079
2013-06-05 10:09:22  2780     1669
2013-06-05 10:09:23  2778     1115
2013-06-05 10:09:23  2780     1857
2013-06-05 10:09:23  2777     1750
2013-06-05 10:09:23  2777     1650
2013-06-05 10:09:35  2783     1010
2013-06-05 10:09:35  2783     2190
2013-06-05 10:09:35  2783     3200
2013-06-05 10:09:35  2783     3200
2013-06-05 10:09:35  2783     3200
2013-06-05 10:09:36  2783      796
2013-06-05 10:09:49  2783     3191
2013-06-05 10:09:49  2783     3117
2013-06-05 10:09:49  2783     1926
2013-06-05 10:09:49  2783       74
2013-06-05 10:10:01  2783     1512
2013-06-05 10:10:01  2783     2687
2013-06-05 10:10:16  2783     3145
2013-06-05 10:10:16  2783      966
2013-06-05 10:10:27  2783      662
2013-06-06 10:00:40  2733      353
2013-06-06 10:00:40  2733     2145
2013-06-06 10:00:40  2733     1569
2013-06-06 10:00:58  2732     9000
2013-06-06 10:00:58  2732     1500
2013-06-06 10:00:58  2732     1884
2013-06-06 10:00:58  2732     2508
2013-06-06 10:01:00  2732     5942
2013-06-06 10:01:03  2732      650
2013-06-06 10:01:03  2732      250
2013-06-06 10:01:03  2732     1458
2013-06-06 10:01:04  2732      712
2013-06-06 10:01:04  2732     1674
2013-06-06 10:01:04  2732       26
2013-06-06 10:01:08  2732      901
2013-06-06 10:01:21  2732     1386
2013-06-06 10:01:21  2732      422
2013-06-06 10:01:22  2732     1600
2013-06-06 10:01:34  2731     3003
2013-06-06 10:01:34  2731     1361
2013-06-06 10:01:34  2731     3000
2013-06-06 10:01:34  2731     1541
2013-06-06 10:01:34  2731     4000
2013-06-06 10:01:35  2730     4723
2013-06-06 10:01:38  2732     1000
2013-06-06 10:01:41  2732     5758
2013-06-06 10:01:41  2732     1932
2013-06-06 10:01:41  2732     8092
2013-06-06 10:01:41  2732     9253
2013-06-06 10:01:41  2732     2549
2013-06-06 10:01:41  2732      704
2013-06-06 10:01:41  2732     6654
2013-06-06 10:01:55  2735      500
2013-06-06 10:02:01  2733     1260
2013-06-06 10:02:01  2733     1260
2013-06-06 10:02:01  2733     1997
2013-06-06 10:02:01  2733      419
2013-06-06 10:03:13  2735     1813
2013-06-06 10:03:16  2735     1832
2013-06-06 10:03:16  2735      374
2013-06-06 10:03:16  2735     2864
2013-06-06 10:03:16  2735     4324
2013-06-06 10:03:17  2735     2245
2013-06-06 10:03:18  2735     5645
2013-06-06 10:03:18  2735     2518
2013-06-06 10:03:19  2735     1305
2013-06-06 10:03:19  2735     1354
2013-06-06 10:03:21  2735      597
2013-06-06 10:03:21  2735     1712
2013-06-06 10:03:22  2735      200
2013-06-06 10:03:22  2735      197
2013-06-06 10:03:22  2735     2045
2013-06-06 10:03:22  2735       45
2013-06-06 10:03:25  2737      200
2013-06-06 10:03:29  2735     2234
2013-06-06 10:03:34  2739     1500
2013-06-06 10:03:41  2739     4458
2013-06-06 10:03:41  2739     2500
2013-06-06 10:03:46  2739    14603
2013-06-06 10:03:50  2736      359
2013-06-06 10:04:06  2739     1088
2013-06-06 10:04:10  2739     1499
2013-06-06 10:04:10  2739        1
2013-06-06 10:04:11  2739        1
2013-06-06 10:04:11  2739     1495
2013-06-06 10:04:16  2739     3505
2013-06-06 10:04:19  2740      172
2013-06-06 10:04:19  2738     9910
2013-06-06 10:04:19  2738     1300
2013-06-06 10:04:24  2738     1468
2013-06-06 10:04:24  2738     1824
2013-06-06 10:04:41  2739     1601
2013-06-06 10:04:47  2738     4595
2013-06-06 10:04:53  2738      394
2013-06-06 10:04:53  2738     6165
2013-06-06 10:04:53  2738     6162
2013-06-06 10:04:53  2738     1800
2013-06-06 10:04:53  2738     5479
2013-06-06 10:05:01  2739     7985
2013-06-06 10:05:05  2739     1947
2013-06-06 10:05:08  2740     5000
2013-06-06 10:05:08  2739     3664
2013-06-06 10:05:08  2739     5527
2013-06-06 10:05:08  2740     3056
2013-06-06 10:05:08  2740     5000
2013-06-06 10:05:53  2740      516
2013-06-06 10:06:07  2740     1000
2013-06-06 10:06:44  2740     3347
2013-06-06 10:06:44  2740     3653
2013-06-06 10:06:58  2740      730
2013-06-06 10:07:27  2738     4613
2013-06-06 10:07:27  2738     1532
2013-06-06 10:07:27  2738     1505
2013-06-06 10:07:38  2738      100
2013-06-06 10:07:47  2738     6052
2013-06-06 10:07:47  2738     5287
2013-06-06 10:07:47  2738     1542
2013-06-06 10:07:47  2738     1443
2013-06-06 10:08:17  2739     5419
2013-06-06 10:08:17  2739     3650
2013-06-06 10:08:17  2739     3385
2013-06-06 10:08:17  2739     2149
2013-06-06 10:08:19  2738     1936
2013-06-06 10:08:22  2738     3971
2013-06-06 10:08:29  2739     1961
2013-06-06 10:08:29  2739     4278
2013-06-06 10:08:29  2739     1426
2013-06-06 10:08:32  2739     1847
2013-06-06 10:08:38  2739     3838
2013-06-06 10:08:38  2740     2662
2013-06-06 10:08:44  2740     1963
2013-06-06 10:08:45  2740      300
2013-06-06 10:08:52  2740       75
2013-06-06 10:08:52  2740       75
2013-06-06 10:08:52  2740       75
2013-06-06 10:08:52  2740       75
2013-06-06 10:08:52  2740       31
2013-06-06 10:09:12  2745     3210
2013-06-06 10:09:12  2745     3381
2013-06-06 10:09:12  2745     1331
2013-06-06 10:09:12  2745       69
2013-06-06 10:09:12  2745     3649
2013-06-06 10:09:12  2745     3000
2013-06-06 10:09:12  2745     5912
2013-06-06 10:09:12  2745     1487
2013-06-06 10:09:28  2745     5000
2013-06-06 10:09:28  2745     5000
2013-06-06 10:09:56  2745     1829
2013-06-06 10:09:57  2745     1918
2013-06-06 10:09:57  2745     1082
2013-06-06 10:10:05  2745     3000
2013-06-06 10:10:05  2745     1724
2013-06-06 10:10:05  2746     2467
2013-06-06 10:10:05  2745     3000
2013-06-06 10:10:05  2745     2911
2013-06-06 10:10:06  2745     1000
2013-06-06 10:10:06  2745     3000
2013-06-06 10:10:06  2745     2911
2013-06-06 10:10:07  2745     2911
2013-06-06 10:10:07  2745     2911
2013-06-06 10:10:08  2745     2911
2013-06-06 10:10:08  2745     2911
2013-06-06 10:10:09  2745     2911
2013-06-06 10:10:10  2745     2911
2013-06-06 10:10:10  2745     2911
2013-06-06 10:10:11  2745     2911
2013-06-06 10:10:12  2745     2911
2013-06-06 10:10:13  2745     2911
2013-06-06 10:10:13  2748     1877
2013-06-06 10:10:14  2745     2911
2013-06-06 10:10:17  2745     1777
2013-06-06 10:10:42  2746     1430
2013-06-06 10:10:42  2745     1134
2013-06-06 10:10:43  2746     1430
2013-06-06 10:10:44  2745     1553
2013-06-06 10:10:44  2745     1430
2013-06-06 10:10:44  2745     1282
2013-06-06 10:10:44  2745     8866
2013-06-06 10:10:45  2745     1926

1 个答案:

答案 0 :(得分:1)

希望这有效......

full.xts.obj是您使用my.frame1转换为xts对象的所有数据创建的xts对象

your.code.func <- function(my.xts){
   my.val <- my.xts[,1]*my.xts[,2]
   my.cumvol <- cumsum(my.xts[,2])
   my.cumval <- cumsum(my.val[,1])
   my.vwap <- my.cumval/my.cumvol

   my.ratio <- (my.xts[,1]/my.vwap - 1)*10000

   op <- par(mfrow=c(1,2))
   plot(my.ratio)
   plot(my.xts[,1])
   lines(my.vwap)
   par(op)
}

data.list <- split(full.xts.obj,'days')

for(i in c(1:(length(data.list))){
   tmp <- data.list[[i]]
   your.code.func(tmp)
}