Question

我知道这一定是一件容易的事，但我被困住了，无法前进。

我有以下xts：

                     timestamp    id         type  price     size          api   
2014-05-02 00:02:07 "1398981727" "36833484" "BID" "449.247" "9.00000e-02" "TRUE"
2014-05-02 00:02:07 "1398981727" "36833485" "BID" "449.248" "5.42886e-02" "TRUE"
2014-05-02 00:03:04 "1398981784" "36833488" "BID" "449.246" "4.66000e+00" "TRUE"
2014-05-02 00:03:12 "1398981792" "36833489" "BID" "449.246" "5.90000e-01" "TRUE"
2014-05-02 00:03:12 "1398981792" "36833490" "BID" "449.246" "4.00000e-02" "TRUE"
2014-05-02 00:03:14 "1398981794" "36833491" "BID" "449.246" "2.00000e-02" "TRUE"
2014-05-02 00:03:23 "1398981803" "36833498" "BID" "449.240" "1.00000e-02" "TRUE"
2014-05-02 00:04:55 "1398981895" "36833504" "BID" "448.790" "9.89321e-02" "TRUE"
2014-05-02 00:04:55 "1398981895" "36833505" "BID" "449.108" "1.75000e+00" "TRUE"
2014-05-02 00:04:55 "1398981895" "36833506" "BID" "449.110" "5.21441e-01" "TRUE"
2014-05-02 00:05:26 "1398981926" "36833508" "ASK" "447.000" "5.16985e-01" "TRUE"
2014-05-02 00:05:26 "1398981926" "36833509" "ASK" "446.473" "1.20000e-02" "TRUE"
2014-05-02 00:05:26 "1398981926" "36833510" "ASK" "446.205" "1.04000e-02" "TRUE"

我希望从中为每个给定类型的订单（BID或ASK，列类型）构建包含最后一次观察的另一个xts。

例如对于ASK订单，我想构建像这样的xts：

2014-05-02 00:02:07      NA
2014-05-02 00:03:04      NA
2014-05-02 00:03:12      NA
2014-05-02 00:03:14      NA
2014-05-02 00:03:23      NA
2014-05-02 00:04:55      NA
2014-05-02 00:05:26 446.205

新xts必须包含与旧索引相同的索引。没有ASK订单的时间戳应为NA。

我试过这个

xts(period.apply(temp, INDEX = endpoints(temp, on = "secs", k = 1), FUN = function(x) tail(as.numeric(x$price[x$type == "ASK"]), 1)))

其中temp =上面输入的xts。但它始终伴随着以下错误：

Error in coredata.xts(x) : currently unsupported data type.

有什么想法吗？

Answer 1

问题是period.apply用于聚合对象，但您要删除行。这意味着前6个函数评估的结果是numeric(0)，它们不是观察的有效值。

如果没有观察结果，则需要返回NA。这意味着如果没有问题观察，你需要稍微修改你的函数以返回NA。

f <- function(x) {
  y <- tail(as.numeric(x$price[x$type == "ASK"]), 1)
  if(!length(y)) NA else y
}
period.apply(temp, endpoints(temp, "secs"), f)

这可能是实现目标的更好方法，但您需要提供有关您最终要做的事情的更多详细信息。

xts - 一段时间内的最后一次观察

1 个答案: