Question

如何在xts中进行周期聚合时指定哪些列构成OHLCV？此外，它正在丢失原始数据中的列（＆＃34;窗口＆＃34;）。

也许有一种方法可以向to.period提供自己的聚合函数 - 非常感谢有用的指针。

> head(to.period(spy,period="minutes",k=5, indexAt="startof"),5)
                    spy.Open spy.High spy.Low spy.Close spy.Volume
2016-05-19 06:30:00       60   204.20  204.09    204.02     537530
2016-05-19 06:35:00       60   204.32  204.16    204.23     482436
2016-05-19 06:40:00       60   204.50  204.38    204.39     441800
2016-05-19 06:45:00       60   204.53  204.31    204.20     579161
2016-05-19 06:50:00       60   204.20  203.86    203.72     849998

> head(spy,10)
                    window    open   high     low  close volume
2016-05-19 06:30:00     60 204.030 204.09 203.900 203.91 144840
2016-05-19 06:31:00     60 203.900 204.20 203.900 204.20  94846
2016-05-19 06:32:00     60 204.200 204.23 204.110 204.19  68895
2016-05-19 06:33:00     60 204.180 204.30 204.160 204.18 110701
2016-05-19 06:34:00     60 204.160 204.16 204.020 204.10 118248
2016-05-19 06:35:00     60 204.100 204.16 204.010 204.06  78303
2016-05-19 06:36:00     60 204.060 204.20 204.040 204.19  67314
2016-05-19 06:37:00     60 204.200 204.33 204.140 204.33 147779
2016-05-19 06:38:00     60 204.320 204.33 204.130 204.27 109549
2016-05-19 06:39:00     60 204.270 204.34 204.230 204.24  79491

Answer 1

来自包OHLCV的功能OHLC和/或quantmod可以帮助您快速选择正确的列：

library(quantmod)
getSymbols("SPY")
# Something like your data:
SPY <- cbind(window = 60, SPY)

# Now correctly select the OHLCV columns:
SPY <- to.period(OHLCV(SPY), period = "months")

tail(SPY)
# OHLCV(SPY).Open OHLCV(SPY).High OHLCV(SPY).Low OHLCV(SPY).Close OHLCV(SPY).Volume
# 2016-03-31          195.01          206.87         194.45           205.52        2323306500
# 2016-04-29          204.35          210.92         203.09           206.33        1910635600
# 2016-05-31          206.92          210.69         202.78           209.84        1831962200
# 2016-06-30          209.12          212.52         198.65           209.48        2612406900
# 2016-07-29          209.48          217.54         207.06           217.12        1648453700
# 2016-08-04          217.19          217.65         214.25           216.41         264076600

# You might want to use the `name` argument to create syntactically valid names
SPY <- to.period(OHLCV(SPY), period = "months", name = "SPY")
tail(SPY)
#            SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume
# 2016-03-31   195.01   206.87  194.45    205.52 2323306500
# 2016-04-29   204.35   210.92  203.09    206.33 1910635600
# 2016-05-31   206.92   210.69  202.78    209.84 1831962200
# 2016-06-30   209.12   212.52  198.65    209.48 2612406900
# 2016-07-29   209.48   217.54  207.06    217.12 1648453700
# 2016-08-05   217.19   218.23  214.25    218.18  335650500

注意多个列包含标签＆＃34;打开＆＃34;，＆＃34;高＆＃34;等等......因为OHLC可能会返回超过4列。将OHLC列明确地重新标记为＆＃34; Open＆＃34;，＆＃34; High＆＃34;，＆＃34; Low＆＃34;，＆＃34; Close＆＃34;并进行明显的列选择（但输入时间较长）

to.period(SPY[, c("Open", "High", "Low", "Close")], period = "months")

有关如何使用自己的自定义聚合函数的示例，请参阅?period.apply。

如何在xts :: to.period中指定OHLCV列名？

1 个答案: