Question

学习R（包括xts和quantmod包）。有我的数据集：

str(h2)
‘zoo’ series from 2016-06-15 11:00:00 to 2016-09-15 14:00:00
  Data: num [1:928, 1:5] 67842 67486 67603 67465 67457 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:5] "X.OPEN." "X.HIGH." "X.LOW." "X.CLOSE." ...
  Index:  POSIXct[1:928], format: "2016-06-15 11:00:00" "2016-06-15 12:00:00" "2016-06-15 13:00:00" ...

first(h2, '1 day')
                    X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
2016-06-15 11:00:00   67842   67842  67122    67488 262740
2016-06-15 12:00:00   67486   67610  67420    67603 288875
2016-06-15 13:00:00   67603   67608  67381    67466 323498
2016-06-15 14:00:00   67465   67484  67356    67455 168991
2016-06-15 15:00:00   67457   67460  67289    67361 174965
2016-06-15 16:00:00   67363   67381  67202    67317 195579
2016-06-15 17:00:00   67320   67465  67288    67397 230255
2016-06-15 18:00:00   67397   67436  67084    67099 469379
2016-06-15 19:00:00   67096   67198  66900    67058 264430
2016-06-15 20:00:00   67040   67094  66944    67092 110503
2016-06-15 21:00:00   67092   67158  66877    66992  83041
2016-06-15 22:00:00   66993   67110  66680    66909 386905
2016-06-15 23:00:00   66909   67269  66884    67126 143373

dput(first(h2, '1 day'))
structure(c(67842, 67486, 67603, 67465, 67457, 67363, 67320, 
67397, 67096, 67040, 67092, 66993, 66909, 67842, 67610, 67608, 
67484, 67460, 67381, 67465, 67436, 67198, 67094, 67158, 67110, 
67269, 67122, 67420, 67381, 67356, 67289, 67202, 67288, 67084, 
66900, 66944, 66877, 66680, 66884, 67488, 67603, 67466, 67455, 
67361, 67317, 67397, 67099, 67058, 67092, 66992, 66909, 67126, 
262740, 288875, 323498, 168991, 174965, 195579, 230255, 469379, 
264430, 110503, 83041, 386905, 143373), .Dim = c(13L, 5L), .Dimnames = list(
    NULL, c("X.OPEN.", "X.HIGH.", "X.LOW.", "X.CLOSE.", "X.VOL."
    )), index = structure(c(1465977600, 1465981200, 1465984800, 
1465988400, 1465992000, 1465995600, 1465999200, 1466002800, 1466006400, 
1466010000, 1466013600, 1466017200, 1466020800), class = c("POSIXct", 
"POSIXt"), tzone = ""), class = "zoo")

无法弄清楚如何解决，例如，这样的任务 - 在11:00比较差异的符号（X.CLOSE-X.OPEN）和差异（X.CLOSE（13： 00）-X.OPEN（12:00））样本中包含的所有日子在解决这个问题期间，我看到2项：
1）。如何在特定时间访问数据？即例如，如何在我选择的12:00时获得X.OPEN。我尝试了不同的组合（见下面的代码）但没有结果（只有数据集的标题）

h2["T11:00:00/12:00:00"]
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
h2["2016-06-15 11:00:00 MSK"]
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
x <- h2["2016-06-15 11:00:00 MSK"]        #'zoo' series (without observations)
x
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
h2["T12:00:00.000/T12:00:00.001"]
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.

2）。之前我在Excel中制作了类似的算法，并通过bruteforce（逐步检查）数据集解决了这个问题。但是R具有矢量数据类型，它应该是更快，更方便的方法来解决这个任务。

Answer 1

要从时间序列中获取特定时间的数据，请使用window。

window(h2, start = as.POSIXct('2016-06-15 04:00'), end = as.POSIXct('2016-06-15 04:59'))
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 04:00:00   67842   67842  67122    67488 262740

window(h2, start = as.POSIXct('2016-06-15 06:00'), end = as.POSIXct('2016-06-15 08:00'))
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 06:00:00   67603   67608  67381    67466 323498
# 2016-06-15 07:00:00   67465   67484  67356    67455 168991
# 2016-06-15 08:00:00   67457   67460  67289    67361 174965

您也可以按行号访问。

h2[1,]
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 04:00:00   67842   67842  67122    67488 262740

h2[4:6,]
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 07:00:00   67465   67484  67356    67455 168991
# 2016-06-15 08:00:00   67457   67460  67289    67361 174965
# 2016-06-15 09:00:00   67363   67381  67202    67317 195579

采取X.CLOSE之间的区别。和X.OPEN。在任何时候，你都可以......

h2_diff <- h2[,'X.CLOSE.'] - h2[,'X.OPEN.']
# 2016-06-15 04:00:00 2016-06-15 05:00:00 2016-06-15 06:00:00 2016-06-15 07:00:00 
#                -354                 117                -137                 -10 
# 2016-06-15 08:00:00 2016-06-15 09:00:00 2016-06-15 10:00:00 2016-06-15 11:00:00 
#                 -96                 -46                  77                -298 
# 2016-06-15 12:00:00 2016-06-15 13:00:00 2016-06-15 14:00:00 2016-06-15 15:00:00 
#                 -38                  52                -100                 -84 
# 2016-06-15 16:00:00 
#                 217

要执行滞后差异，您可以使用lag功能。

h2[1:3,'X.CLOSE.']
# 2016-06-15 04:00:00 2016-06-15 05:00:00 2016-06-15 06:00:00 
#               67488               67603               67466 

lag(h2[1:3,'X.CLOSE.'])
# 2016-06-15 04:00:00 2016-06-15 05:00:00 
#               67603               67466 

lag(h2[1:3,'X.CLOSE.'], -1)
# 2016-06-15 05:00:00 2016-06-15 06:00:00 
#               67488               67603

所以要做X.CLOSE(n) - X.OPEN(n - 1) ...

h2[,'X.CLOSE.'] - lag(h2[,'X.OPEN.'], -1)
# 2016-06-15 05:00:00 2016-06-15 06:00:00 2016-06-15 07:00:00 2016-06-15 08:00:00 
#                -239                 -20                -148                -104 
# 2016-06-15 09:00:00 2016-06-15 10:00:00 2016-06-15 11:00:00 2016-06-15 12:00:00 
#                -140                  34                -221                -339 
# 2016-06-15 13:00:00 2016-06-15 14:00:00 2016-06-15 15:00:00 2016-06-15 16:00:00 
#                  -4                 -48                -183                 133

R xts quantmod在特定时间访问数据

1 个答案: