Question

约书亚

我希望你没有发现这是一个外行的方法但是当我试图实现你的提示如何在我的xts对象上只显示某个时间索引时我总是得到空白的数字。

> 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，虽然价值观明显存在，我缺少什么？

Answer 1

您没有说明如何创建xts对象，但我认为这是xts创建对象的一个小错误 - 它不是从timeDate对象添加到TZ中。

尝试：

 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。感谢。

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"

我无法得到描述的形式？“[。xts”在规格的秒级使用时工作，但我看到Jeff R已到达现场并证明indexTZ(x) <- "GMT"机动（不是从我看过的许多帮助页面中引用的，都是必要的。

对于HFT，使用不间隔的时间间隔对x进行R索引（跟进显示时间索引提示）

2 个答案: