R xts i dane.tabela

Question

R xts i dane.tabela

Mogę konwertować dane.table to a XTS object tak samo jak ja z danymi.frame:

> df = data.frame(x = c("a", "b", "c", "d"), v = rnorm(4))
> dt = data.table(x = c("a", "b", "c", "d"), v = rnorm(4))
> xts(df, as.POSIXlt(c("2011-01-01 15:30:00", "2011-01-02 15:30:00", "2011-01-03 15:50:50", "2011-01-04 15:30:00")))
                    x   v           
2011-01-01 15:30:00 "a" "-1.2232283"
2011-01-02 15:30:00 "b" "-0.1654551"
2011-01-03 15:50:50 "c" "-0.4456202"
2011-01-04 15:30:00 "d" "-0.9416562"
> xts(dt, as.POSIXlt(c("2011-01-01 15:30:00", "2011-01-02 15:30:00", "2011-01-03 15:50:50", "2011-01-04 15:30:00")))
                    x   v           
2011-01-01 15:30:00 "a" " 1.3089579"
2011-01-02 15:30:00 "b" "-1.7681071"
2011-01-03 15:50:50 "c" "-1.4375100"
2011-01-04 15:30:00 "d" "-0.2467274"

Czy Jest jakiś problem z używaniem danych.stolik z xts?

12

r data.table xts

Author: Robert Kubrick, 2012-02-15

Source

2 answers

Ponieważ quantmod, często występuje xts z symbolem osadzonym we wszystkich nazwach kolumn. (np. "Szpieg.Open", " Szpieg.Wysokie " itp.). Oto alternatywa dla as.data.table.xts Jana, która umieszcza symbol w oddzielnej kolumnie, co jest bardziej naturalne w data.table s (ponieważ prawdopodobnie będziesz rbind kilka z nich przed wykonaniem jakiejkolwiek analizy).

as.data.table.xts <- function(x, ...) {
  cn <- colnames(x)
  sscn <- strsplit(cn, "\\.")  
  indexClass(x) <- c('POSIXct', 'POSIXt') #coerce index to POSIXct
  DT <- data.table(time=index(x), coredata(x))
  #DT <- data.table(IDateTime(index(x)), coredata(x))

  ## If there is a Symbol embedded in the colnames, strip it out and make it a 
  ## column
  if (all(sapply(sscn, "[", 1) == sscn[[1]][1])) {
    Symbol <- sscn[[1]][1]
    setnames(DT, names(DT)[-1], sub(paste0(Symbol, "."), "", cn))
    DT <- DT[, Symbol:=Symbol]
    setkey(DT, Symbol, time)[]
  } else {
    setkey(DT, time)[]
  }
}

library(quantmod)
getSymbols("SPY")
as.data.table(SPY)
            time   Open   High    Low  Close   Volume Adjusted Symbol
   1: 2007-01-03 142.25 142.86 140.57 141.37 94807600   120.36    SPY
   2: 2007-01-04 141.23 142.05 140.61 141.67 69620600   120.61    SPY
   3: 2007-01-05 141.33 141.40 140.38 140.54 76645300   119.65    SPY
   4: 2007-01-08 140.82 141.41 140.25 141.19 71655000   120.20    SPY
   5: 2007-01-09 141.31 141.60 140.40 141.07 75680100   120.10    SPY
  ---                                                                
1993: 2014-12-01 206.30 206.60 205.38 205.64 12670100   205.64    SPY
1994: 2014-12-02 205.81 207.34 205.78 207.09 72105500   207.09    SPY
1995: 2014-12-03 207.30 208.15 207.10 207.89 69450000   207.89    SPY
1996: 2014-12-04 207.54 208.27 206.70 207.66 89928200   207.66    SPY
1997: 2014-12-05 207.87 208.47 207.55 208.00 85031000   208.00    SPY

7

Author: GSee,
Warning: date(): Invalid date.timezone value 'Europe/Kyiv', we selected the timezone 'UTC' for now. in /var/www/agent_stack/data/www/doraprojects.net/template/agent.layouts/content.php on line 54
2014-12-08 13:16:20

score 17 · Accepted Answer

Żeby rozwiązać otwarte pytanie.

Jak zauważył Vincent w komentarzu, nie ma na ten temat żadnego problemu.

Jest zawarty w danych.tabela 1.9.5. Poniżej znajduje się podobna treść:

as.data.table.xts <- function(x, keep.rownames = TRUE){
  stopifnot(requireNamespace("xts") || !missing(x) || xts::is.xts(x))
  r = setDT(as.data.frame(x), keep.rownames = keep.rownames)
  if(!keep.rownames) return(r[])
  setnames(r,"rn","index")
  setkeyv(r,"index")[]
}

as.xts.data.table <- function(x){
  stopifnot(requireNamespace("xts") || !missing(x) || is.data.table(x) || any(class(x[[1]] %in% c("POSIXct","Date"))))
  colsNumeric = sapply(x, is.numeric)[-1] # exclude first col, xts index
  if(any(!colsNumeric)){
    warning(paste("Following columns are not numeric and will be omitted:",paste(names(colsNumeric)[!colsNumeric],collapse=", ")))
  }
  r = setDF(x[,.SD,.SDcols=names(colsNumeric)[colsNumeric]])
  rownames(r) <- x[[1]]
  xts::as.xts(r)
}