test-subset-time-of-day.R
In xts: eXtensible Time Series

# Time-of-day subset tests

info_msg <- "test.time_of_day_start_equals_end"
i <- 0:47
x <- .xts(i, i * 3600, tzone = "UTC")
i1 <- .index(x[c(2L, 26L)])
expect_identical(.index(x["T01:00/T01:00"]), i1, info = info_msg)

info_msg <- "test.time_of_day_when_DST_starts"
# 2017-03-12: no 0200
tz <- "America/Chicago"
tmseq <- seq(as.POSIXct("2017-03-11", tz),
             as.POSIXct("2017-03-14", tz), by = "1 hour")
x <- xts(seq_along(tmseq), tmseq)
i <- structure(c(1489215600, 1489219200, 1489222800, 1489302000,
                 1489305600, 1489384800, 1489388400, 1489392000),
     tzone = "America/Chicago", tclass = c("POSIXct", "POSIXt"))
expect_identical(.index(x["T01:00:00/T03:00:00"]), i, info = info_msg)

info_msg <- "test.time_of_day_when_DST_ends"
# 2017-11-05: 0200 occurs twice
tz <- "America/Chicago"
tmseq <- seq(as.POSIXct("2017-11-04", tz),
             as.POSIXct("2017-11-07", tz), by = "1 hour")
x <- xts(seq_along(tmseq), tmseq)
i <- structure(c(1509775200, 1509778800, 1509782400, 1509861600, 1509865200,
     1509868800, 1509872400, 1509951600, 1509955200, 1509958800),
     tzone = "America/Chicago", tclass = c("POSIXct", "POSIXt"))
expect_identical(.index(x["T01:00:00/T03:00:00"]), i, info = info_msg)

info_msg <- "test.time_of_day_by_hour_start_equals_end"
i <- 0:94
x <- .xts(i, i * 1800, tzone = "UTC")
i1 <- .index(x[c(3, 4, 51, 52)])
expect_identical(.index(x["T01/T01"]), i1, info = info_msg)
expect_identical(.index(x["T1/T1"]), i1, info = info_msg)

info_msg <- "test.time_of_day_by_minute"
i <- 0:189
x <- .xts(i, i * 900, tzone = "UTC")
i1 <- .index(x[c(5:8, 101:104)])
expect_identical(.index(x["T01:00/T01:45"]), i1, info = info_msg)
expect_identical(.index(x["T01/T01:45"]), i1, info = info_msg)

info_msg <- "test.time_of_day_check_time_string"
i <- 0:10
x <- .xts(i, i * 1800, tzone = "UTC")
# Should work with and without colon separator
expect_identical(x["T0100/T0115"], x["T01:00/T01:15"], info = info_msg)

info_msg <- "test.time_of_day_by_second"
i <- 0:500
x <- .xts(c(i, i), c(i * 15, 86400 + i * 15), tzone = "UTC")
i1 <- .index(x[c(474L, 475L, 476L, 477L, 478L, 479L, 480L, 481L, 482L, 483L,
                 484L, 485L, 975L, 976L, 977L, 978L, 979L, 980L, 981L, 982L,
                 983L, 984L, 985L, 986L)])
expect_identical(.index(x["T01:58:05/T02:01:09"]), i1, info = info_msg)
# Can only omit 0 padding for hours. Only for convenience because it does
# not conform to the ISO 8601 standard, which requires padding with zeros.
expect_identical(.index(x["T1:58:05/T2:01:09"]), i1, info = info_msg)
expect_identical(.index(x["T1:58:05.000/T2:01:09.000"]), i1, info = info_msg)

info_msg <- "test.time_of_day_end_before_start"
# Yes, this actually makes sense and is useful for financial markets
# E.g. some futures markets open at 18:00 and close at 16:00 the next day
i <- 0:47
x <- .xts(i, i * 3600, tzone = "UTC")
i1 <- .index(x[-c(18L, 42L)])
expect_identical(.index(x["T18:00/T16:00"]), i1, info = info_msg)

# TODO: Add tests for possible edge cases and/or errors
# end time before start time
# start time and/or end time missing "T" prefix

info_msg <- "test.time_of_day_on_zero_width"
# return relevant times and a column of NA; consistent with zoo
i <- 0:47
tz <- "America/Chicago"
x <- .xts(, i * 3600, tzone = tz)
y <- x["T18:00/T20:00"]
expect_identical(y, .xts(rep(NA, 6), c(0:2, 24:26)*3600, tzone = tz), info = info_msg)

info_msg <- "test.time_of_day_zero_padding"
i <- 0:189
x <- .xts(i, i * 900, tzone = "UTC")
i1 <- .index(x[c(5:8, 101:104)])
expect_identical(.index(x["T01:00/T01:45"]), i1, info = info_msg)
# we support un-padded hours, for convenience (it's not in the standard)
expect_identical(.index(x["T1/T1:45"]), i1, info = info_msg)
# minutes and seconds must be zero-padded
expect_error(x["T01:5:5/T01:45"], info = info_msg)
expect_error(x["T01:05:5/T01:45"], info = info_msg)

info_msg <- "test.open_ended_time_of_day"
ix <- seq(.POSIXct(0), .POSIXct(86400 * 5), by = "sec")
ix <- ix + runif(length(ix))
x <- xts::xts(seq_along(ix), ix)
expect_true(all(xts::.indexhour(x["T1800/"]) > 17), info = paste(info_msg, "right open"))
expect_true(all(xts::.indexhour(x["/T0500"]) < 6), info = paste(info_msg, "left open"))