sub_set: Subset an _xts_ time series (extract an _xts_ sub-series...

In algoquant/rutils: Utility Functions for Simplifying Financial Data Management and Modeling

Subset an xts time series (extract an xts sub-series corresponding to the input dates).

Description

Subset an xts time series (extract an xts sub-series corresponding to the input dates).

Usage

sub_set(xtsv, startd, endd, get_rows = TRUE)

Arguments

xtsv	An xts time series.
startd	The start date of the extracted time series data.
endd	The end date of the extracted time series data, or the number of data rows to be extracted.
get_rows	A Boolean argument: if TRUE then extract the given number of rows of data, else extract the given number of calendar days (default is TRUE).

Details

The function sub_set() extracts an xts sub-series corresponding to the input dates. If endd is a date object or a character string representing a date, then sub_set() performs standard bracket subsetting using the package xts.

The rows of data don't necessarily correspond to consecutive calendar days because of weekends and holidays. For example, 10 consecutive rows of data may correspond to 12 calendar days. So if endd is a number, then we must choose to extract either the given number of rows of data (get_rows=TRUE) or the given number of calendar days (get_rows=FALSE).

If endd is a positive number then sub_set() returns the specified number of data rows from the future, and if it's negative then it returns the data rows from the past.

If endd is a number, and either startd or endd are outside the date range of xtsv, then sub_set() extracts the maximum available range of xtsv.

Value

An xts time series with the same number of columns as the input time series.

Examples

# Subset an xts time series using two dates
rutils::sub_set(rutils::etfenv$VTI, startd="2015-01-01", endd="2015-01-10")
# Extract 6 consecutive rows of data from the past, using a date and a negative number
rutils::sub_set(rutils::etfenv$VTI, startd="2015-01-01", endd=-6)
# Extract 6 calendar days of data
rutils::sub_set(rutils::etfenv$VTI, startd="2015-01-01", endd=6, get_rows=FALSE)
# Extract up to 100 consecutive rows of data
rutils::sub_set(rutils::etfenv$VTI, startd="2016-08-01", endd=100)

algoquant/rutils documentation built on April 18, 2024, 12:05 a.m.