subset.xts: Extract Subsets of xts Objects

In joshuaulrich/xts: eXtensible Time Series

Extract Subsets of xts Objects

Description

Details on efficient subsetting of xts objects for maximum performance and compatibility.

Usage

## S3 method for class 'xts'
x[i, j, drop = FALSE, which.i=FALSE, ...]

Arguments

x	xts object
i	the rows to extract. Numeric, timeBased or ISO-8601 style (see details)
j	the columns to extract, numeric or by name
drop	should dimension be dropped, if possible. See NOTE.
which.i	return the ‘i’ values used for subsetting. No subset will be performed.
...	additional arguments (unused)

Details

One of the primary motivations, and key points of differentiation of the time series class xts, is the ability to subset rows by specifying ISO-8601 compatible range strings. This allows for natural range-based time queries without requiring prior knowledge of the underlying time object used in construction.

When a raw character vector is used for the i subset argument, it is processed as if it was ISO-8601 compliant. This means that it is parsed from left to right, according to the following specification:

CCYYMMDD HH:MM:SS.ss+

A full description will be expanded from a left-specified truncated one.

Additionally, one may specify range-based queries by simply supplying two time descriptions seperated by a forward slash:

CCYYMMDD HH:MM:SS.ss+/CCYYMMDD HH:MM:SS.ss

The algorithm to parse the above is .parseISO8601 from the xts package.

ISO-style subsetting, given a range type query, makes use of a custom binary search mechanism that allows for very fast subsetting as no linear search though the index is required. ISO-style character vectors may be longer than length one, allowing for multiple non-contiguous ranges to be selected in one subsetting call.

If a character vector representing time is used in place of numeric values, ISO-style queries, or timeBased objects, the above parsing will be carried out on each element of the i-vector. This overhead can be very costly. If the character approach is used when no ISO range querying is needed, it is recommended to wrap the ‘i’ character vector with the I() function call, to allow for more efficient internal processing. Alternately converting character vectors to POSIXct objects will provide the most performance efficiency.

As xts uses POSIXct time representations of all user-level index classes internally, the fastest timeBased subsetting will always be from POSIXct objects, regardless of the tclass of the original object. All non-POSIXct time classes are converted to character first to preserve consistent TZ behavior.

Value

An extraction of the original xts object. If which.i is TRUE, the corresponding integer ‘i’ values used to subset will be returned.

Note

By design, drop=FALSE in the default case. This preserves the basic underlying type of matrix and the dim() to be non-NULL. This is different from both matrix and zoo behavior as R uses drop=TRUE. Explicitly passing drop=TRUE may be required when performing certain matrix operations.

Author(s)

Jeffrey A. Ryan

References

ISO 8601: Date elements and interchange formats - Information interchange - Representation of dates and time https://www.iso.org

See Also

xts, .parseISO8601, .index

Examples

x <- xts(1:3, Sys.Date()+1:3)
xx <- cbind(x,x)

# drop=FALSE for xts, differs from zoo and matrix
z <- as.zoo(xx)
z/z[,1]

m <- as.matrix(xx)
m/m[,1]

# this will fail with non-conformable arrays (both retain dim)
tryCatch(
  xx/x[,1], 
  error=function(e) print("need to set drop=TRUE")
)

# correct way
xx/xx[,1,drop=TRUE]

# or less efficiently
xx/drop(xx[,1])
# likewise
xx/coredata(xx)[,1]


x <- xts(1:1000, as.Date("2000-01-01")+1:1000)
y <- xts(1:1000, as.POSIXct(format(as.Date("2000-01-01")+1:1000)))

x.subset <- index(x)[1:20]
x[x.subset] # by original index type
system.time(x[x.subset]) 
x[as.character(x.subset)] # by character string. Beware!
system.time(x[as.character(x.subset)]) # slow!
system.time(x[I(as.character(x.subset))]) # wrapped with I(), faster!

x['200001'] # January 2000
x['1999/2000'] # All of 2000 (note there is no need to use the exact start)
x['1999/200001'] # January 2000 

x['2000/200005'] # 2000-01 to 2000-05
x['2000/2000-04-01'] # through April 01, 2000
y['2000/2000-04-01'] # through April 01, 2000 (using POSIXct series)


### Time of day subsetting 

i <- 0:60000
focal_date <- as.numeric(as.POSIXct("2018-02-01", tz = "UTC"))
x <- .xts(i, c(focal_date + i * 15), tz = "UTC", dimnames = list(NULL, "value"))

# Select all observations between 9am and 15:59:59.99999:
w1 <- x["T09/T15"] # or x["T9/T15"]
head(w1)

# timestring is of the form THH:MM:SS.ss/THH:MM:SS.ss

# Select all observations between 13:00:00 and 13:59:59.9999 in two ways:
y1 <- x["T13/T13"]
head(y1)

x[.indexhour(x) == 13]

# Select all observations between 9:30am and 30 seconds, and 4.10pm:
x["T09:30:30/T16:10"]

# It is possible to subset time of day overnight.
# e.g. This is useful for subsetting FX time series which trade 24 hours on week days

# Select all observations between 23:50 and 00:15 the following day, in the xts time zone
z <- x["T23:50/T00:14"]
z["2018-02-10 12:00/"] # check the last day


# Select all observations between 7pm and 8.30am the following day:
z2 <- x["T19:00/T08:29:59"]
head(z2); tail(z2)

joshuaulrich/xts documentation built on March 9, 2024, 2:50 a.m.