R XTS to.minutes5(), is not converting as “I” expected

问题

Hi i'm converting some 1 min data to 5 min data, and i'm finding it does 4 mins for the first increment, then goes on to do 5 min increments after that.

I've tried messing around with all the "indexAt" parameters but none give me what i want, which is starting from 5, then 10, 15, 20 etc.

i've tried

x5 <- to.minutes5(x)

AND

x <- to.period(x,
          period = 'minutes', 
          k = 5, 
          OHLC = TRUE)

1 min data

                     Open  High   Low Close Volume
2013-01-16 00:01:00 93.55 93.60 93.54 93.58      5
2013-01-16 00:02:00 93.59 93.60 93.58 93.58      5
2013-01-16 00:03:00 93.59 93.60 93.58 93.58      5
2013-01-16 00:04:00 93.58 93.58 93.57 93.57     12
2013-01-16 00:05:00 93.57 93.57 93.55 93.70     21
2013-01-16 00:06:00 93.56 93.56 93.56 93.56      5
2013-01-16 00:07:00 93.56 93.56 93.55 93.55      3
2013-01-16 00:08:00 93.55 93.55 93.55 93.55      2
2013-01-16 00:09:00 93.55 93.56 93.55 93.56      2
2013-01-16 00:10:00 93.56 93.56 93.56 93.56      1
2013-01-16 00:11:00 93.57 93.57 93.57 93.57      3

after converting to 5 min

                    clemtest.Open clemtest.High clemtest.Low clemtest.Close clemtest.Volume
2013-01-16 00:04:00         93.55         93.60        93.54          93.57              27
2013-01-16 00:09:00         93.57         93.57        93.55          93.56              33
2013-01-16 00:14:00         93.56         93.57        93.56          93.57               8
2013-01-16 00:19:00         93.56         93.58        93.51          93.53              77
2013-01-16 00:24:00         93.53         93.55        93.49          93.49             121
2013-01-16 00:29:00         93.49         93.51        93.49          93.51             121

the calculations are correct, its just not starting with the first 5 mins of data, it start with 4 mins, then goes onto 5 mins after that.

(using indexAt='startof' gives me the correct, 5, 10, 15... but when inspecting the bar the 5 min data represents the start of that 5 min (eg min 5 - 10) not min 0 - 5)

Here is the tail of the 1min data for reference.

                         Open  High   Low Close Volume
2013-01-17 23:53:00 95.52 95.52 95.52 95.52      2
2013-01-17 23:55:00 95.51 95.52 95.51 95.52      2
2013-01-17 23:56:00 95.51 95.51 95.51 95.51      1
2013-01-17 23:57:00 95.52 95.52 95.52 95.52      1
2013-01-17 23:59:00 95.52 95.52 95.51 95.51      4
2013-01-18 00:00:00 95.51 95.51 95.51 95.51      8

回答1:

Is this what you're looking for (using just 12 minutes of data, as that is all you posted)?

x <- read.table(text ="
2013-01-16 00:01:00 93.55 93.60 93.54 93.58      5
2013-01-16 00:02:00 93.59 93.60 93.58 93.58      5
2013-01-16 00:03:00 93.59 93.60 93.58 93.58      5
2013-01-16 00:04:00 93.58 93.58 93.57 93.57     12
2013-01-16 00:05:00 93.57 93.57 93.55 93.70     21
2013-01-16 00:06:00 93.56 93.56 93.56 93.56      5
2013-01-16 00:07:00 93.56 93.56 93.55 93.55      3
2013-01-16 00:08:00 93.55 93.55 93.55 93.55      2
2013-01-16 00:09:00 93.55 93.56 93.55 93.56      2
2013-01-16 00:10:00 93.56 93.56 93.56 93.56      1
2013-01-16 00:11:00 93.57 93.57 93.57 93.57      3")

colnames(x) <- c("Date", "time",  "Open",  "High",   "Low", "Close", "Volume")


xt <- xts(x[, 3:7], order.by = as.POSIXct(paste0(x$Date, x$time, " ")) - 0.000001)



xt5 <- to.period(xt, period = "minutes", k =5)
xt5 <- align.time(xt5, n = 300)
xt5

#                     xt.Open xt.High xt.Low xt.Close xt.Volume
# 2013-01-16 00:05:00   93.55   93.60  93.54    93.70        48
# 2013-01-16 00:10:00   93.56   93.56  93.55    93.56        13
# 2013-01-16 00:15:00   93.57   93.57  93.57    93.57         3

To include the bar with stamp "2013-01-16 00:05:00" in the 5 minute bar that includes the interval ["2013-01-16 00:00:00", "2013-01-16 00:04:59.99999"], you could reduce the underlying time by a tiny amount of a second (a slightly negative quantity, here say -0.000001), so that it is included in the first 5 minute interval.

I think the confusion in your comments is avoided if you make the decision of stating whether the timestamp on the OHLC bar data is at the start of the bar or the end of the bar. i.e. does "2013-01-16 00:01:00" mean the OHLC for the interval (2013-01-16 00:00:00 to 2013-01-16 00:00:59.999) or (2013-01-16 00:01:00, 2013-01-16 00:01:59.999). In your case, it is at the end of the bar (the former case).

And the timestamp being the start of the bar for OHLC data isn't a good idea as it introduces look forward bias when you merge xts objects on different bar intervals together.

来源：https://stackoverflow.com/questions/32020409/r-xts-to-minutes5-is-not-converting-as-i-expected

标签

xts