R : Tick data adding value when tick data is missing

问题

I'm working on tick data and want to aggregate my xts irregularly spaced series into a 1 second homogeneous one. I thus use the xts package function to.period :

price_1m <-to.period(price,period="seconds",k=1,OHLC=FALSE)

here is what I get :

2010-02-02 08:00:03 2787
2010-02-02 08:00:04 2786
2010-02-02 08:00:05 2787
2010-02-02 08:00:06 2787
2010-02-02 08:00:07 2786
2010-02-02 08:00:08 2786
2010-02-02 08:00:09 2786
2010-02-02 08:00:10 2787
2010-02-02 08:00:11 2786
2010-02-02 08:00:14 2786
2010-02-02 08:00:16 2786
2010-02-02 08:00:18 2787

My series is aggregated but for example tick data is missing at times 08:00:13 and 08:00:15. What I want is to fill those blanks with previous tick data knowing that the 08:00:13 and 08:00:15 prices are missing in the tick-by-tick xts series. Any idea?

thanks

回答1:

You can merge price_1m with an "empty" xts object that contains an index with the regularly-spaced intervals you want, use na.locf on that. For example:

onemin <- seq(start(price_1m),end(price_1m),by="1 s")
Price_1m <- na.locf(merge(price_1m, xts(,onemin)))

回答2:

The MakeStrictlyRegular function in my qmao package will do this for you.

Here is the example from ?MakeStrictlyRegular

x <- align.time(.xts(1:1000, 60*1:1000))[-c(2, 4, 7, 8), ] # remove some rows at the begining
head(x[paste((start.x <- start(x)), "/")])
#                    [,1]
#1969-12-31 18:02:00    1
#1969-12-31 18:04:00    3
#1969-12-31 18:06:00    5
#1969-12-31 18:07:00    6
#1969-12-31 18:10:00    9
#1969-12-31 18:11:00   10
x2 <- MakeStrictlyRegular(x)
#added 4 (0.40%); There are now 1000 total rows.
head(x2[paste(start.x, "/")])
#                    [,1]
#1969-12-31 18:02:00    1
#1969-12-31 18:03:00    1
#1969-12-31 18:04:00    3
#1969-12-31 18:05:00    3
#1969-12-31 18:06:00    5
#1969-12-31 18:07:00    6

For your 1 second data, you'd use by="sec". So, something like

MakeStrictlyRegular(price, by="sec")

来源：https://stackoverflow.com/questions/11669945/r-tick-data-adding-value-when-tick-data-is-missing

标签

time-series

xts