Pull nth Day of Month in XTS in R

Question

My questions is closely related to the one asked here: Pull Return from first business day of the month from XTS object using R.

Instead of extracting the first day of each month, I want to extract, say the 10th data point of each month. How can I do this?

Answer 1

Using the same example data from the question you've linked to, you can do some basic subsetting.

Here's the sample data:

library(xts)
data(sample_matrix)
x <- as.xts(sample_matrix)

Here's the subsetting:

x[format(index(x), "%d") == "10"]
#                Open     High      Low    Close
# 2007-01-10 49.91228 50.13053 49.91228 49.97246
# 2007-02-10 50.68923 50.72696 50.60707 50.69562
# 2007-03-10 49.79370 49.88984 49.70385 49.88698
# 2007-04-10 49.55704 49.78776 49.55704 49.76984
# 2007-05-10 48.83479 48.84549 48.38001 48.38001
# 2007-06-10 47.74899 47.74899 47.28685 47.28685

Is this what you were looking for?

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Using %in% would give you some more flexibility. For instance, if you wanted the tenth, eleventh, and twelfth days of each month, you could use x[format(index(x), "%d") %in% c("10", "11", "12")] instead.

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Update

If, as you have in your update, you want to extract the tenth data point, just use an anonymous function as follows:

do.call(rbind, lapply(split(x, "months"), function(x) x[10]))
#                Open     High      Low    Close
# 2007-01-11 49.88529 50.23910 49.88529 50.23910
# 2007-02-10 50.68923 50.72696 50.60707 50.69562
# 2007-03-10 49.79370 49.88984 49.70385 49.88698
# 2007-04-10 49.55704 49.78776 49.55704 49.76984
# 2007-05-10 48.83479 48.84549 48.38001 48.38001
# 2007-06-10 47.74899 47.74899 47.28685 47.28685

Note that the first row is the eleventh day of the month, because the data actually starts on January 2, 2007.

x[1, ]
#                Open     High      Low    Close
# 2007-01-02 50.03978 50.11778 49.95041 50.11778

Answer 2

xts has some built-in functions for these types of subsets.

> data(sample_matrix)
> x <- as.xts(sample_matrix)
> x[.indexmday(x) == 10]
               Open     High      Low    Close
2007-01-10 49.91228 50.13053 49.91228 49.97246
2007-02-10 50.68923 50.72696 50.60707 50.69562
2007-03-10 49.79370 49.88984 49.70385 49.88698
2007-04-10 49.55704 49.78776 49.55704 49.76984
2007-05-10 48.83479 48.84549 48.38001 48.38001
2007-06-10 47.74899 47.74899 47.28685 47.28685

See the help page ?indexClass for a list of all of them.