Return data subset time frames within another timeframes?

Question

There are very nifty ways of subsetting xts objects. For example, one can get all the data for all years, months, days but being strictly between 9:30 AM and 4

Answer 1

You can use the .index* family of functions to get certain months or certain days of the month. See ?index for the full list of functions. For example:

library(quantmod)
getSymbols("SPY")
SPY[.indexmon(SPY)==0]   # January for all years (note zero-based indexing!)
SPY[.indexmday(SPY)==1]  # The first of every month
SPY[.indexwday(SPY)==1]  # All Mondays