R: Special Daily Time Series

SpecialDailySeries {timeSeries}

R Documentation

Special Daily Time Series

Description

Special daily 'timeSeries' functions.

`dummyDailySeries`	Creates a dummy daily 'timeSeries' object,
`alignDailySeries`	Aligns a daily 'timeSeries' to new positions,
`rollDailySeries`	Rolls daily a 'timeSeries' on a given period,
`ohlcDailyPlot`	Plots open high low close bar chart,
`dummySeries`	Creates a dummy monthly 'timeSeries' object

Usage

dummyDailySeries(x = rnorm(365), units = NULL, zone = "", 
    FinCenter = "")
alignDailySeries(x, method = c("before", "after", "interp", "fillNA"), 
    include.weekends = FALSE, units = NULL, zone = "", 
    FinCenter = "")
rollDailySeries(x, period = "7d", FUN, ...)
ohlcDailyPlot(x, volume = TRUE, colOrder = c(1:5), units = 1e6, 
    xlab = c("Date", "Date"), ylab = c("Price", "Volume"), 
    main = c("O-H-L-C", "Volume"), grid.nx = 7, grid.lty = "solid", ...)

Arguments

`colOrder`	[ohlcDailyPlot] - an integer vector which gives the order of the prices and the volume in the input object. By default the following order of columns from 1 to 5 is assumed: Open, high, low, close, and volume.
`FinCenter`	a character with the the location of the financial center named as "continent/city".
`FUN`	the function to be applied. [applySeries] - a function to use for aggregation, by default `colAvgs`.
`grid.lty, grid.nx`	[ohlcDailyPlot] - The type of grid line and the number of grid lines used in the plot.
`include.weekends`	[alignDailySeries] - a logical value. Should weekend dates be included or removed from the series.
`main`	[ohlcDailyPlot] - a character string to title the price and volume plot.
`method`	[alignDailySeries] - the method to be used for the alignment. A character string, one of `"before"`, use the data from the row whose position is just before the unmatched position, or `"after"`, use the data from the row whose position is just after the unmatched position, or `"linear"`, interpolate linearly between `"before"` and `"after"`.
`period`	[rollDailySeries] - a character string specifying the rollling period composed by the length of the period and its unit, e.g. `"7d"` represents one week.
`units`	[allignDailySeries] - an optional character string, which allows to overwrite the current column names of a `timeSeries` object. By default `NULL` which means that the column names are selected automatically. [ohlcDailyPlot] - a numeric value, specifying in which multiples the volume should be referenced on the plot labels. By default 1e6, i.e. in units of 1 Million.
`volume`	[ohlcDailyPlot] - a logigical value. Should a volume plot added to the OHLC Plot. By default `TRUE`.
`x`	an object of class `timeSeries`.
`xlab, ylab`	[ohlcDailyPlot] - two string vectors to name the x and y axis of the price and volume plot.
`zone`	the time zone or financial center where the data were recorded.
`...`	arguments passed to other methods.

Value

dummyDailySeries
creates from a numeric matrix with daily records of unknown dates a timeSeries object with dummy daily dates.

alignDailySeries
returns from a daily time series with missing holidays a weekly aligned daily timeSeries object

rollDailySeries

returns an object of class timeSeries with rolling values, computed from the function FUN.

ohlcDailyPlot displays a Open-High-Low-Close Plot of daily data records.

Examples

## Load Microsoft Data - 
   setRmetricsOptions(myFinCenter = "GMT")
   data(MSFT)
   head(MSFT)   
   
    
## Cut out April Data from 2001 - 
   Close = MSFT[, "Close"]
   tsApril01 = window(Close, "2001-04-01", "2001-04-30") 
   tsApril01    
   
## Align with NA - 
   tsRet = returns(tsApril01, trim = TRUE)
   GoodFriday(2001)   
   EasterMonday(2001) 
   alignDailySeries(tsRet, method = "fillNA", include.weekends = FALSE)
   alignDailySeries(tsRet, method = "fillNA", include.weekends = TRUE)
   
## Interpolate - 
   alignDailySeries(tsRet, method = "interp", include.weekend = FALSE)
   alignDailySeries(tsRet, method = "interp", include.weekend = TRUE)

[Package timeSeries version 2130.92 Index]