Dear Joshua, Thanks for your reply. As I see, the solution you suggest aligns the time stamps as required but leaves the aggregation results as is.
Hence, the last quarter data of every hour are not aggregated still... Am I right or am I understanding something wrongly? I tried to "move" ahead ends by one (ends<-ends+1) but this does not work either. It seems that if you change the endpoints, still aggregation happens every 45 minutes as you pointed out, although the ends variable points to the round hour time stamp... __________________________________________________________________ *Costas Vorlow <http://www.gravatar.com/avatar/49a9dee59073b1ed4a36440a06aeb81b> * *http://www.linkedin.com/in/costasvorlow <http://www.linkedin.com/in/costasvorlow>* *http://www.vorlow.com* <http://www.vorlow.com> â â â â â â â â â â â â â â â â â â â â â â â â â â â â â â â â â â â On 16 June 2014 13:31, Joshua Ulrich <josh.m.ulr...@gmail.com> wrote: > On Mon, Jun 16, 2014 at 3:41 AM, Costas Vorlow <costas.vor...@gmail.com> > wrote: > > Dear all, > > > > Why aggregation of 15 minute xts data happens on the 45th (3rd quarter) > and > > not the exact hour close (i.e., 00) time? > > > The "00" time is the beginning of the hour, not the end. E.g., > 10:00:00 is the beginning of the 10-o'clock hour. > > > For example, temp below is an xts sequence with 15-minute frequency: > > > >> quarters <- ISOdatetime(2012,05,02,9,0,0) + seq(0:39)*15*60; > >> set.seed(42); > >> observation <- xts(1:40, order.by=as.POSIXct(quarters)); > >> head(observation); > > [,1] > > 2012-05-02 09:15:00 1 > > 2012-05-02 09:30:00 2 > > 2012-05-02 09:45:00 3 > > 2012-05-02 10:00:00 4 > > 2012-05-02 10:15:00 5 > > 2012-05-02 10:30:00 6 > > > >> ends<-endpoints(observation,'hours'); > >> temp<-period.apply(observation, ends,sum); > >> temp > > [,1] > > 2012-05-02 09:45:00 6 > > 2012-05-02 10:45:00 22 > > 2012-05-02 11:45:00 38 > > 2012-05-02 12:45:00 54 > > 2012-05-02 13:45:00 70 > > 2012-05-02 14:45:00 86 > > 2012-05-02 15:45:00 102 > > 2012-05-02 16:45:00 118 > > 2012-05-02 17:45:00 134 > > 2012-05-02 18:45:00 150 > > 2012-05-02 19:00:00 40 > >> > > > > I get the sum of every quarter within the hour on the third quarter. How > > can I implicitly calculate the sum of the quarterly data on the hour's > > close (10:00, 11:00, 12:00 and so on) ? > > > Again, those are the beginnings of the hours. endpoints() and > period.apply() only use the timestamps in your data. If you want to > round up to the beginning of the next hour, use align.time(). > > > align.time(temp, 3600) > [,1] > 2012-05-02 10:00:00 6 > 2012-05-02 11:00:00 22 > 2012-05-02 12:00:00 38 > 2012-05-02 13:00:00 54 > 2012-05-02 14:00:00 70 > 2012-05-02 15:00:00 86 > 2012-05-02 16:00:00 102 > 2012-05-02 17:00:00 118 > 2012-05-02 18:00:00 134 > 2012-05-02 19:00:00 150 > 2012-05-02 20:00:00 40 > > > Many thanks in advance, > > Costas > > > > __________________________________________________________________ > > > > *Costas Vorlow > > <http://www.gravatar.com/avatar/49a9dee59073b1ed4a36440a06aeb81b> * > > *http://www.linkedin.com/in/costasvorlow > > <http://www.linkedin.com/in/costasvorlow>* > > *http://www.vorlow.com* <http://www.vorlow.com> > > > > â â â â â â â â â â â â â â â â â â â > > â â â â â â â â â â â â â â â â > > > > Best, > -- > Joshua Ulrich | about.me/joshuaulrich > FOSS Trading | www.fosstrading.com > [[alternative HTML version deleted]]
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