quantmod (version 0.3-1)

to.period: Convert time series data to an OHLC series

Description

Convert an OHLC or univariate zoo object to a specified periodicity lower than the given data object. For example, convert a daily series to a monthly series, or a monthly series to an yearly one, or a one minute series to an hourly series.

The result will contain the open and close for the given period, as well as the maximum and minimum prices over the new period, reflected in the new high and low, respectively.

If volume for a period was available, the new volume will also be calculated.

Usage

to.minutes(x)
to.minutes3(x)
to.minutes5(x)
to.minutes10(x)
to.minutes15(x)
to.minutes30(x)
to.hourly(x)
to.daily(x,drop.time=TRUE)
to.weekly(x,drop.time=TRUE)
to.monthly(x,drop.time=TRUE)
to.quarterly(x,drop.time=TRUE)
to.yearly(x,drop.time=TRUE)
to.period(x, period = months, name, ...)

Arguments

x

OHLC type object

period

period to convert to

drop.time

remove time component of POSIX datestamp (if any)

name

override column names

...

additional arguments

Value

• An object of quantmod.OHLC, with new periodicity.

Details

Essentially an easy and reliable way to convert daily data into any commonly required periodicity. It is important to note that all dates will be aligned to the end of each period, e.g. the row corresponding to August 2007 would become '2007-08-31'. This is different than what would be downloaded from yahoo as a monthly series - as yahoo illogically using the beginning of the month to signify a month - i.e. the first date available, not the 1st!

It is also possible to pass a single time series, such as a univariate exchange rate, and return an OHLC object of lower frequency - e.g. the weekly OHLC of the daily series.

Setting drop.time to TRUE (the default) will convert a series that includes a time component into one with just a date index, as the time index is often of little value in lower frequency series.

It is not possible to convert a series from a lower periodicity to a higher periodicity - e.g. weekly to daily or daily to 5 minute bars, as that would require magic.

See Also

as.quantmod.OHLC, getSymbols, apply.monthly

Examples

# download daily US/EU exchange rate from
# the FRED system
getSymbols("DEXUSEU",src="FRED")
getSymbols("QQQQ",src="yahoo")

# look at the data : )
DEXUSEU   # univariate time series
QQQQ      # OHLC already

# now it's a yearly OHLC
dex1 <- to.yearly(DEXUSEU)

# first monthly, then to yearly
dex2 <- to.yearly(to.monthly(DEXUSEU))

identical(dex1,dex2) # it's the same!

q1 <- to.yearly(QQQQ)
q2 <- to.yearly(to.monthly(QQQQ))

# these don't match - sometimes dates
# are off depending on when cutoffs
# occur - so BE CAREFUL when converting
# a converted object!
identical(q1,q2)