Make daily Holiday and Weekend date sequences
Make daily Holiday and Weekend date sequences
tk_make_holiday_sequence(
start_date,
end_date,
calendar = c("NYSE", "LONDON", "NERC", "TSX", "ZURICH"),
skip_values = NULL,
insert_values = NULL
)
tk_make_weekend_sequence(start_date, end_date)
tk_make_weekday_sequence(
start_date,
end_date,
remove_weekends = TRUE,
remove_holidays = FALSE,
calendar = c("NYSE", "LONDON", "NERC", "TSX", "ZURICH"),
skip_values = NULL,
insert_values = NULL
)start_date |
Used to define the starting date for date sequence generation. Provide in "YYYY-MM-DD" format. |
end_date |
Used to define the ending date for date sequence generation. Provide in "YYYY-MM-DD" format. |
calendar |
The calendar to be used in Date Sequence calculations for Holidays
from the |
skip_values |
A daily date sequence to skip |
insert_values |
A daily date sequence to insert |
remove_weekends |
A logical value indicating whether or not to remove weekends (Saturday and Sunday) from the date sequence |
remove_holidays |
A logical value indicating whether or not to remove common holidays from the date sequence |
Start and End Date Specification
Accept shorthand notation (i.e. tk_make_timeseries() specifications apply)
Only available in Daily Periods.
Holiday Sequences
tk_make_holiday_sequence() is a wrapper for various holiday calendars from the timeDate package,
making it easy to generate holiday sequences for common business calendars:
New York Stock Exchange: calendar = "NYSE"
Londo Stock Exchange: "LONDON"
North American Reliability Council: "NERC"
Toronto Stock Exchange: "TSX"
Zurich Stock Exchange: "ZURICH"
Weekend and Weekday Sequences
These simply populate
A vector containing future dates
Intelligent date or date-time sequence creation: tk_make_timeseries()
Holidays and weekends: tk_make_holiday_sequence(), tk_make_weekend_sequence(), tk_make_weekday_sequence()
Make future index from existing: tk_make_future_timeseries()
library(dplyr)
library(tidyquant)
library(timetk)
options(max.print = 50)
# ---- HOLIDAYS & WEEKENDS ----
# Business Holiday Sequence
tk_make_holiday_sequence("2017-01-01", "2017-12-31", calendar = "NYSE")
tk_make_holiday_sequence("2017", calendar = "NYSE") # Same thing as above (just shorter)
# Weekday Sequence
tk_make_weekday_sequence("2017", "2018", remove_holidays = TRUE)
# Weekday Sequence + Removing Business Holidays
tk_make_weekday_sequence("2017", "2018", remove_holidays = TRUE)
# ---- COMBINE HOLIDAYS WITH MAKE FUTURE TIMESERIES FROM EXISTING ----
# - A common machine learning application is creating a future time series data set
# from an existing
# Create index of days that FB stock will be traded in 2017 based on 2016 + holidays
FB_tbl <- FANG %>% filter(symbol == "FB")
holidays <- tk_make_holiday_sequence(
start_date = "2016",
end_date = "2017",
calendar = "NYSE")
weekends <- tk_make_weekend_sequence(
start_date = "2016",
end_date = "2017")
# Remove holidays and weekends with skip_values
# We could also remove weekends with inspect_weekdays = TRUE
FB_tbl %>%
tk_index() %>%
tk_make_future_timeseries(length_out = 366,
skip_values = c(holidays, weekends))Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.