Extracting/Replacing the Class of an xts Index
Generic functions to extract, replace, and format the class of the index of an xts object.
## S3 method for class 'xts' index(x, ...) ## S3 replacement method for class 'xts' index(x) <- value .index(x, ...) .index(x) <- value indexClass(x) indexClass(x) <- value tclass(x, ...) tclass(x) <- value tformat(x) tformat(x) <- value convertIndex(x,value) # time component extraction/conversion .indexDate(x) .indexday(x) .indexmday(x) .indexwday(x) .indexweek(x) .indexmon(x) .indexyday(x) .indexyear(x) .indexhour(x) .indexmin(x) .indexsec(x)
x |
xts object |
value |
desired new class or format. See details |
... |
additional arguments (unused) |
The main accessor methods to an xts object's index
is via the index and index<- replacement method.
The structure of the index internally is now a numeric
value corresponding to seconds since the epoch (POSIXct converted to numeric).
This change allows for near native-speed matrix subsetting, as
well as nearly instantaneous speed subsets by time.
A call to index translates to the desired class on-the-fly.
The desired index class is stored as an attribute within the
xts object. Upon a standard index call, this is used
to convert the numeric value to the desired class.
It is possible to view and set the class of the time-index
of a given xts object via the tclass function.
To retrieve the raw numeric data a new accessor function (and replacement) has been
added .index. This is primarily for internal use, but may be useful for
end-users.
.indexXXX functions are useful to extract time
components of the underlying time index. The ‘tclass’
is virtual, and as such suitable conversions are made depending
on the component requested.
The specified value for
tclass<- must be a character string containing
one of the following: Date, POSIXct,
chron, yearmon, yearqtr or timeDate.
tformat only manages the manner in which the object
is displayed via print (also called automatically
when the object is returned) and in conversion to other
classes such as matrix. The valid values
for tformat are the same for format.POSIXct,
as this is the function that does the conversion internally.
convertIndex returns a modified xts object, and
does not alter the original.
Changing the index type may alter the behavior of xts functions expecting a different index, as well as the functionality of additional methods. Use with caution.
Jeffrey A. Ryan
x <- timeBasedSeq('2010-01-01/2010-01-02 12:00')
x <- xts(1:length(x), x)
# all obs. in the first 6 and last 3 minutes of the
# 8th and 15th hours on each day
x[.indexhour(x) %in% c(8,15) & .indexmin(x) %in% c(0:5,57:59)]
# change the index format
tformat(x) <- "%Y-%b-%d %H:%M:%OS3"
head(x)
i <- 0:60000
focal_date <- as.numeric(as.POSIXct("2018-02-01", tz = "UTC"))
x <- .xts(i, c(focal_date + i * 15), tz = "UTC", dimnames = list(NULL, "value"))
#select all observations for the first minute of each hour:
x[.indexmin(x) == 0]
# Select all observations for Monday:
mon <- x[.indexwday(x) == 1]
head(mon) ; tail(mon)
unique(weekdays(index(mon))) # check
# Disjoint time of day selections
# Select all observations between 08:30 and 08:59:59.9999 or between 12:00 and 12:14:59.99999:
x[.indexhour(x) == 8 & .indexmin(x) >= 30 | .indexhour(x) == 12 & .indexmin(x) %in% 0:14]
### Compound selections
# Select all observations for Wednesdays or Fridays between 9am and 4pm (exclusive of 4pm):
x[.indexwday(x) %in% c(3, 5) & (.indexhour(x) %in% c(9:15))]
# Select all observations on Monday between 8:59:45 and 09:04:30:
x[.indexwday(x) == 1 & (.indexhour(x) == 8 & .indexmin(x) == 59 & .indexsec(x) >= 45 |
.indexhour(x) == 9 &
(.indexmin(x) < 4 | .indexmin(x) == 4 & .indexsec(x) <= 30))]
i <- 0:30000
u <- .xts(i, c(focal_date + i * 1800), tz = "UTC", dimnames = list(NULL, "value"))
# Select all observations for January or February:
u[.indexmon(u) %in% c(0, 1) ]
# Select all data for the 28th to 31st of each month, excluding any Fridays:
u[.indexmday(u) %in% 28:31 & .indexwday(u) != 5]
# Subset by week since origin
unique(.indexweek(u))
origin <- xts(1, as.POSIXct("1970-01-01"))
unique(.indexweek(origin))
# e.g. select all observations in weeks 2515 to 2517.
u2 <- u[.indexweek(u) %in% 2515:2517]
head(u2); tail(u2)
# select all observations after 12pm for day 50 and 51 in each year
u[.indexyday(u) %in% 50:51 & .indexhour(u) >= 12]Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.