R help - Dec 2004 - Re: [R-sig-finance] dates and times on Windows for fMetrics

# Here is the solution:


require(fBasics)

# Be sure that R is running in time zone GMT.
# Set your Windows environment variable to "GMT"
# Your PC Windows clock can still run in any other time zone!
# My clock is now running in Zurich in Europe.


Date    = c("2003-10-09", "2003-10-10",
"2003-10-13", "2003-10-14")
 Open   = c(1.27, 1.25, 1.27, 1.29)
 High   = c(1.28, 1.28, 1.29, 1.29)
 Low    = c(1.25, 1.25, 1.27, 1.27)
 Close  = c(1.25, 1.27, 1.28, 1.27)
 Volume = c(152810, 111338, 243843, 180211)
Data    = data.frame(Open, High, Low, Close, Volume)


# In which time zone are your data recorded?
zone = "Australia/Sydney"
# At what local time have your data been recorded?
# Say, 16:00:00 local time "Australia/Sydney" when the exchange
closes?
Time = "16:00:00"
# At which Financial Center you like to use your Data?
FinCenter = "Australia/Sydney"


# Make a timeSeries Object:
sydney.ts = timeSeries(
   data = Data,
   charvec = paste(Date, Time),
   units = c("Open", "High", "Low",
"Close", "Volume"),
   zone = "Australia/Sydney",
   FinCenter = "Australia/Sydney")

sydney.ts
# You should get:
#                     Open High  Low Close Volume
# 2003-10-09 16:00:00 1.27 1.28 1.25  1.25 152810
# 2003-10-10 16:00:00 1.25 1.28 1.25  1.27 111338
# 2003-10-13 16:00:00 1.27 1.29 1.27  1.28 243843
# 2003-10-14 16:00:00 1.29 1.29 1.27  1.27 180211


# Now, you are living at your "FinCenter" in Adelaide,
# but the data were recorded in the time "zone" of Sydney:

adelaide.ts = timeSeries(
   data = Data,
   charvec = paste(Date, Time),
   units = c("Open", "High", "Low",
"Close", "Volume"),
   zone = "Australia/Sydney",
   FinCenter = "Australia/Adelaide")
adelaide.ts

# Or, you are living in Melbourne:

melbourne.ts = timeSeries(
   data = Data,
   charvec = paste(Date, Time),
   units = c("Open", "High", "Low",
"Close", "Volume"),
   zone = "Australia/Sydney",
   FinCenter = "Australia/Melbourne") 
melbourne.ts


# Why does it fail for Perth?
# Have a look on the tail of the DST rules for Sydney:
tail(Sydney())
# You get:
#                  Sydney offSet
# 123 2028-03-25 16:00:00  36000
# 124 2028-10-28 16:00:00  39600
# 125 2029-03-24 16:00:00  36000
# 126 2029-10-27 16:00:00  39600
# 127 2030-03-30 16:00:00  36000
# 128 2030-10-26 16:00:00  39600

# Now for Perth:
tail(Perth())
# You get:
#                  Perth offSet
# 8  1974-10-26 18:00:00  32400
# 9  1975-03-01 18:00:00  28800
# 10 1983-10-29 18:00:00  32400
# 11 1984-03-03 18:00:00  28800
# 12 1991-11-16 18:00:00  32400
# 13 1992-02-29 18:00:00  28800

# OOPS ...
# The DST rules are missing after 1992.
# A quick repair:
# Let's assume that the DST dates are the same as for Sydney:
# and the offset 2 hours (120 Minutes) earlier:

rm(Perth)
PERTH <<- Perth
Perth = function() {
    Perth = paste(substring(as.character(Sydney()[52:128,1]), 1, 10), 
"18:00:00")
    offSet = Sydney()[52:128,2] - 2*60*60
    rbind(PERTH(), data.frame(Perth, offSet))
}

# Try the complete Perth():
Perth()


perth.ts = timeSeries(
   data = Data,
   charvec = paste(Date, Time),
   units = c("Open", "High", "Low",
"Close", "Volume"),
   zone = "Australia/Sydney",
   FinCenter = "Australia/Perth") 
perth.ts

# You get:
#                     Open High  Low Close Volume
# 2003-10-09 14:00:00 1.27 1.28 1.25  1.25 152810
# 2003-10-10 14:00:00 1.25 1.28 1.25  1.27 111338
# 2003-10-13 14:00:00 1.27 1.29 1.27  1.28 243843
# 2003-10-14 14:00:00 1.29 1.29 1.27  1.27 180211

 

# Is that right, there are 2 hours difference from Perth to Sydney?



# Note there are some other FinCenters which are not up to date.
# The list will be checked and updated with the next version of Rmetrics.


# Regards
# Diethelm Wuertz







Tom Mulholland wrote:
> First things first
>
> R       "R version 2.0.1, 2004-11-15"
> OS.type "windows"
> GUI     "Rgui"
>
> I thought that I had the time and date stuff nearly under control. I 
> don't get the ubiquitous "GMT" warning although I'm not
sure that the
> way I have done it is correct. I use a batch file to invoke R
>
> set TZ=GMT
> rgui.exe
>
> I have a dataset that I use called tempdata
>
> > str(tempdata)
> `data.frame':   300 obs. of  7 variables:
>  $ date     : chr  "2003/10/09" "2003/10/10"
"2003/10/13" "2003/10/14"
> ...
>  $ Open     : num  1.27 1.25 1.27 1.29 1.27 1.28 1.32 1.35 1.35 1.34 ...
>  $ High     : num  1.28 1.28 1.29 1.29 1.29 1.31 1.35 1.37 1.37 1.34 ...
>  $ Low      : num  1.25 1.25 1.27 1.27 1.27 1.28 1.31 1.32 1.33 1.32 ...
>  $ Close    : num  1.25 1.27 1.28 1.27 1.28 1.31 1.35 1.35 1.34 1.33 ...
>  $ Volume   : int  152810 111338 243843 180211 159147 386021 270289 
> 690343 574630 314740 ...
>  $ dateposix:`POSIXct', format: chr  "2003-10-09"
"2003-10-10"
> "2003-10-13" "2003-10-14" ...
>
> I use the POSIXct in my own home-made plots. In playing with Fmetrics 
> I naturaly wanted to create a time series
>
> This works
> ts = timeSeries(tempdata[,2:6], charvec = tempdata[,1],format = 
> "%Y/%m/%d",FinCenter = "Australia/Sydney")
>
> Although if I set myFinCenter to "Australia/Perth" it fails. (See
> below for structure)
>
> while
> ts = timeSeries(tempdata[,2:6], charvec = tempdata[,1],format = 
> "%Y/%m/%d",FinCenter = "Australia/Perth") fails with
>
> Error in if (timeTest == 0) iso.format = "%Y-%m-%d" :
>         missing value where TRUE/FALSE needed
>
> Ive looked at the function but I'm missing something.
>
> Any ideas would be much appreciated
>
>
> > str(ts)
> Formal class 'timeSeries' [package "fBasics"] with 7
slots
>   ..@ Data         : num [1:300, 1:5] 1.27 1.25 1.27 1.29 1.27 1.28 
> 1.32 1.35 1.35 1.34 ...
>   .. ..- attr(*, "dimnames")=List of 2
>   .. .. ..$ : chr [1:300] "2003-10-09 10:00:00" "2003-10-10
10:00:00"
> "2003-10-13 10:00:00" "2003-10-14 10:00:00" ...
>   .. .. ..$ : chr [1:5] "TS.1" "TS.2" "TS.3"
"TS.4" ...
>   ..@ positions    : chr [1:300] "2003-10-09 10:00:00"
"2003-10-10
> 10:00:00" "2003-10-13 10:00:00" "2003-10-14
10:00:00" ...
>   ..@ format       : chr "%Y-%m-%d %H:%M:%S"
>   ..@ FinCenter    : chr "Australia/Sydney"
>   ..@ units        : chr [1:5] "TS.1" "TS.2"
"TS.3" "TS.4" ...
>   ..@ title        : chr "Time Series Object"
>   ..@ documentation: chr "Created at Australia/Sydney 2004-12-12 
> 19:52:35"
>
> _______________________________________________
> R-sig-finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>

Diethelm Wuertz wrote:

...
> # OOPS ...
> # The DST rules are missing after 1992.
...

We don't have daylight saving anymore,(the running joke here is that it 
fades the curtains too quickly) and it's been that way for at least a 
decade. So I don't think there are any missing rules.

I'm just on my way out to work so I'll fully digest the message once I 
get home.

Thanks.

Tom