Hamid
2009-Dec-12 20:54 UTC
[R] Need help to complete missing value (Date and Time) in Sp500 Data
Dear all, here my problem my be somone can help to solve this. I have tow timeseries from different stock market with different length (diff ca. 4000 ) Now I would to add the missing times of the one of this series with proper time (they are minute data) and set the value to 0 since I need to have the same length for my calculation. I tried to use the seq in R and merge but without success because of format of the date. My data of one vector i like to complete and extend to the length of the other vectors looks like: Date;open;hight;low;close;Volume 02.04.2008 09:00;6.749,24;6.755,55;6.746,89;6.754,11;0 02.04.2008 09:01;6.754,70;6.754,70;6.748,13;6.749,55;0 02.04.2008 09:02;6.749,36;6.757,00;6.745,50;6.749,38;0 02.04.2008 09:03;6.748,08;6.753,84;6.748,08;6.753,84;0 02.04.2008 09:04;6.753,79;6.755,59;6.752,18;6.752,41;0 02.04.2008 09:05;6.753,23;6.753,23;6.748,17;6.748,47;0 02.04.2008 09:06;6.749,43;6.750,62;6.748,22;6.748,26;0 02.04.2008 09:07;6.748,26;6.748,89;6.745,54;6.745,54;0 02.04.2008 09:08;6.745,49;6.746,58;6.744,82;6.745,58;0 02.04.2008 09:09;6.745,62;6.745,98;6.741,47;6.741,55;0 02.04.2008 09:10;6.741,58;6.741,73;6.737,21;6.739,85;0 02.04.2008 09:11;6.739,10;6.742,81;6.738,24;6.742,53;0 02.04.2008 09:12;6.742,32;6.742,80;6.740,42;6.741,81;0 02.04.2008 09:13;6.741,84;6.744,78;6.741,84;6.744,60;0 02.04.2008 09:14;6.744,60;6.744,60;6.740,54;6.740,54;0 02.04.2008 09:15;6.740,45;6.740,67;6.736,32;6.737,68;0 02.04.2008 09:16;6.737,72;6.740,68;6.737,45;6.740,11;0 02.04.2008 09:17;6.740,04;6.746,34;6.740,04;6.746,34;0 02.04.2008 09:18;6.746,21;6.750,64;6.746,21;6.749,99;0 02.04.2008 09:19;6.750,61;6.752,95;6.749,07;6.750,69;0 02.04.2008 09:20;6.750,82;6.751,01;6.748,20;6.750,74;0 02.04.2008 09:21;6.750,57;6.752,98;6.748,62;6.752,98;0 02.04.2008 09:22;6.752,74;6.756,24;6.752,74;6.753,84;0 02.04.2008 09:23;6.753,90;6.755,51;6.752,70;6.753,05;0 Thanks in advance for any help! H. -- View this message in context: http://n4.nabble.com/Need-help-to-complete-missing-value-Date-and-Time-in-Sp500-Data-tp962671p962671.html Sent from the R help mailing list archive at Nabble.com.
Uwe Ligges
2009-Dec-13 17:10 UTC
[R] Need help to complete missing value (Date and Time) in Sp500 Data
Hamid wrote:> Dear all, > here my problem my be somone can help to solve this. > > I have tow timeseries from different stock market with different length > (diff ca. 4000 ) > Now I would to add the missing times of the one of this series with proper > time (they are minute data) and set the value to 0 since I need to have the > same length for my calculation. > > I tried to use the seq in R and merge but without success because of format > of the date. > My data of one vector i like to complete and extend to the length of the > other vectors looks like:Well, this seems to be very complete, hence no idea what you want to add, please specify a reproducible example. Uwe Ligges> Date;open;hight;low;close;Volume > 02.04.2008 09:00;6.749,24;6.755,55;6.746,89;6.754,11;0 > 02.04.2008 09:01;6.754,70;6.754,70;6.748,13;6.749,55;0 > 02.04.2008 09:02;6.749,36;6.757,00;6.745,50;6.749,38;0 > 02.04.2008 09:03;6.748,08;6.753,84;6.748,08;6.753,84;0 > 02.04.2008 09:04;6.753,79;6.755,59;6.752,18;6.752,41;0 > 02.04.2008 09:05;6.753,23;6.753,23;6.748,17;6.748,47;0 > 02.04.2008 09:06;6.749,43;6.750,62;6.748,22;6.748,26;0 > 02.04.2008 09:07;6.748,26;6.748,89;6.745,54;6.745,54;0 > 02.04.2008 09:08;6.745,49;6.746,58;6.744,82;6.745,58;0 > 02.04.2008 09:09;6.745,62;6.745,98;6.741,47;6.741,55;0 > 02.04.2008 09:10;6.741,58;6.741,73;6.737,21;6.739,85;0 > 02.04.2008 09:11;6.739,10;6.742,81;6.738,24;6.742,53;0 > 02.04.2008 09:12;6.742,32;6.742,80;6.740,42;6.741,81;0 > 02.04.2008 09:13;6.741,84;6.744,78;6.741,84;6.744,60;0 > 02.04.2008 09:14;6.744,60;6.744,60;6.740,54;6.740,54;0 > 02.04.2008 09:15;6.740,45;6.740,67;6.736,32;6.737,68;0 > 02.04.2008 09:16;6.737,72;6.740,68;6.737,45;6.740,11;0 > 02.04.2008 09:17;6.740,04;6.746,34;6.740,04;6.746,34;0 > 02.04.2008 09:18;6.746,21;6.750,64;6.746,21;6.749,99;0 > 02.04.2008 09:19;6.750,61;6.752,95;6.749,07;6.750,69;0 > 02.04.2008 09:20;6.750,82;6.751,01;6.748,20;6.750,74;0 > 02.04.2008 09:21;6.750,57;6.752,98;6.748,62;6.752,98;0 > 02.04.2008 09:22;6.752,74;6.756,24;6.752,74;6.753,84;0 > 02.04.2008 09:23;6.753,90;6.755,51;6.752,70;6.753,05;0 > > Thanks in advance for any help! > H.
Hamid
2009-Dec-13 19:02 UTC
[R] Need help to complete missing value (Date and Time) in Sp500 Data
Hi Uwe, yes you are right, but I just wanted to show the date format I use. The whole data is very huge (about 20000 rows). Nevertheless I like first to find the missing dates/Times. Then put 0. I know they are some different approach to impute missing data, but for me is important to find a way to identify the missing gaps and then put the values (I think then it is not complicated to put other values instead of zero). Do you have any idea to find it out and put the values in ? Thanks in advance Hamid Uwe Ligges-3 wrote:> > > > Hamid wrote: >> Dear all, >> here my problem my be somone can help to solve this. >> >> I have tow timeseries from different stock market with different length >> (diff ca. 4000 ) >> Now I would to add the missing times of the one of this series with >> proper >> time (they are minute data) and set the value to 0 since I need to have >> the >> same length for my calculation. >> >> I tried to use the seq in R and merge but without success because of >> format >> of the date. >> My data of one vector i like to complete and extend to the length of the >> other vectors looks like: > > Well, this seems to be very complete, hence no idea what you want to > add, please specify a reproducible example. > > Uwe Ligges > > > >> Date;open;hight;low;close;Volume >> 02.04.2008 09:00;6.749,24;6.755,55;6.746,89;6.754,11;0 >> 02.04.2008 09:01;6.754,70;6.754,70;6.748,13;6.749,55;0 >> 02.04.2008 09:02;6.749,36;6.757,00;6.745,50;6.749,38;0 >> 02.04.2008 09:03;6.748,08;6.753,84;6.748,08;6.753,84;0 >> 02.04.2008 09:04;6.753,79;6.755,59;6.752,18;6.752,41;0 >> 02.04.2008 09:05;6.753,23;6.753,23;6.748,17;6.748,47;0 >> 02.04.2008 09:06;6.749,43;6.750,62;6.748,22;6.748,26;0 >> 02.04.2008 09:07;6.748,26;6.748,89;6.745,54;6.745,54;0 >> 02.04.2008 09:08;6.745,49;6.746,58;6.744,82;6.745,58;0 >> 02.04.2008 09:09;6.745,62;6.745,98;6.741,47;6.741,55;0 >> 02.04.2008 09:10;6.741,58;6.741,73;6.737,21;6.739,85;0 >> 02.04.2008 09:11;6.739,10;6.742,81;6.738,24;6.742,53;0 >> 02.04.2008 09:12;6.742,32;6.742,80;6.740,42;6.741,81;0 >> 02.04.2008 09:13;6.741,84;6.744,78;6.741,84;6.744,60;0 >> 02.04.2008 09:14;6.744,60;6.744,60;6.740,54;6.740,54;0 >> 02.04.2008 09:15;6.740,45;6.740,67;6.736,32;6.737,68;0 >> 02.04.2008 09:16;6.737,72;6.740,68;6.737,45;6.740,11;0 >> 02.04.2008 09:17;6.740,04;6.746,34;6.740,04;6.746,34;0 >> 02.04.2008 09:18;6.746,21;6.750,64;6.746,21;6.749,99;0 >> 02.04.2008 09:19;6.750,61;6.752,95;6.749,07;6.750,69;0 >> 02.04.2008 09:20;6.750,82;6.751,01;6.748,20;6.750,74;0 >> 02.04.2008 09:21;6.750,57;6.752,98;6.748,62;6.752,98;0 >> 02.04.2008 09:22;6.752,74;6.756,24;6.752,74;6.753,84;0 >> 02.04.2008 09:23;6.753,90;6.755,51;6.752,70;6.753,05;0 >> >> Thanks in advance for any help! >> H. > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > >-- View this message in context: http://n4.nabble.com/Need-help-to-complete-missing-value-Date-and-Time-in-Sp500-Data-tp962671p963080.html Sent from the R help mailing list archive at Nabble.com.
Uwe Ligges
2009-Dec-13 19:06 UTC
[R] Need help to complete missing value (Date and Time) in Sp500 Data
Hamid wrote:> Hi Uwe, > yes you are right, but I just wanted to show the date format I use. The > whole data is very huge (about 20000 rows). > > Nevertheless I like first to find the missing dates/Times. Then put 0. I > know they are some different approach to impute missing data, but for me is > important to find a way to identify the missing gaps and then put the values > (I think then it is not complicated to put other values instead of zero). > Do you have any idea to find it out and put the values in ?Well, the problem is that I cannot imagine how your "gaps" look like, hence I asked for the example. Please provide an example (just a few rows) of the data how it looks like and then how you want it to be afterwards. That would be very helpful to allow readers of the list to respond. Uwe Ligges> Thanks in advance > Hamid > > Uwe Ligges-3 wrote: >> >> >> Hamid wrote: >>> Dear all, >>> here my problem my be somone can help to solve this. >>> >>> I have tow timeseries from different stock market with different length >>> (diff ca. 4000 ) >>> Now I would to add the missing times of the one of this series with >>> proper >>> time (they are minute data) and set the value to 0 since I need to have >>> the >>> same length for my calculation. >>> >>> I tried to use the seq in R and merge but without success because of >>> format >>> of the date. >>> My data of one vector i like to complete and extend to the length of the >>> other vectors looks like: >> Well, this seems to be very complete, hence no idea what you want to >> add, please specify a reproducible example. >> >> Uwe Ligges >> >> >> >>> Date;open;hight;low;close;Volume >>> 02.04.2008 09:00;6.749,24;6.755,55;6.746,89;6.754,11;0 >>> 02.04.2008 09:01;6.754,70;6.754,70;6.748,13;6.749,55;0 >>> 02.04.2008 09:02;6.749,36;6.757,00;6.745,50;6.749,38;0 >>> 02.04.2008 09:03;6.748,08;6.753,84;6.748,08;6.753,84;0 >>> 02.04.2008 09:04;6.753,79;6.755,59;6.752,18;6.752,41;0 >>> 02.04.2008 09:05;6.753,23;6.753,23;6.748,17;6.748,47;0 >>> 02.04.2008 09:06;6.749,43;6.750,62;6.748,22;6.748,26;0 >>> 02.04.2008 09:07;6.748,26;6.748,89;6.745,54;6.745,54;0 >>> 02.04.2008 09:08;6.745,49;6.746,58;6.744,82;6.745,58;0 >>> 02.04.2008 09:09;6.745,62;6.745,98;6.741,47;6.741,55;0 >>> 02.04.2008 09:10;6.741,58;6.741,73;6.737,21;6.739,85;0 >>> 02.04.2008 09:11;6.739,10;6.742,81;6.738,24;6.742,53;0 >>> 02.04.2008 09:12;6.742,32;6.742,80;6.740,42;6.741,81;0 >>> 02.04.2008 09:13;6.741,84;6.744,78;6.741,84;6.744,60;0 >>> 02.04.2008 09:14;6.744,60;6.744,60;6.740,54;6.740,54;0 >>> 02.04.2008 09:15;6.740,45;6.740,67;6.736,32;6.737,68;0 >>> 02.04.2008 09:16;6.737,72;6.740,68;6.737,45;6.740,11;0 >>> 02.04.2008 09:17;6.740,04;6.746,34;6.740,04;6.746,34;0 >>> 02.04.2008 09:18;6.746,21;6.750,64;6.746,21;6.749,99;0 >>> 02.04.2008 09:19;6.750,61;6.752,95;6.749,07;6.750,69;0 >>> 02.04.2008 09:20;6.750,82;6.751,01;6.748,20;6.750,74;0 >>> 02.04.2008 09:21;6.750,57;6.752,98;6.748,62;6.752,98;0 >>> 02.04.2008 09:22;6.752,74;6.756,24;6.752,74;6.753,84;0 >>> 02.04.2008 09:23;6.753,90;6.755,51;6.752,70;6.753,05;0 >>> >>> Thanks in advance for any help! >>> H. >> ______________________________________________ >> R-help at r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. >> >> >
Hamid
2009-Dec-13 21:08 UTC
[R] Need help to complete missing value (Date and Time) in Sp500 Data
Hi uwe, here the example: 1) Dataset sp500 has values at 01.05.2008: 30.04.2008 21:56;1.385,63;1.385,63;1.385,14;1.385,14;0 30.04.2008 21:57;1.385,67;1.385,67;1.384,48;1.384,48;0 30.04.2008 21:58;1.384,74;1.384,91;1.384,27;1.384,91;0 30.04.2008 21:59;1.385,05;1.385,81;1.385,05;1.385,08;0 01.05.2008 15:30;1.385,97;1.385,97;1.384,14;1.384,54;0 01.05.2008 15:31;1.384,61;1.385,30;1.384,61;1.385,30;0 01.05.2008 15:32;1.385,03;1.385,54;1.385,03;1.385,54;0 01.05.2008 15:33;1.386,01;1.386,01;1.385,56;1.385,83;0 01.05.2008 15:34;1.385,61;1.385,61;1.385,00;1.385,00;0 01.05.2008 15:35;1.384,72;1.385,29;1.384,72;1.385,12;0 01.05.2008 15:36;1.385,26;1.385,26;1.384,47;1.384,48;0 01.05.2008 15:37;1.384,11;1.384,11;1.383,89;1.383,89;0 01.05.2008 15:38;1.383,63;1.383,75;1.383,33;1.383,75;0 01.05.2008 15:39;1.383,90;1.384,29;1.383,76;1.383,76;0 01.05.2008 15:40;1.383,66;1.383,66;1.383,07;1.383,08;0 01.05.2008 15:41;1.383,16;1.383,39;1.383,16;1.383,31;0 01.05.2008 15:42;1.383,70;1.383,94;1.383,69;1.383,69;0 01.05.2008 15:43;1.384,11;1.385,12;1.384,11;1.385,12;0 01.05.2008 15:44;1.385,26;1.385,72;1.385,26;1.385,72;0 01.05.2008 15:45;1.385,83;1.386,78;1.385,83;1.386,78;0 01.05.2008 15:46;1.386,89;1.387,09;1.386,89;1.386,96;0 01.05.2008 15:47;1.386,74;1.386,94;1.386,73;1.386,73;0 2) but in the dataset dax (because the 1.5 is not work day in Germany ) is missing all the minute data. (there are some of these days the data missing) 30.04.2008 17:28;6.947,29;6.947,69;6.944,64;6.946,21;547.527 30.04.2008 17:29;6.945,92;6.948,49;6.945,10;6.945,83;888.986 02.05.2008 09:00;6.982,06;6.982,06;6.980,25;6.980,88;1.202.110 02.05.2008 09:01;6.980,08;6.980,75;6.971,93;6.971,93;367.080 02.05.2008 09:02;6.972,88;7.031,30;6.972,88;7.026,16;2.097.588 02.05.2008 09:03;7.026,72;7.029,12;7.024,96;7.027,16;373.875 02.05.2008 09:04;7.027,06;7.029,64;7.024,17;7.026,32;421.565 02.05.2008 09:05;7.026,32;7.026,67;7.022,40;7.025,08;490.090 02.05.2008 09:06;7.024,21;7.025,31;7.021,45;7.021,70;500.031 02.05.2008 09:07;7.021,72;7.022,31;7.015,32;7.015,76;486.933 02.05.2008 09:08;7.017,90;7.022,94;7.017,90;7.022,23;461.801 02.05.2008 09:09;7.022,23;7.022,55;7.018,54;7.018,99;593.412 Uwe Ligges-3 wrote:> > > > Hamid wrote: >> Hi Uwe, >> yes you are right, but I just wanted to show the date format I use. The >> whole data is very huge (about 20000 rows). >> >> Nevertheless I like first to find the missing dates/Times. Then put 0. I >> know they are some different approach to impute missing data, but for me >> is >> important to find a way to identify the missing gaps and then put the >> values >> (I think then it is not complicated to put other values instead of zero). >> Do you have any idea to find it out and put the values in ? > > > > Well, the problem is that I cannot imagine how your "gaps" look like, > hence I asked for the example. Please provide an example (just a few > rows) of the data how it looks like and then how you want it to be > afterwards. > > That would be very helpful to allow readers of the list to respond. > > Uwe Ligges > > > >> Thanks in advance >> Hamid >> >> Uwe Ligges-3 wrote: >>> >>> >>> Hamid wrote: >>>> Dear all, >>>> here my problem my be somone can help to solve this. >>>> >>>> I have tow timeseries from different stock market with different length >>>> (diff ca. 4000 ) >>>> Now I would to add the missing times of the one of this series with >>>> proper >>>> time (they are minute data) and set the value to 0 since I need to have >>>> the >>>> same length for my calculation. >>>> >>>> I tried to use the seq in R and merge but without success because of >>>> format >>>> of the date. >>>> My data of one vector i like to complete and extend to the length of >>>> the >>>> other vectors looks like: >>> Well, this seems to be very complete, hence no idea what you want to >>> add, please specify a reproducible example. >>> >>> Uwe Ligges >>> >>> >>> >>>> Date;open;hight;low;close;Volume >>>> 02.04.2008 09:00;6.749,24;6.755,55;6.746,89;6.754,11;0 >>>> 02.04.2008 09:01;6.754,70;6.754,70;6.748,13;6.749,55;0 >>>> 02.04.2008 09:02;6.749,36;6.757,00;6.745,50;6.749,38;0 >>>> 02.04.2008 09:03;6.748,08;6.753,84;6.748,08;6.753,84;0 >>>> 02.04.2008 09:04;6.753,79;6.755,59;6.752,18;6.752,41;0 >>>> 02.04.2008 09:05;6.753,23;6.753,23;6.748,17;6.748,47;0 >>>> 02.04.2008 09:06;6.749,43;6.750,62;6.748,22;6.748,26;0 >>>> 02.04.2008 09:07;6.748,26;6.748,89;6.745,54;6.745,54;0 >>>> 02.04.2008 09:08;6.745,49;6.746,58;6.744,82;6.745,58;0 >>>> 02.04.2008 09:09;6.745,62;6.745,98;6.741,47;6.741,55;0 >>>> 02.04.2008 09:10;6.741,58;6.741,73;6.737,21;6.739,85;0 >>>> 02.04.2008 09:11;6.739,10;6.742,81;6.738,24;6.742,53;0 >>>> 02.04.2008 09:12;6.742,32;6.742,80;6.740,42;6.741,81;0 >>>> 02.04.2008 09:13;6.741,84;6.744,78;6.741,84;6.744,60;0 >>>> 02.04.2008 09:14;6.744,60;6.744,60;6.740,54;6.740,54;0 >>>> 02.04.2008 09:15;6.740,45;6.740,67;6.736,32;6.737,68;0 >>>> 02.04.2008 09:16;6.737,72;6.740,68;6.737,45;6.740,11;0 >>>> 02.04.2008 09:17;6.740,04;6.746,34;6.740,04;6.746,34;0 >>>> 02.04.2008 09:18;6.746,21;6.750,64;6.746,21;6.749,99;0 >>>> 02.04.2008 09:19;6.750,61;6.752,95;6.749,07;6.750,69;0 >>>> 02.04.2008 09:20;6.750,82;6.751,01;6.748,20;6.750,74;0 >>>> 02.04.2008 09:21;6.750,57;6.752,98;6.748,62;6.752,98;0 >>>> 02.04.2008 09:22;6.752,74;6.756,24;6.752,74;6.753,84;0 >>>> 02.04.2008 09:23;6.753,90;6.755,51;6.752,70;6.753,05;0 >>>> >>>> Thanks in advance for any help! >>>> H. >>> ______________________________________________ >>> R-help at r-project.org mailing list >>> https://stat.ethz.ch/mailman/listinfo/r-help >>> PLEASE do read the posting guide >>> http://www.R-project.org/posting-guide.html >>> and provide commented, minimal, self-contained, reproducible code. >>> >>> >> > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > >-- View this message in context: http://n4.nabble.com/Need-help-to-complete-missing-value-Date-and-Time-in-Sp500-Data-tp962671p963123.html Sent from the R help mailing list archive at Nabble.com.