R help - Mar 2012 - Store vectors as values in xts time-series object

Hi R programmers,

I have stumbled across what seems a very simple problem. My goal is to
create a xts time series object which contains vectors as values. In
other words, I try to create something like this:

2009-01-01 => c('aa', 'bb', 'dd')
...
2010-02-01 => c('mm')

I have figured out parts of separately. Here's what works (new xts
time-series with simple FALSE values):
> getSymbols(src='yahoo', Symbols=c('SPY'))           # this
loads xts object into global environment under name SPY
> v <- vector(length=length(index(SPY)))                   # this creates
a vector of the same length as the SPY time-series
> new_xts <- xts(v, order.by=index(SPY))                 # this works and
creates a time-series with FALSE as every value
> new_xts
2009-01-01 FALSE
...
2010-02-01 FALSE

Now, I'd like to create a xts object with vectors as values.
Presumably, I want lists to be used as values:
> myList <- vector("list", length=length(index(SPY)))  # this
creates a list of the same length as the SPY time-series
> for (i in 1:length(myList)) myList[[i]] <- c('aa', 'bb')
# fill list with dummy test data
> new_xts_2 <- xts(myList, order.by=index(SPY))      # and I get an error
Error in coredata.xts(x) : currently unsupported data type

What am I doing wrong and how can this be implemented?

Truly appreciate your effort.

--
Kind Regards,
Sergey Pisarenko.

Hi Sergey,

Internally, xts objects are a matrix with an index attribute.  While
you *can* make a matrix of lists, that is not supported in zoo or xts.

Best,
--
Joshua Ulrich ?| ?FOSS Trading: www.fosstrading.com

R/Finance 2012: Applied Finance with R
www.RinFinance.com



On Sun, Mar 4, 2012 at 4:23 AM, Sergey Pisarenko <drseergio at gmail.com>
wrote:
> Hi R programmers,
>
> I have stumbled across what seems a very simple problem. My goal is to
> create a xts time series object which contains vectors as values. In
> other words, I try to create somethingSergey like this:
>
> 2009-01-01 => c('aa', 'bb', 'dd')
> ...
> 2010-02-01 => c('mm')
>
> I have figured out parts of separately. Here's what works (new xts
> time-series with simple FALSE values):
>
>> getSymbols(src='yahoo', Symbols=c('SPY')) ? ? ? ? ? #
this loads xts object into global environment under name SPY
>> v <- vector(length=length(index(SPY))) ? ? ? ? ? ? ? ? ? # this
creates a vector of the same length as the SPY time-series
>> new_xts <- xts(v, order.by=index(SPY)) ? ? ? ? ? ? ? ? # this works
and creates a time-series with FALSE as every value
>> new_xts
> 2009-01-01 FALSE
> ...
> 2010-02-01 FALSE
>
> Now, I'd like to create a xts object with vectors as values.
> Presumably, I want lists to be used as values:
>
>> myList <- vector("list", length=length(index(SPY))) ?#
this creates a list of the same length as the SPY time-series
>> for (i in 1:length(myList)) myList[[i]] <- c('aa',
'bb') ? ?# fill list with dummy test data
>> new_xts_2 <- xts(myList, order.by=index(SPY)) ? ? ?# and I get an
error
> Error in coredata.xts(x) : currently unsupported data type
>
> What am I doing wrong and how can this be implemented?
>
> Truly appreciate your effort.
>
> --
> Kind Regards,
> Sergey Pisarenko.
>
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