xts对象-添加缺少的日期

Question

我正在使用来自雅虎财经的标准普尔500股票价格数据(通过getSymbols函数下载数据)。

在周末，股票价格不会变化，因此不包括日期。

我想添加所有缺少的日期(周末)，并将NA作为其余列中的值。以2008-01-11和2008-01-14为例enter image description here

谢谢

Answer 1

如果您不介意使用软件包，那么package timetk可以提供帮助。有关更多信息，请参阅包中的小插图。

library(quantmod)
library(magrittr) # for the pipe %>% function
library(timetk) 

out <- getSymbols("^GSPC", auto.assign = F) # get the data
out_padded <- out %>%  
  tk_tbl() %>%            # transform into tibble
  pad_by_time() %>%       # add the missing records
  tk_xts()                # transform back into xts format.

# ignore warnings

head(out_padded)
           GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2007-01-03   1418.03   1429.42  1407.86    1416.60  3429160000       1416.60
2007-01-04   1416.60   1421.84  1408.43    1418.34  3004460000       1418.34
2007-01-05   1418.34   1418.34  1405.75    1409.71  2919400000       1409.71
2007-01-06        NA        NA       NA         NA          NA            NA
2007-01-07        NA        NA       NA         NA          NA            NA
2007-01-08   1409.26   1414.98  1403.97    1412.84  2763340000       1412.84

当然，使用tidyquant和tidyr也可以做到这一点。

library(tidyquant)

out_tq <- tq_get("^GSPC")
out_tq_padded <- pad_by_time(out_tq) %>% 
  tidyr::fill(symbol) # using fill from tidyr to fill the NA's in the symbol column.

out_tq_padded
# A tibble: 3,763 x 8
   symbol date        open  high   low close     volume adjusted
   <chr>  <date>     <dbl> <dbl> <dbl> <dbl>      <dbl>    <dbl>
 1 ^GSPC  2010-01-04 1117. 1134. 1117. 1133. 3991400000    1133.
 2 ^GSPC  2010-01-05 1133. 1137. 1130. 1137. 2491020000    1137.
 3 ^GSPC  2010-01-06 1136. 1139. 1134. 1137. 4972660000    1137.
 4 ^GSPC  2010-01-07 1136. 1142. 1131. 1142. 5270680000    1142.
 5 ^GSPC  2010-01-08 1141. 1145. 1136. 1145. 4389590000    1145.
 6 ^GSPC  2010-01-09   NA    NA    NA    NA          NA      NA 
 7 ^GSPC  2010-01-10   NA    NA    NA    NA          NA      NA 
 8 ^GSPC  2010-01-11 1146. 1150. 1142. 1147. 4255780000    1147.
 9 ^GSPC  2010-01-12 1144. 1144. 1132. 1136. 4716160000    1136.
10 ^GSPC  2010-01-13 1137. 1148. 1133. 1146. 4170360000    1146.
# ... with 3,753 more rows