-1
$\begingroup$

The aim is to calculate minute returns in R. Given is minute price data in a tbl_df. A row was only added if there actually were trades.

  datetime              close
1 1998-01-02 08:31:00   0.484
2 1998-01-02 08:41:00   0.436
3 1998-01-02 08:44:00   0.436
4 1998-01-02 09:02:00   0.436
5 1998-01-02 09:15:00   0.440
6 1998-01-02 09:20:00   0.440
7 1998-01-02 09:26:00   0.437

Is there a preprogrammed function which automatically fills in a return of 0 for minutes without a trades? If not, which is the best way to do it?

$\endgroup$

closed as off-topic by David Addison, LocalVolatility, Helin, g g, amdopt Mar 8 '18 at 12:52

  • This question does not appear to be about quantitative finance within the scope defined in the help center.
If this question can be reworded to fit the rules in the help center, please edit the question.

  • 4
    $\begingroup$ I'm voting to close this question as off-topic because it as a programming question and belongs on Stack Overflow. $\endgroup$ – David Addison Feb 23 '18 at 23:30
3
$\begingroup$

Create a new price series that has a value for every minute, e.g. by carrying the last observation forward. Then compute returns from this new price series.

(There are simpler approaches for this particular case, but I'd prefer the one outlined above as it is conceptually clear.)

A sketch in R. (Disclosure: I am the maintainer of packages PMwR, from which I use function returns, and package datetimeutils, from which I use function timegrid.)

library("PMwR")   ## https://github.com/enricoschumann/PMwR
library("zoo")
library("datetimeutils")

## the example data
timestamp <- c("1998-01-02 08:31:00",
               "1998-01-02 08:41:00",
               "1998-01-02 08:44:00",
               "1998-01-02 09:02:00",
               "1998-01-02 09:15:00",
               "1998-01-02 09:20:00",
               "1998-01-02 09:26:00")   
timestamp <- as.POSIXct(timestamp)

p <- c(0.484, 0.436, 0.436, 0.436, 0.440, 0.440, 0.437)


## create a new series with NA when
## there is no price
start <- as.POSIXct("1998-01-02 08:30:00")
end   <- as.POSIXct("1998-01-02 09:30:00")

all_times <- timegrid(start, end, interval = "1 min")
all_p <- rep(NA, length(all_times))

i <- match(timestamp, all_times, nomatch = 0L)
all_p[i] <- p[i > 0]


## create a zoo series and replace
## missing values with the previous
## price
P <- zoo(all_p, all_times)
P <- na.locf(P)
returns(P)
$\endgroup$

Not the answer you're looking for? Browse other questions tagged or ask your own question.