我有9x2数据帧DATS,其价格和POSIXct日期时间戳每15分钟进行一次采样。以及日期FOMCDATES和最近FOMC事件日期的列表。然后,我将POSIXct日期时间戳分为单独的日期和时间列。然后,当DATS中的日期包含在FOMCDATES和时间为14:30(编辑:FOMC是14:00,错误地使用14:30 - 示例仍然有效)时,我将FOMCBinary添加到包含1的DATS中。当动态名称的条件为true时记录变量值
我想在事件发生在一个单独的变量之前记录关闭。变量的名称应该基于事件的日期。在这种情况下,结果应该是:PreEvent-2016-01-27 = 1122.7。请考虑到这实际上会在一个有大量日期的大样本中运行,时间可能不是14:30(例如,如果查看NFP而不是FOMC)。
DATS <- structure(list(DateTime = structure(list(sec = c(0, 0, 0, 0,0, 0, 0, 0, 0), min = c(30L, 15L, 0L, 45L, 30L, 15L, 0L, 45L,30L), hour = c(15L, 15L, 15L, 14L, 14L, 14L, 14L, 13L, 13L),mday = c(27L, 27L, 27L, 27L, 27L, 27L, 27L, 27L, 27L), mon = c(0L,0L, 0L, 0L, 0L, 0L, 0L, 0L, 0L), year = c(116L, 116L, 116L,116L, 116L, 116L, 116L, 116L, 116L), wday = c(3L, 3L, 3L,3L, 3L, 3L, 3L, 3L, 3L), yday = c(26L, 26L, 26L, 26L, 26L,26L, 26L, 26L, 26L), isdst = c(0L, 0L, 0L, 0L, 0L, 0L, 0L,0L, 0L), zone = c("EST", "EST", "EST", "EST", "EST", "EST","EST", "EST", "EST"), gmtoff = c(NA_integer_, NA_integer_,NA_integer_, NA_integer_, NA_integer_, NA_integer_, NA_integer_,NA_integer_, NA_integer_)), .Names = c("sec", "min", "hour","mday", "mon", "year", "wday", "yday", "isdst", "zone", "gmtoff"), class = c("POSIXlt", "POSIXt")), Close = c(1127.2, 1127.5,1126.9, 1128.3, 1125.4, 1122.7, 1122.8, 1117.3, 1116)), .Names = c("DateTime","Close"), row.names = 2131:2139, class = "data.frame")
FOMCDATES <- structure(c(16785, 16827, 16876), class = "Date")
DATS$Time <- strftime(DATS$DateTime, format="%H:%M:%S")
DATS$Date <- as.Date(DATS$DateTime)
DATS$FOMCBinary <- ifelse( DATS$Time == "14:30:00" & DATS$Date %in% FOMCDATES, 1, 0)
#Output for FOMCDATES:
[1] 2015-12-16 2016-01-27 2016-03-16
#Output for DATS after calculations performed:
DateTime Close Time Date FOMCBinary
2131 2016-01-27 15:30:00 1127.2 15:30:00 2016-01-27 0
2132 2016-01-27 15:15:00 1127.5 15:15:00 2016-01-27 0
2133 2016-01-27 15:00:00 1126.9 15:00:00 2016-01-27 0
2134 2016-01-27 14:45:00 1128.3 14:45:00 2016-01-27 0
2135 2016-01-27 14:30:00 1125.4 14:30:00 2016-01-27 1
2136 2016-01-27 14:15:00 1122.7 14:15:00 2016-01-27 0
2137 2016-01-27 14:00:00 1122.8 14:00:00 2016-01-27 0
2138 2016-01-27 13:45:00 1117.3 13:45:00 2016-01-27 0
2139 2016-01-27 13:30:00 1116.0 13:30:00 2016-01-27 0
我的尝试结果是向量而不是单个值,而变量名称不是动态的。
#My failed attempt
#Define rowShift function
rowShift <- function(x, shiftLen = 1L) {
r <- (1L + shiftLen):(length(x) + shiftLen)
r[r<1] <- NA
return(x[r]) }
PreEventLevel <- ifelse(DATS$FOMCBinary > 0, rowShift(DATS$Close, +1), 0)
这怎么可能实现? 非常感谢!
什么rowShift? – digEmAll
我错过了发布的功能。感谢您的询问。将编辑! – Krug
Mmh不是很好的练习用动态名称生成变量......你不能简单地使用一个列表作为变量的容器吗? – digEmAll