R Subset XTS weekdays

Question

How do I subset an xts object to only include weekdays (Mon-Fri, with Saturday and Sunday excluded)?

Answer 1

By computing the day-of-the week given the date, and subsetting. In the example, I use a Date type but the cast to POSIXlt works the same way for POSIXct intra-day timestamps.

> mydates <- Sys.Date() + 0:6
> mydates
[1] "2012-01-31" "2012-02-01" "2012-02-02" "2012-02-03" "2012-02-04" 
+   "2012-02-05" "2012-02-06"
> we <- sapply(mydates, function(d) { as.POSIXlt(d)$wday}) %in% c(0, 6)
> we
[1] FALSE FALSE FALSE FALSE  TRUE  TRUE FALSE
> mydates[ ! we ]
[1] "2012-01-31" "2012-02-01" "2012-02-02" "2012-02-03" "2012-02-06"
> 

This really is not an xts question but basic date handling.