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

Here's what I'd do:

library(xts)
data(sample_matrix)
sample.xts <- as.xts(sample_matrix, descr='my new xts object')
x <-  sample.xts['2007']  
x[!weekdays(index(x)) %in% c("Saturday", "Sunday")]

---

EDIT: Joshua Ulrich in comments points out a better solution using .indexwday(), one of a family of built-in accessor functions for extracting pieces of the index of xts class objects. Also, like Dirk Eddelbuettel's solution, the following should be locale-independent:

x[.indexwday(x) %in% 1:5]

Answer 2

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.