Return data subset time frames within another timeframes?

Question

There are very nifty ways of subsetting xts objects. For example, one can get all the data for all years, months, days but being strictly between 9:30 AM and 4

Answer 1

Be aware that there appears to be different behavior for xts subsetting of a yearmon date format for windows and ubuntu.

library(quantmod)
library(xts)

getSymbols("SPY", src="google", from = "2004-01-01")
x1 <- SPY['2006-01/2007-12']

x2 <- apply.monthly(x1,mean)
x2['2006-01/2007-12']

x3 <- as.xts(coredata(x2),order.by = as.yearmon(index(x2)))
x3['2006-01/2007-12']

The result for x2 is consistent between windows and ubuntu, since the format is full date. However, the x3 will produce different result for windows and ubuntu, after the conversion of the dates to yearmon.

Answer 2

time-of-day subsetting is a little bit hidden, so I understand why it would spark a question like this. The only other 'trick' I know is the last and first functions, which you can nest if you need to. e.g. this will get the last 2 days of the first 3 weeks.

last(first(my_xts, "3 weeks"), "2 days")

Answer 3

You can use the .index* family of functions to get certain months or certain days of the month. See ?index for the full list of functions. For example:

library(quantmod)
getSymbols("SPY")
SPY[.indexmon(SPY)==0]   # January for all years (note zero-based indexing!)
SPY[.indexmday(SPY)==1]  # The first of every month
SPY[.indexwday(SPY)==1]  # All Mondays