index.xts: Get and Replace the Class of an xts Index

Description

Functions to get and replace an xts object's index values and it's components.

Usage

# S3 method for xts
index(x, ...)
# S3 method for xts
index(x) <- value
.index(x, ...)
.index(x) <- value
convertIndex(x, value)
# date/time component extraction
.indexsec(x)
.indexmin(x)
.indexhour(x)
.indexDate(x)
.indexday(x)
.indexwday(x)
.indexmday(x)
.indexweek(x)
.indexmon(x)
.indexyear(x)
.indexyday(x)
.indexisdst(x)

Arguments

x: an xts object
value: new index value
...: arguments passed to other methods

Author

Jeffrey A. Ryan

Details

Internally, an xts object's index is a numeric value corresponding to seconds since the epoch in the UTC timezone. The .index and .index<- functions get and replace the internal numeric value of the index, respectively. These functions are primarily for internal use, but are exported because they may be useful for users.

The index and index<- methods get and replace the xts object's index, respectively. The replacement method also updates the tclass and tzone of the index to match the class and timezone of the new index, respectively. The index method converts the index to the class specified by the tclass attribute and with the timezone specified by the tzone attribute before returning the index values to the user.

The .indexXXX functions extract time components (similar to POSIXlt components) from the internal time index:

.indexsec: 0 - 61: seconds of the minute (local time)
.indexmin: 0 - 59: minutes of the hour (local time)
.indexhour: 0 - 23: hours of the day (local time)
.indexDate: date as seconds since the epoch (UTC not local time
.indexday: date as seconds since the epoch (UTC not local time
.indexwday: 0 - 6: day of the week (Sunday - Saturday, local time)
.indexmday: 1 - 31: day of the month (local time)
.indexweek: weeks since the epoch (UTC not local time
.indexmon: 0 - 11: month of the year (local time)
.indexyear: years since 1900 (local time)
.indexyday: 0 - 365: day of the year (local time, 365 only in leap years)
.indexisdst: 1, 0, -1: Daylight Saving Time flag. Positive if Daylight Saving Time is in effect, zero if not, negative if unknown.

Changes in timezone, index class, and index format internal structure, by xts version:

Version 0.12.0:

The .indexTZ, .indexCLASS and .indexFORMAT attributes are no longer stored on xts objects, only on the index itself.

The indexTZ, indexClass, and indexFormat functions (and their respective replacement methods) are deprecated in favor of their respective tzone, tclass, and tformat versions. The previous versions will throw a warning that they're deprecated, but they will continue to work. There are no plans to remove them or have them throw an error. Ever.

The latter versions are careful to look for the old attributes on the xts object, in case they're ever called on an xts object that was created prior to the attributes being added to the index itself.

There are options to throw a warning if there is no tzone or tclass attribute on the index, even if there may be one on the xts object. This gives the user a way to know if an xts object should be updated to use the new structure.

You can enable the warnings via: options(xts.warn.index.missing.tzone = TRUE, xts.warn.index.missing.tclass = TRUE) You can identify xts objects with the old structure by printing them. Then you can update them to the new structure using x <- as.xts(x).

Version 0.9.8:

The index timezone is now set to "UTC" for time classes that do not have any intra-day component (e.g. days, months, quarters). Previously the timezone was blank, which meant "local time" as determined by R and the OS.

Version 0.9.2:

There are new get/set methods for the timezone, index class, and index format attributes: tzone and, tzone<-, tclass and tclass<-, and tformat and tformat<-.

These new functions are aliases to their indexTZ, indexClass, and indexFormat counterparts.

Version 0.7.5:

The timezone, index class, and index format were added as attributes to the index itself, as tzone, tclass, and tformat, respectively. This is in order to remove those three attributes from the xts object, so they're only on the index itself.

The indexTZ, indexClass, and indexFormat functions (and their respective replacement methods) will continue to work as in prior xts versions. The attributes on the index take priority over their respective counterparts that may be on the xts object.

Versions 0.6.4 and prior:

Objects track their timezone and index class in their .indexTZ and .indexCLASS attributes, respectively.

Examples

Run this code

x <- timeBasedSeq('2010-01-01/2010-01-01 12:00/H')
x <- xts(seq_along(x), x)

# the index values, converted to 'tclass' (POSIXct in this case)
index(x)
class(index(x))  # POSIXct
tclass(x)        # POSIXct

# the internal numeric index
.index(x)
# add 1 hour (3600 seconds) to the numeric index
.index(x) <- index(x) + 3600
index(x)

y <- timeBasedSeq('2010-01-01/2010-01-02 12:00')
y <- xts(seq_along(y), y)

# Select all observations in the first 6 and last 3 minutes of the
# 8th and 15th hours on each day
y[.indexhour(y) %in% c(8, 15) & .indexmin(y) %in% c(0:5, 57:59)]

i <- 0:60000
focal_date <- as.numeric(as.POSIXct("2018-02-01", tz = "UTC"))
y <- .xts(i, c(focal_date + i * 15), tz = "UTC", dimnames = list(NULL, "value"))

# Select all observations for the first minute of each hour
y[.indexmin(y) == 0]

# Select all observations on Monday
mon <- y[.indexwday(y) == 1]
head(mon)
tail(mon)
unique(weekdays(index(mon))) # check

# Disjoint time of day selections

# Select all observations between 08:30 and 08:59:59.9999  or between 12:00 and 12:14:59.99999:
y[.indexhour(y) == 8 & .indexmin(y) >= 30 | .indexhour(y) == 12 & .indexmin(x) %in% 0:14]

### Compound selections

# Select all observations for Wednesdays or Fridays between 9am and 4pm (exclusive of 4pm):
y[.indexwday(y) %in% c(3, 5) & (.indexhour(y) %in%  c(9:15))]

# Select all observations on Monday between 8:59:45 and 09:04:30:

y[.indexwday(y) == 1 & (.indexhour(y) == 8 & .indexmin(y) == 59 & .indexsec(y) >= 45 |
                        .indexhour(y) == 9 &
                        (.indexmin(y) <  4 | .indexmin(y) ==  4 & .indexsec(y) <= 30))]

i <- 0:30000
u <- .xts(i, c(focal_date + i * 1800), tz = "UTC", dimnames = list(NULL, "value"))

# Select all observations for January or February:
u[.indexmon(u) %in% c(0, 1)]

# Select all data for the 28th to 31st of each month, excluding any Fridays:
u[.indexmday(u) %in% 28:31 & .indexwday(u) != 5]

# Subset by week since origin
unique(.indexweek(u))
origin <- xts(1, as.POSIXct("1970-01-01"))
unique(.indexweek(origin))

# Select all observations in weeks 2515 to 2517.
u2 <- u[.indexweek(u) %in% 2515:2517]
head(u2); tail(u2)

# Select all observations after 12pm for day 50 and 51 in each year
u[.indexyday(u) %in% 50:51 & .indexhour(u) >= 12]