How to logical compare two data frames in R
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library(data.table)
library(QuantTools)
date_from <- '2018-11-01'
date_to <- '2018-11-30'
ticker <- 'SPFB.RTS'
# get days
dataDaily <- get_finam_data(ticker, date_from, date_to, 'day')
# get hours
dataHourly <- get_finam_data(ticker, date_from, date_to, 'hour')
# percent change of the day
dataDaily$pc <- ((dataDaily$close - dataDaily$open)/dataDaily$open)*100
# mark days with > 2 percent change
dataDaily$isBigCh <- dataDaily$pc[dataDaily$pc > 2]
So, I have a code above which downloads a daily/hourly OHLC data of the futures.
Questions:
1) How can I move the marks from dataDaily$isBigCh to dataHourly? It seems not easy because these data frames have different time formats and different lengths of rows.
dataHourly$time # has a format like this 2018-11-09 23:00:00
dataDaily$date # has a format like this 2018-11-09
2) How can I select the first bar of the day in dataHourly$time?
r data.table
edited Nov 14 at 20:46
Alp Arıbal
324
asked Nov 9 at 19:50
Marsel
32
add a comment |
up vote
0
down vote
favorite
library(data.table)
library(QuantTools)
date_from <- '2018-11-01'
date_to <- '2018-11-30'
ticker <- 'SPFB.RTS'
# get days
dataDaily <- get_finam_data(ticker, date_from, date_to, 'day')
# get hours
dataHourly <- get_finam_data(ticker, date_from, date_to, 'hour')
# percent change of the day
dataDaily$pc <- ((dataDaily$close - dataDaily$open)/dataDaily$open)*100
# mark days with > 2 percent change
dataDaily$isBigCh <- dataDaily$pc[dataDaily$pc > 2]
So, I have a code above which downloads a daily/hourly OHLC data of the futures.
Questions:
1) How can I move the marks from dataDaily$isBigCh to dataHourly? It seems not easy because these data frames have different time formats and different lengths of rows.
dataHourly$time # has a format like this 2018-11-09 23:00:00
dataDaily$date # has a format like this 2018-11-09
2) How can I select the first bar of the day in dataHourly$time?
r data.table
edited Nov 14 at 20:46
Alp Arıbal
324
asked Nov 9 at 19:50
Marsel
32
I guess something likedataHourly$date <- as.Date(dataHourly$time)
– Frank
Nov 10 at 10:20
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
library(data.table)
library(QuantTools)
date_from <- '2018-11-01'
date_to <- '2018-11-30'
ticker <- 'SPFB.RTS'
# get days
dataDaily <- get_finam_data(ticker, date_from, date_to, 'day')
# get hours
dataHourly <- get_finam_data(ticker, date_from, date_to, 'hour')
# percent change of the day
dataDaily$pc <- ((dataDaily$close - dataDaily$open)/dataDaily$open)*100
# mark days with > 2 percent change
dataDaily$isBigCh <- dataDaily$pc[dataDaily$pc > 2]
So, I have a code above which downloads a daily/hourly OHLC data of the futures.
Questions:
1) How can I move the marks from dataDaily$isBigCh to dataHourly? It seems not easy because these data frames have different time formats and different lengths of rows.
dataHourly$time # has a format like this 2018-11-09 23:00:00
dataDaily$date # has a format like this 2018-11-09
2) How can I select the first bar of the day in dataHourly$time?
r data.table
edited Nov 14 at 20:46
Alp Arıbal
324
asked Nov 9 at 19:50
Marsel
32
library(data.table)
library(QuantTools)
date_from <- '2018-11-01'
date_to <- '2018-11-30'
ticker <- 'SPFB.RTS'
# get days
dataDaily <- get_finam_data(ticker, date_from, date_to, 'day')
# get hours
dataHourly <- get_finam_data(ticker, date_from, date_to, 'hour')
# percent change of the day
dataDaily$pc <- ((dataDaily$close - dataDaily$open)/dataDaily$open)*100
# mark days with > 2 percent change
dataDaily$isBigCh <- dataDaily$pc[dataDaily$pc > 2]
So, I have a code above which downloads a daily/hourly OHLC data of the futures.
Questions:
1) How can I move the marks from dataDaily$isBigCh to dataHourly? It seems not easy because these data frames have different time formats and different lengths of rows.
dataHourly$time # has a format like this 2018-11-09 23:00:00
dataDaily$date # has a format like this 2018-11-09
2) How can I select the first bar of the day in dataHourly$time?
r data.table
r data.table
edited Nov 14 at 20:46
Alp Arıbal
324
asked Nov 9 at 19:50
Marsel
32
edited Nov 14 at 20:46
Alp Arıbal
324
asked Nov 9 at 19:50
Marsel
32
edited Nov 14 at 20:46
Alp Arıbal
324
edited Nov 14 at 20:46
Alp Arıbal
324
edited Nov 14 at 20:46
Alp Arıbal
324
324
asked Nov 9 at 19:50
Marsel
32
asked Nov 9 at 19:50
Marsel
32
asked Nov 9 at 19:50
Marsel
32
32
I guess something likedataHourly$date <- as.Date(dataHourly$time)
– Frank
Nov 10 at 10:20
add a comment |
I guess something likedataHourly$date <- as.Date(dataHourly$time)
– Frank
Nov 10 at 10:20
I guess something like
dataHourly$date <- as.Date(dataHourly$time)– Frank
Nov 10 at 10:20
I guess something like
dataHourly$date <- as.Date(dataHourly$time)– Frank
Nov 10 at 10:20
add a comment |
1 Answer
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up vote
0
down vote
accepted
Slightly modified code for readability
# percent change of the day
dataDaily[, price_change := ( close / open - 1 ) * 100 ]
# mark days with > 2 percent change
dataDaily[, isBigCh := price_change > 2 ]
Question 1
# add date column to hourly data
# note that 00:00 time corresponds to 23:00-00:00 candle
dataHourly[, date := as.Date( time - as.difftime( '01:00:00' ) ) ]
# copy dataDaily isBigCh to dataHourly isBigChDaily
dataHourly[ dataDaily, isBigChDaily := isBigCh, on = 'date' ]
Question 2
# select first bar of the day
dataHourly[, .SD[1], by = date ]
Optionally
# remove date column from hourly data
dataHourly[, date := NULL ]
Note
library(data.table)not necessary asQuantToolsloads it automaticallyplease read
data.tablemanual it will save you lots of time trying to figure out simple manipulations similar to what you asked
answered Nov 19 at 10:11
sokovalevsky
16
add a comment |
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1 Answer
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active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
up vote
0
down vote
accepted
Slightly modified code for readability
# percent change of the day
dataDaily[, price_change := ( close / open - 1 ) * 100 ]
# mark days with > 2 percent change
dataDaily[, isBigCh := price_change > 2 ]
Question 1
# add date column to hourly data
# note that 00:00 time corresponds to 23:00-00:00 candle
dataHourly[, date := as.Date( time - as.difftime( '01:00:00' ) ) ]
# copy dataDaily isBigCh to dataHourly isBigChDaily
dataHourly[ dataDaily, isBigChDaily := isBigCh, on = 'date' ]
Question 2
# select first bar of the day
dataHourly[, .SD[1], by = date ]
Optionally
# remove date column from hourly data
dataHourly[, date := NULL ]
Note
library(data.table)not necessary asQuantToolsloads it automaticallyplease read
data.tablemanual it will save you lots of time trying to figure out simple manipulations similar to what you asked
answered Nov 19 at 10:11
sokovalevsky
16
add a comment |
up vote
0
down vote
accepted
Slightly modified code for readability
# percent change of the day
dataDaily[, price_change := ( close / open - 1 ) * 100 ]
# mark days with > 2 percent change
dataDaily[, isBigCh := price_change > 2 ]
Question 1
# add date column to hourly data
# note that 00:00 time corresponds to 23:00-00:00 candle
dataHourly[, date := as.Date( time - as.difftime( '01:00:00' ) ) ]
# copy dataDaily isBigCh to dataHourly isBigChDaily
dataHourly[ dataDaily, isBigChDaily := isBigCh, on = 'date' ]
Question 2
# select first bar of the day
dataHourly[, .SD[1], by = date ]
Optionally
# remove date column from hourly data
dataHourly[, date := NULL ]
Note
library(data.table)not necessary asQuantToolsloads it automaticallyplease read
data.tablemanual it will save you lots of time trying to figure out simple manipulations similar to what you asked
answered Nov 19 at 10:11
sokovalevsky
16
add a comment |
up vote
0
down vote
accepted
up vote
0
down vote
accepted
Slightly modified code for readability
# percent change of the day
dataDaily[, price_change := ( close / open - 1 ) * 100 ]
# mark days with > 2 percent change
dataDaily[, isBigCh := price_change > 2 ]
Question 1
# add date column to hourly data
# note that 00:00 time corresponds to 23:00-00:00 candle
dataHourly[, date := as.Date( time - as.difftime( '01:00:00' ) ) ]
# copy dataDaily isBigCh to dataHourly isBigChDaily
dataHourly[ dataDaily, isBigChDaily := isBigCh, on = 'date' ]
Question 2
# select first bar of the day
dataHourly[, .SD[1], by = date ]
Optionally
# remove date column from hourly data
dataHourly[, date := NULL ]
Note
library(data.table)not necessary asQuantToolsloads it automaticallyplease read
data.tablemanual it will save you lots of time trying to figure out simple manipulations similar to what you asked
answered Nov 19 at 10:11
sokovalevsky
16
Slightly modified code for readability
# percent change of the day
dataDaily[, price_change := ( close / open - 1 ) * 100 ]
# mark days with > 2 percent change
dataDaily[, isBigCh := price_change > 2 ]
Question 1
# add date column to hourly data
# note that 00:00 time corresponds to 23:00-00:00 candle
dataHourly[, date := as.Date( time - as.difftime( '01:00:00' ) ) ]
# copy dataDaily isBigCh to dataHourly isBigChDaily
dataHourly[ dataDaily, isBigChDaily := isBigCh, on = 'date' ]
Question 2
# select first bar of the day
dataHourly[, .SD[1], by = date ]
Optionally
# remove date column from hourly data
dataHourly[, date := NULL ]
Note
library(data.table)not necessary asQuantToolsloads it automaticallyplease read
data.tablemanual it will save you lots of time trying to figure out simple manipulations similar to what you asked
answered Nov 19 at 10:11
sokovalevsky
16
answered Nov 19 at 10:11
sokovalevsky
16
answered Nov 19 at 10:11
sokovalevsky
16
answered Nov 19 at 10:11
sokovalevsky
16
16
add a comment |
add a comment |
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I guess something like
dataHourly$date <- as.Date(dataHourly$time)– Frank
Nov 10 at 10:20