[tech-spec] Re: BBchart

  • From: Dirk Eddelbuettel <edd@xxxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Tue, 26 Oct 2004 20:22:55 -0500

On Tue, Oct 26, 2004 at 09:09:54PM -0400, Tom McCubbin wrote:
> Dirk Eddelbuettel wrote:
> the posix time_t and struct tm's are fine for dates/timestamps, but not for 
> calendaring ...more below.

Yes, calendaring needs additional information.

> >There is quite a bit of calendaring code in fBasics, the first of our

[ BTW: I meant to write "four", not "our" there ]

> >modules from www.Rmetrics.org (and also on CRAN). Maybe you could review
> >that functionality, see what is missing and contribute to it?  Just a
> >suggestions to avoid yet another reinvented wheel ...
> > 
> >
> i snatched it(fBasics) and reviewed/tested and don't see the needed 
> functionality...and the wheel is already invented in my case, and 
> deployed round the globe at client cites.  Just figure'd on sharing it 
> if needed/wanted...

Sounds good. Maybe you should get in contact with Diethelm to see if it
could be added to Rmetrics?

> Like me, you read too damn fast :)  The question was not for the weekly 

Indeed :)  

> moving avg, but the moving average of weekly volume.  So, for weekly 
> time-series(ending on fridays) i want to see the moving average of the 
> aggregate weekly volumes.  What you indicate above seems to give me the 
> moving average of the values on one day of each week?  Am i wrong...

That is definitely doable. You start from dates, even as strings, convert to
POSIXt and from there format into the subpieces you'd need -- say
weeknumber.  R is excellent when aggregating over such factor variables.

I think Steve just gave an example of that for the per-month vol level

> Note: volume is sum'd, close is the last observation w/in the new 
> interval, the high the highest point w/in the new interval, low the 
> lowest, etc...so for a time-series meta-data can be associated that 
> handles the intricacies of time-scaling.  understand?

Yes, I guess we all wrote little time aggregators like that.

> My direct ? is if it is easy to do in R, i'll leave the wheel alone (not 
> my own wheel of course, cause i  don't like what i've seen).  If not, 
> this kind of functionality exists, and are (imho) the foundations of 
> time-series / time-scaling analysis. 
> Dirk, maybe we should take it offline as i don't want to get kicked off 
> the list for too much tech-crap.   i'd be interested if you would like 

Well, you, and of course all other R heads, would be more than welcome on
the r-sig-finance list we started earlier this year. Go to
https://stat.ethz.ch/mailman/listinfo/r-sig-finance for subscription,
archives, etc pp.

> to install some of my tar-balls to test for yourself?  they are standard:
> ./configure
> make
> make check
> make install
> and then i could give you a simple R wrapper to give it a go?

I'd love too. However, I am currently seriously overcommitted in terms of
Open Source projects and ideas, and need to work on getting a new Quantian
release out of the door.  But we could always chat off-line. Lemme know.

Regards, Dirk

If your hair is standing up, then you are in extreme danger.
      -- http://www.usafa.af.mil/dfp/cockpit-phys/fp1ex3.htm

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