xts

Extensible time series class that provides uniform handling of many R time series classes by extending zoo.

Science Score: 36.0%

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2 of 28 committers (7.1%) from academic institutions
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Low similarity (15.3%) to scientific vocabulary

Keywords

c r time-series

Keywords from Contributors

rcpp algorithmic-trading technical-analysis devtools rmarkdown quantitative-finance hash-digest xlsx literate-programming pandoc

Last synced: 6 months ago · JSON representation

Repository

Extensible time series class that provides uniform handling of many R time series classes by extending zoo.

Basic Info

Host: GitHub
Owner: joshuaulrich
License: gpl-2.0
Language: R
Default Branch: main
Homepage: http://joshuaulrich.github.io/xts/
Size: 10.1 MB

Statistics

Stars: 220
Watchers: 21
Forks: 70
Open Issues: 67
Releases: 10

Topics

c r time-series

Created almost 11 years ago · Last pushed 7 months ago

Metadata Files

Readme Changelog Funding License

About

xts is an R package that provides an extension of the zoo class. zoo's strength comes from its simplicity of use (it's very similar to base R functions), and its overall flexibility (you can use anything as an index). The xts extension was motivated by the ability to improve performance by imposing reasonable constraints, while providing a truly time-based structure.

xts for enterprise

Available as part of the Tidelift Subscription.

The maintainers of xts and thousands of other packages are working with Tidelift to deliver commercial support and maintenance for the open source dependencies you use to build your applications. Save time, reduce risk, and improve code health, while paying the maintainers of the exact dependencies you use. Learn more.

Supporting xts development

If you are interested in supporting the ongoing development and maintenance of xts, please consider becoming a sponsor.

Installation

The current release is available on CRAN, which you can install via:

r install.packages("xts")

To install the development version, you need to clone the repository and build from source, or run one of:

```r

lightweight

remotes::install_github("joshuaulrich/xts")

or

devtools::install_github("joshuaulrich/xts") ```

You will need tools to compile C, C++, and Fortran code. See the relevant appendix in the R Installation and Administration manual for your operating system:

Windows
MacOS (the R for Mac OS X Developer's Page might also be helpful)
Unix-alike

Getting Started

You can create xts objects using xts() and as.xts().

Note that as.xts() currently expects the date/times to be in the row names for matrix and data.frame objects, or in the names for vector. You can also use the dateFormat argument to control whether the names should be converted to Date or POSIXct. See help(as.xts.methods) for details.

```r n <- 10 series <- rnorm(n)

POSIXct (date/time) index

datetimes <- seq(as.POSIXct("2017-03-27"), length.out = n, by = "days") library(xts) x <- xts(series, datetimes) ```

In addition to the usual ways you can subset matrix and zoo objects, you can also subset xts objects using character strings that adhere to the ISO-8601 standard, which is the internationally recognized and accepted way to represent dates and times. Using the data from the prior code block, here are some examples:

```r

March, 2017

x["2017-03"]

[,1]

2017-03-27 0.25155453

2017-03-28 -0.09379529

2017-03-29 0.44600926

2017-03-30 0.18095782

2017-03-31 -1.45539421

March 30th through April 2nd

x["2017-03-30/2017-04-02"]

[,1]

2017-03-30 0.1809578

2017-03-31 -1.4553942

2017-04-01 -0.4012951

2017-04-02 -0.5331497

Beginning of the series to April 1st

x["/2017-04-01"]

[,1]

2017-03-27 0.25155453

2017-03-28 -0.09379529

2017-03-29 0.44600926

2017-03-30 0.18095782

2017-03-31 -1.45539421

2017-04-01 -0.40129513

```

You can aggregate a univariate series, or open-high-low-close (OHLC) data, into a lower frequency OHLC series with the to.period() function. There are also convenience functions for some frequencies (e.g. to.minutes(), to.daily(), to.yearly(), etc).

```r data(samplematrix) x <- as.xts(samplematrix) to.period(x, "months")

x.Open x.High x.Low x.Close

2007-01-31 50.03978 50.77336 49.76308 50.22578

2007-02-28 50.22448 51.32342 50.19101 50.77091

2007-03-31 50.81620 50.81620 48.23648 48.97490

2007-04-30 48.94407 50.33781 48.80962 49.33974

2007-05-31 49.34572 49.69097 47.51796 47.73780

2007-06-30 47.74432 47.94127 47.09144 47.76719

to.monthly(x) # result has a 'yearmon' index

x.Open x.High x.Low x.Close

Jan 2007 50.03978 50.77336 49.76308 50.22578

Feb 2007 50.22448 51.32342 50.19101 50.77091

Mar 2007 50.81620 50.81620 48.23648 48.97490

Apr 2007 48.94407 50.33781 48.80962 49.33974

May 2007 49.34572 49.69097 47.51796 47.73780

Jun 2007 47.74432 47.94127 47.09144 47.76719

```

The period.apply() function allows you apply a custom function to non- overlapping intervals. You specify the intervals using a vector similar to the output of endpoints(). Like to.period() there are convenience functions, like apply.daily(), apply.quarterly(), etc.

```r

Average monthly value for each column

period.apply(x, endpoints(x, "months"), colMeans)

Open High Low Close

2007-01-31 50.21140 50.31528 50.12072 50.22791

2007-02-28 50.78427 50.88091 50.69639 50.79533

2007-03-31 49.53185 49.61232 49.40435 49.48246

2007-04-30 49.62687 49.71287 49.53189 49.62978

2007-05-31 48.31942 48.41694 48.18960 48.26699

2007-06-30 47.47717 47.57592 47.38255 47.46899

Open High Low Close

2007-01-31 50.21140 50.31528 50.12072 50.22791

2007-02-28 50.78427 50.88091 50.69639 50.79533

2007-03-31 49.53185 49.61232 49.40435 49.48246

2007-04-30 49.62687 49.71287 49.53189 49.62978

2007-05-31 48.31942 48.41694 48.18960 48.26699

2007-06-30 47.47717 47.57592 47.38255 47.46899

```

Have a question?

Ask your question on Stack Overflow or the R-SIG-Finance mailing list (you must subscribe to post).

Want hands-on experience?

Contributing

Please see the Contributing Guide.

Author

Jeffrey Ryan, Joshua Ulrich

Owner

Name: Joshua Ulrich
Login: joshuaulrich
Kind: user
Location: Saint Louis, Missouri, USA

Website: http://about.me/joshuaulrich
Repositories: 70
Profile: https://github.com/joshuaulrich

GitHub Events

Total

Issues event: 9
Watch event: 4
Issue comment event: 25
Push event: 6
Pull request review event: 2
Pull request review comment event: 2
Pull request event: 7
Fork event: 2
Create event: 3

Last Year

Issues event: 9
Watch event: 4
Issue comment event: 25
Push event: 6
Pull request review event: 2
Pull request review comment event: 2
Pull request event: 7
Fork event: 2
Create event: 3

Committers

Last synced: 8 months ago

All Time

Total Commits: 1,383
Total Committers: 28
Avg Commits per committer: 49.393
Development Distribution Score (DDS): 0.506

Past Year

Commits: 13
Committers: 3
Avg Commits per committer: 4.333
Development Distribution Score (DDS): 0.231

Top Committers

Name	Email	Commits
Joshua Ulrich	j**h@g**m	683
Jeffrey A. Ryan	j**n@g**m	594
Dirk Eddelbuettel	e**d@d**g	25
Ross Bennett	r**4@u**u	23
Ross Bennett	r**4@g**m	14
corwinjoy	c**y@g**m	12
Tom Andrews	t**a@w**m	7
Ethan Smith	2****h	3
cjm	c**l@g**m	2
olivroy	5****y	2
pverspeelt	p**4@g**m	1
harvey131	2****1	1
Corwin Joy	c**y@o**m	1
Jasper Schelfhout	j**t@o**u	1
Michael Beigelmacher	m**r@g**m	1
Stefan Theussl	s**l@w**t	1
evelynmitchell	e**b@l**m	1
cloudcell	e**f@o**m	1
bollard	r**d@g**m	1
Pierre Lamarche	l**p@g**m	1
Panagiotis Cheilaris	p**s@c**r	1
Michael Chirico	m**4@g**m	1
Jasen Mackie	j**3@g**m	1
HughParsonage	h**e@g**m	1
Henri Yandell	h**l@a**m	1
Anders Ellern Bilgrau	a**u@g**m	1
Brian G. Peterson	b**n@b**m	1
CGiachalis	2****s	1

Committer Domains (Top 20 + Academic)

braverock.com: 1 amazon.com: 1 cs.ntua.gr: 1 opayq.com: 1 linsomniac.com: 1 wu.ac.at: 1 openanalytics.eu: 1 optalysys.com: 1 waniasset.com: 1 uw.edu: 1 debian.org: 1

Issues and Pull Requests

Last synced: 6 months ago

All Time

Total issues: 123
Total pull requests: 15
Average time to close issues: about 2 years
Average time to close pull requests: 4 months
Total issue authors: 54
Total pull request authors: 10
Average comments per issue: 3.04
Average comments per pull request: 3.07
Merged pull requests: 10
Bot issues: 0
Bot pull requests: 0

Past Year

Issues: 6
Pull requests: 5
Average time to close issues: 1 day
Average time to close pull requests: 2 days
Issue authors: 6
Pull request authors: 2
Average comments per issue: 1.67
Average comments per pull request: 1.8
Merged pull requests: 2
Bot issues: 0
Bot pull requests: 0

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Top Authors

Issue Authors

joshuaulrich (50)
ethanbsmith (11)
ggrothendieck (4)
harvey131 (2)
ckatsulis (2)
AndreMikulec (2)
minimenchmuncher (2)
cgiachalis (2)
rossb34 (2)
linc0380 (2)
cactus74 (1)
bollard (1)
interzonez (1)
vspinu (1)
avrenli2 (1)

Pull Request Authors

ethanbsmith (6)
MichaelChirico (4)
cgiachalis (2)
olivroy (2)
bollard (1)
pierre-lamarche (1)
hasandiwan (1)
ReesaJohn (1)
harvey131 (1)
JasperSch (1)

Top Labels

Issue Labels

bug (39) plot (18) enhancement (14) feature request (13) question (9) duplicate (7) help wanted (1)

Pull Request Labels

bug (1)

Packages

Total packages: 3
Total downloads:
- cran 284,574 last-month
Total docker downloads: 34,779,309

Total dependent packages: 245
(may contain duplicates)
Total dependent repositories: 1,273
(may contain duplicates)
Total versions: 59
Total maintainers: 1

cran.r-project.org: xts

eXtensible Time Series

Homepage: https://joshuaulrich.github.io/xts/
Documentation: http://cran.r-project.org/web/packages/xts/xts.pdf
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
Latest release: 0.14.1
published over 1 year ago

Versions: 44
Dependent Packages: 224
Dependent Repositories: 1,249
Downloads: 284,574 Last month
Docker Downloads: 34,779,309

Rankings

Dependent repos count: 0.4%

Dependent packages count: 0.5%

Downloads: 0.6%

Forks count: 1.0%

Stargazers count: 2.0%

Average: 3.6%

Docker downloads count: 17.3%

Maintainers (1)

josh.m.ulrich@gmail.com

Last synced: 6 months ago

proxy.golang.org: github.com/joshuaulrich/xts

Documentation: https://pkg.go.dev/github.com/joshuaulrich/xts#section-documentation
License: gpl-2.0
Latest release: v0.14.1
published over 1 year ago

Versions: 7
Dependent Packages: 0
Dependent Repositories: 0

Rankings

Dependent packages count: 5.5%

Average: 5.6%

Dependent repos count: 5.8%

Last synced: 6 months ago

conda-forge.org: r-xts

Homepage: https://github.com/joshuaulrich/xts
License: GPL-2.0-or-later
Latest release: 0.12.2
published over 3 years ago

Versions: 8
Dependent Packages: 21
Dependent Repositories: 24

Rankings

Dependent packages count: 3.1%

Dependent repos count: 7.4%

Average: 14.5%

Forks count: 21.6%

Stargazers count: 25.9%

Last synced: 6 months ago

Dependencies

DESCRIPTION cran

zoo >= 1.7 depends
methods * imports
RUnit * suggests
chron * suggests
fts * suggests
timeDate * suggests
timeSeries * suggests
tis * suggests
tseries * suggests

inst/api_example/DESCRIPTION cran

xts * depends

.github/workflows/ci.yaml actions

actions/checkout v2 composite

xts

Science Score: 36.0%

Keywords

Keywords from Contributors

Repository

Basic Info

Statistics

Topics

Metadata Files

README.md

About

xts for enterprise

Supporting xts development

Installation

lightweight

or

Getting Started

POSIXct (date/time) index

March, 2017

[,1]

2017-03-27 0.25155453

2017-03-28 -0.09379529

2017-03-29 0.44600926

2017-03-30 0.18095782

2017-03-31 -1.45539421

March 30th through April 2nd

[,1]

2017-03-30 0.1809578

2017-03-31 -1.4553942

2017-04-01 -0.4012951

2017-04-02 -0.5331497

Beginning of the series to April 1st

[,1]

2017-03-27 0.25155453

2017-03-28 -0.09379529

2017-03-29 0.44600926

2017-03-30 0.18095782

2017-03-31 -1.45539421

2017-04-01 -0.40129513

x.Open x.High x.Low x.Close

2007-01-31 50.03978 50.77336 49.76308 50.22578

2007-02-28 50.22448 51.32342 50.19101 50.77091

2007-03-31 50.81620 50.81620 48.23648 48.97490

2007-04-30 48.94407 50.33781 48.80962 49.33974

2007-05-31 49.34572 49.69097 47.51796 47.73780

2007-06-30 47.74432 47.94127 47.09144 47.76719

x.Open x.High x.Low x.Close

Jan 2007 50.03978 50.77336 49.76308 50.22578

Feb 2007 50.22448 51.32342 50.19101 50.77091

Mar 2007 50.81620 50.81620 48.23648 48.97490

Apr 2007 48.94407 50.33781 48.80962 49.33974

May 2007 49.34572 49.69097 47.51796 47.73780

Jun 2007 47.74432 47.94127 47.09144 47.76719

Average monthly value for each column

Open High Low Close

2007-01-31 50.21140 50.31528 50.12072 50.22791

2007-02-28 50.78427 50.88091 50.69639 50.79533

2007-03-31 49.53185 49.61232 49.40435 49.48246

2007-04-30 49.62687 49.71287 49.53189 49.62978

2007-05-31 48.31942 48.41694 48.18960 48.26699

2007-06-30 47.47717 47.57592 47.38255 47.46899

Open High Low Close

2007-01-31 50.21140 50.31528 50.12072 50.22791

2007-02-28 50.78427 50.88091 50.69639 50.79533

2007-03-31 49.53185 49.61232 49.40435 49.48246

2007-04-30 49.62687 49.71287 49.53189 49.62978

2007-05-31 48.31942 48.41694 48.18960 48.26699

2007-06-30 47.47717 47.57592 47.38255 47.46899

Have a question?

Want hands-on experience?

Contributing

See Also

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Owner

GitHub Events

Total

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