eXtensible Time Series

Provide for uniform handling of R's different time-based data classes by extending zoo, maximizing native format information preservation and allowing for user level customization and extension, while simplifying cross-class interoperability.


News

Changed in xts 0.8-1:

o Dependency now on 1.7-0 or better of zoo (R-forge at present) This build now links to C code moved from xts to zoo. At present this is only for zoo_lag (used in lag and lagts)

Changes in xts 0.7-5:

o try.xts and reclass now are more efficient on xts objects, no longer appending a .RECLASS attribute. This penalty (copying) is shifted to classes that are internally converted to xts.

Changes in xts 0.7-4:

o internal attributes of index are now maintaining timezone (tzone), time class (tclass) information.

o [.xts method is now using new C code. This may revert back as character-based objects are not supported. Changed for future code refactoring into zoo, as well as performance gains on integer, double and logical values. Also added in checks for NAs. drop=TRUE now works correctly in all known applications.

o (cbind)merge.xts and rbind.xts now copy index attributes to handle internal changes to index characteristics (in C code)

o indexTZ.Rd updated to provide information regarding internal changes. Also indexTZ<- is now exported to facilitate timezone changing of xts objects.

Changes in xts 0.7-1:

o subsecond ISO8601 subsetting on dates before 1970 (epoch) is disabled. This is due to a bug in the R implementation of POSIX handling of fractional seconds pre-1970. 10 microsecond granularity is still functional for all other times. Thanks to Andreas Noack Jensen for the early bug report.

o new 'tzone' arg in xts constructor and 'tz' in .parseISO8601 allows for future support of non-system TZ dependent indexing

o internal index attribute (numeric) now can have attributes set (tzone is currently the only one used in xts). These should remain during all xts operations. Still experimental.

o naCheck has been exposed at the C level for use in packages "LinkingTo: xts". See ?xtsAPI for more details.

Changes in xts 0.7-0:

o A new NEWS file.

o print.xts now passes ...

o endpoints speedup and bug fix (thanks Ismail Onur Filiz)

o na.omit bug on logical and NaN fixes (thanks Fabrizio Pollastri and Koert Kuipers)

o fromLast=FALSE for na.locf.xts. Matching to zoo. (thanks to Sandor Benczik)

o LGLSXP support in leadingNA (R fun naCheck)

o fixed logical and NA 'j' subsetting. Thanks Koert Kuipers.

o as.xts and as.timeSeries fixes for timeSeries changes

o merge and subset now support dimensionless xts (non-standard). merge segfault fixed when merging all 3 or more zero-width xts objects and only zero-width objects. Thanks to Koert Kuipers for the report.

o added which.i to [.xts to return i values found via ISO8601 subset string

o new lines.xts and plot.xts, similar to methods in zoo

o lastof now has sec to 10 microsecond precision, and subsec arg to append to secs.

o xts() further consistency in NROW/index check

o align.time error checks for positive n= values (thanks Brian Peterson)

o toPeriod updates in C, almost exported. ~600-1200x faster

o new lag_xts in C. Increased speed and index flexibility.

o endpoints 'days' bug fix

o .makeISO8601 function to create ISO8601 compliant string from xts objects

Reference manual

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install.packages("xts")

0.10-0 by Joshua M. Ulrich, 2 months ago


https://github.com/joshuaulrich/xts


Report a bug at https://github.com/joshuaulrich/xts/issues


Browse source code at https://github.com/cran/xts


Authors: Jeffrey A. Ryan [aut, cph], Joshua M. Ulrich [cre, aut], Ross Bennett [ctb]


Documentation:   PDF Manual  


Task views: Econometrics, Empirical Finance, Handling and Analyzing Spatio-Temporal Data, Time Series Analysis


GPL (>= 2) license


Imports methods

Depends on zoo

Suggests timeSeries, timeDate, tseries, chron, fts, tis, RUnit

Linking to zoo


Imported by AlphaVantageClient, CityWaterBalance, DClusterm, DMwR, DMwR2, GAS, Knoema, MODIStsp, PANICr, PWFSLSmoke, PoloniexR, RObsDat, SpatialEpiApp, Strategy, TSdist, TTR, backtestGraphics, carx, covmat, creditr, dygraphs, dynatopmodel, ecd, fDMA, gdpc, geoSpectral, ggpmisc, highcharter, hydroGOF, influxdbr, kehra, ldhmm, machina, moveVis, nowcasting, pdfetch, qrmdata, qrmtools, rbcb, rmgarch, rnrfa, rugarch, seasonalview, shinystan, spacetime, stressr, swmmr, tawny, tawny.types, tbl2xts, tidyquant, timeseriesdb, timetk, tsensembler, vetools.

Depended on by EIAdata, FinancialInstrument, IBrokers, PerformanceAnalytics, PortfolioAnalytics, Quandl, RFinanceYJ, RcmdrPlugin.epack, RcppXts, YieldCurve, aqr, bdrift, bsts, cotrend, eDMA, egcm, eventstudies, highfrequency, hydroTSM, lfstat, mvLSW, quantmod, rts.

Suggested by BETS, DepthProc, FatTailsR, Rblpapi, SharpeR, TSdata, TSmisc, crawl, data.table, dataseries, ggfortify, gstat, hydroPSO, manipulateWidget, nanotime, parma, sos4R, surveillance, tframePlus, timeSeries, tolBasis, trajectories, ustyc, zoo.

Enhanced by lubridate.


See at CRAN