R xts quantmod 在特定时间访问数据

Question

学习 R（包括 xts 和 quantmod 包）。有我的数据集：

str(h2)
‘zoo’ series from 2016-06-15 11:00:00 to 2016-09-15 14:00:00
  Data: num [1:928, 1:5] 67842 67486 67603 67465 67457 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:5] "X.OPEN." "X.HIGH." "X.LOW." "X.CLOSE." ...
  Index:  POSIXct[1:928], format: "2016-06-15 11:00:00" "2016-06-15 12:00:00" "2016-06-15 13:00:00" ...

first(h2, '1 day')
                    X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
2016-06-15 11:00:00   67842   67842  67122    67488 262740
2016-06-15 12:00:00   67486   67610  67420    67603 288875
2016-06-15 13:00:00   67603   67608  67381    67466 323498
2016-06-15 14:00:00   67465   67484  67356    67455 168991
2016-06-15 15:00:00   67457   67460  67289    67361 174965
2016-06-15 16:00:00   67363   67381  67202    67317 195579
2016-06-15 17:00:00   67320   67465  67288    67397 230255
2016-06-15 18:00:00   67397   67436  67084    67099 469379
2016-06-15 19:00:00   67096   67198  66900    67058 264430
2016-06-15 20:00:00   67040   67094  66944    67092 110503
2016-06-15 21:00:00   67092   67158  66877    66992  83041
2016-06-15 22:00:00   66993   67110  66680    66909 386905
2016-06-15 23:00:00   66909   67269  66884    67126 143373

dput(first(h2, '1 day'))
structure(c(67842, 67486, 67603, 67465, 67457, 67363, 67320, 
67397, 67096, 67040, 67092, 66993, 66909, 67842, 67610, 67608, 
67484, 67460, 67381, 67465, 67436, 67198, 67094, 67158, 67110, 
67269, 67122, 67420, 67381, 67356, 67289, 67202, 67288, 67084, 
66900, 66944, 66877, 66680, 66884, 67488, 67603, 67466, 67455, 
67361, 67317, 67397, 67099, 67058, 67092, 66992, 66909, 67126, 
262740, 288875, 323498, 168991, 174965, 195579, 230255, 469379, 
264430, 110503, 83041, 386905, 143373), .Dim = c(13L, 5L), .Dimnames = list(
    NULL, c("X.OPEN.", "X.HIGH.", "X.LOW.", "X.CLOSE.", "X.VOL."
    )), index = structure(c(1465977600, 1465981200, 1465984800, 
1465988400, 1465992000, 1465995600, 1465999200, 1466002800, 1466006400, 
1466010000, 1466013600, 1466017200, 1466020800), class = c("POSIXct", 
"POSIXt"), tzone = ""), class = "zoo")

无法弄清楚如何解决，例如，这样的任务 - 比较 11:00 处的差值 (X.CLOSE-X.OPEN) 和差值 (X.CLOSE(13:00)-X.OPEN(12:00)) 在样本中包含的所有日期。
在解决这个问题的过程中，我看到了 2 个项目：
1).如何获取特定时间的数据？ IE。例如，如何在我选择的 12:00 天获得 X.OPEN。我尝试了不同的组合（见下面的代码）但没有结果（只有数据集的标题）

h2["T11:00:00/12:00:00"]
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
h2["2016-06-15 11:00:00 MSK"]
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
x <- h2["2016-06-15 11:00:00 MSK"]        #'zoo' series (without observations)
x
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
h2["T12:00:00.000/T12:00:00.001"]
     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.

2).早些时候我在 Excel 中做了类似的算法，并通过暴力（逐步检查）数据集解决了这个问题。但是 R 有矢量数据类型，它应该是解决这个任务的更快更方便的方法。

Answer 1

要从时间序列中获取特定时间的数据，请使用 window。

window(h2, start = as.POSIXct('2016-06-15 04:00'), end = as.POSIXct('2016-06-15 04:59'))
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 04:00:00   67842   67842  67122    67488 262740

window(h2, start = as.POSIXct('2016-06-15 06:00'), end = as.POSIXct('2016-06-15 08:00'))
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 06:00:00   67603   67608  67381    67466 323498
# 2016-06-15 07:00:00   67465   67484  67356    67455 168991
# 2016-06-15 08:00:00   67457   67460  67289    67361 174965

您也可以按行号访问。

h2[1,]
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 04:00:00   67842   67842  67122    67488 262740

h2[4:6,]
#                     X.OPEN. X.HIGH. X.LOW. X.CLOSE. X.VOL.
# 2016-06-15 07:00:00   67465   67484  67356    67455 168991
# 2016-06-15 08:00:00   67457   67460  67289    67361 174965
# 2016-06-15 09:00:00   67363   67381  67202    67317 195579

取X.CLOSE之间的差值。和 X.OPEN。在任何时候，您都可以...

h2_diff <- h2[,'X.CLOSE.'] - h2[,'X.OPEN.']
# 2016-06-15 04:00:00 2016-06-15 05:00:00 2016-06-15 06:00:00 2016-06-15 07:00:00 
#                -354                 117                -137                 -10 
# 2016-06-15 08:00:00 2016-06-15 09:00:00 2016-06-15 10:00:00 2016-06-15 11:00:00 
#                 -96                 -46                  77                -298 
# 2016-06-15 12:00:00 2016-06-15 13:00:00 2016-06-15 14:00:00 2016-06-15 15:00:00 
#                 -38                  52                -100                 -84 
# 2016-06-15 16:00:00 
#                 217

要进行滞后差异，您可以使用 lag 函数。

h2[1:3,'X.CLOSE.']
# 2016-06-15 04:00:00 2016-06-15 05:00:00 2016-06-15 06:00:00 
#               67488               67603               67466 

lag(h2[1:3,'X.CLOSE.'])
# 2016-06-15 04:00:00 2016-06-15 05:00:00 
#               67603               67466 

lag(h2[1:3,'X.CLOSE.'], -1)
# 2016-06-15 05:00:00 2016-06-15 06:00:00 
#               67488               67603

所以X.CLOSE(n) - X.OPEN(n - 1)...

h2[,'X.CLOSE.'] - lag(h2[,'X.OPEN.'], -1)
# 2016-06-15 05:00:00 2016-06-15 06:00:00 2016-06-15 07:00:00 2016-06-15 08:00:00 
#                -239                 -20                -148                -104 
# 2016-06-15 09:00:00 2016-06-15 10:00:00 2016-06-15 11:00:00 2016-06-15 12:00:00 
#                -140                  34                -221                -339 
# 2016-06-15 13:00:00 2016-06-15 14:00:00 2016-06-15 15:00:00 2016-06-15 16:00:00 
#                  -4                 -48                -183                 133

R xts quantmod 在特定时间访问数据

R xts quantmod access to data at a specific time

r

xts