R语言to.period函数indexAt=firstof按小时周期失效问题

问题详情 #

• 使用to.period()处理单变量xts对象，指定周期为"hours"且indexAt="firstof"时，返回结果的索引为每小时的最后时刻（与indexAt="lastof"效果一致），而非预期的每小时起始时刻。
• 尝试使用indexAt="startof"时，虽能得到接近预期的结果，但由于周日交易起始时间晚1分钟，会导致索引不一致，无法作为替代方案。
• 有非官方说法称indexAt参数仅支持月度和季度周期，但无官方文档明确说明，且startof参数在小时周期下可正常工作，因此疑问firstof参数失效的原因。

代码示例 #

原数据（USOil）

head(USOil)
                      [,1]
2022-01-02 23:01:00 75.740
2022-01-02 23:01:00 75.740
2022-01-02 23:02:00 75.807
2022-01-02 23:03:00 75.688
2022-01-02 23:04:00 75.659
2022-01-02 23:05:00 75.661

使用indexAt="firstof"的结果

head(to.period(USOil, "hours", indexAt = "firstof"))

                    USOil.Open USOil.High USOil.Low USOil.Close
2022-01-02 23:59:00     75.740     75.900    75.646      75.828
2022-01-03 00:59:00     75.827     76.069    75.805      75.946
2022-01-03 01:59:00     75.926     75.981    75.586      75.638
2022-01-03 02:59:00     75.658     75.658    75.476      75.498
2022-01-03 03:59:00     75.498     75.886    75.498      75.859
2022-01-03 04:59:00     75.818     75.854    75.756      75.764

预期结果

USOil.Open USOil.High USOil.Low USOil.Close
2022-01-02 23:00:00     75.740     75.900    75.646      75.828
2022-01-03 00:00:00     75.827     76.069    75.805      75.946
2022-01-03 01:00:00     75.926     75.981    75.586      75.638
2022-01-03 02:00:00     75.658     75.658    75.476      75.498
2022-01-03 03:00:00     75.498     75.886    75.498      75.859
2022-01-03 04:00:00     75.818     75.854    75.756      75.764

使用indexAt="startof"的结果

head(to.period(USOil, "hours", indexAt = "startof"))
                    USOil.Open USOil.High USOil.Low USOil.Close
2022-01-02 23:01:00     75.740     75.900    75.646      75.828
2022-01-03 00:00:00     75.827     76.069    75.805      75.946
2022-01-03 01:00:00     75.926     75.981    75.586      75.638
2022-01-03 02:00:00     75.658     75.658    75.476      75.498
2022-01-03 03:00:00     75.498     75.886    75.498      75.859
2022-01-03 04:00:00     75.818     75.854    75.756      75.764

内容的提问来源于stack exchange，提问作者Sphin