How to make 30min intervals from 1min data taking the previous value for NaNs?

Question

Ekaterina Serikova 2016-5-8

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/283178-how-to-make-30min-intervals-from-1min-data-taking-the-previous-value-for-nans

评论： Ekaterina Serikova 2016-5-10

采纳的回答： Azzi Abdelmalek

在 MATLAB Online 中打开

Hello,

I have a matrix of type double(below).

It consists of 1min stock prices (StockA, StockB, etc.).

   Year        Mo      Day     Hour    Min    StockA   StockB
3  22  9  58  NaN  9.98
3  22  9  59  NaN  9.40
3  22  10  00  NaN  NaN
3  22  10  01  NaN  9.59
3  22  10  02  NaN  NaN
3  22  10  03  10.03  9.91
3  22  10  04  NaN  NaN

I would like to aggregate the data in 30min intervals in such a way that if no price is available for exact 09.30,10.00, 10.30 and so on, it takes the last available value before 9.30,10.00, 10.30 and so on column by column.

Could you please advise how can I do that?

I tried to create 30mins intervals separately and use min(abs... function, but it seems not to work for the dates.

4 个评论
显示 2更早的评论隐藏 2更早的评论

Azzi Abdelmalek 2016-5-8

What to do if all values between 10h:30 and 11h are nan

Ekaterina Serikova 2016-5-8

Then just NaN, because no tradings were during these 30 mins

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

Azzi Abdelmalek 2016-5-8

1
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/283178-how-to-make-30min-intervals-from-1min-data-taking-the-previous-value-for-nans#answer_221319

编辑：Azzi Abdelmalek 2016-5-8

在 MATLAB Online 中打开

% -----------Example------------------------
v1=datenum('01-01-2016','dd-mm-yyyy');
pas=1/(24*60);
v=datestr(v1:pas:v1+pas*89);
n=size(v,1);
w=randi(10,n,2);
w(randperm(n*2,fix(3*n/2)))=nan;
A=[datevec(v) w];
%------------------------------------
m=size(A,2);
nn=30;
B=permute(reshape(A',m,nn,[]),[2 1 3]);
for k=1:size(B,3)
  ii1=min([nn nn-find(~isnan(flipud(B(:,7,k))),1)+1])
  ii2=min([nn nn-find(~isnan(flipud(B(:,8,k))),1)+1])
  B(nn,7,k)=B(ii1,7,k)
  B(nn,8,k)=B(ii2,8,k);
end
out=reshape(permute(B,[2 1 3]),size(A,2),size(A,1))'

6 个评论
显示 4更早的评论隐藏 4更早的评论

Ekaterina Serikova 2016-5-10

Dear Azzi, could you please also explain what is the idea that 30mins values are in 29th and 59th minutes? In this case, if there is a price at exactly 30th minute, it will count it for the next 30 mins instead of just leaving it. How can I adjust the code so that 30th and 00th values were included? Thanks a lot.

Ekaterina Serikova 2016-5-10

Dear Azzi,ok, I solved that by taking 30th and 00th value and adding a condition that if that is NA, then take the previous (which is 29th). Another question - this code works only for matrices, the length of which are multiples of 30. Thus, I have to delete some 29th and 30th lines containing the values that I also need. How can I still save these values?

请先登录，再进行评论。

Answer 2

the cyclist 2016-5-8

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/283178-how-to-make-30min-intervals-from-1min-data-taking-the-previous-value-for-nans#answer_221320

在 MATLAB Online 中打开

I think this does what you want. I've commented it to show the algorithm.

% Create some pretend prices. Use your actual price matrix here.
% Needs to be multiple of 30 in length along dimension 1.
% If it isn't, trim as needed.
originalPriceMatrix = reshape(1:240,60,4);
% Set last-minute price to NaN for testing
originalPriceMatrix(end,:) = NaN;
% Reshape to get each 30-minute segment along dimension 1
price = reshape(originalPriceMatrix,30,2,4);
% Carry forward price if NaN.
lastMinutePrices = price(1,:,:);
for nt = 2:30
    thisMinutePrices = price(nt,:,:);    
    thisMinutePrices(isnan(thisMinutePrices)) = lastMinutePrices(isnan(thisMinutePrices));
    lastMinutePrices = thisMinutePrices;
end
% Permute  to get (time X stock)
lastMinutePrices = permute(lastMinutePrices,[2 3 1]);