How to make 30min intervals from 1min data taking the previous value for NaNs?
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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
2012 3 22 9 58 NaN 9.98
2012 3 22 9 59 NaN 9.40
2012 3 22 10 00 NaN NaN
2012 3 22 10 01 NaN 9.59
2012 3 22 10 02 NaN NaN
2012 3 22 10 03 10.03 9.91
2012 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.
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Azzi Abdelmalek
2016-5-8
编辑:Azzi Abdelmalek
2016-5-8
% -----------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))'
更多回答(1 个)
the cyclist
2016-5-8
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]);
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