split xts object iteratively in lists of desired intervals

The split_window()-function is a high level wrapper of the stats::window()-function which restricts the intervals between the first and second index value iteratively

Usage

split_window(xts, by, bounds = "upper")

Arguments

xts

A xts-object that needs needs to be split.

by

A reference zoo::index()-object, to be split by.

bounds

A character vector of length 1. Has to be one of c('upper','lower','both'). Defaults to Upper.

Value

Returns a list of iteratively restricted xts objects

See also

Other utility: calibrate_window(), remove_bound(), write_xts()

Examples

# script start;

# 1) check index of BTCUSDT and
# the Fear and Greed Index
setequal(
  zoo::index(BTC),
  zoo::index(FGIndex)
)
#> [1] FALSE

# 2) to align the indices,
# we use the convincience functions
# by splitting the FGI by the BTC index.
FGIndex <- cryptoQuotes::split_window(
  xts = cryptoQuotes::FGIndex,
  by  = zoo::index(BTC),

  # Remove upper bounds of the
  # index to avoid overlap between
  # the dates.
  #
  # This ensures that the FGI is split
  # according to start of each weekly
  # BTC candle
  bounds = 'upper'
)

# 3) as splitWindow returns a list
# it needs to passed into calibrateWindow
# to ensure comparability
FGIndex <- cryptoQuotes::calibrate_window(
  list = FGIndex,

  # As each element in the list can include
  # more than one row, each element needs to be aggregated
  # or summarised.
  #
  # using xts::first gives the first element
  # of each list, along with its values
  FUN  = xts::first
)


# 3) check if candles aligns
# accordingly
stopifnot(
  setequal(
    zoo::index(BTC),
    zoo::index(FGIndex)
  )
)


# script end;