R xts 和 data.table

Question

我可以像处理 data.frame 一样将 data.table 转换为 xts 对象:

> df = data.frame(x = c("a", "b", "c", "d"), v = rnorm(4))
> dt = data.table(x = c("a", "b", "c", "d"), v = rnorm(4))
> xts(df, as.POSIXlt(c("2011-01-01 15:30:00", "2011-01-02 15:30:00", "2011-01-03 15:50:50", "2011-01-04 15:30:00")))
                    x   v           
2011-01-01 15:30:00 "a" "-1.2232283"
2011-01-02 15:30:00 "b" "-0.1654551"
2011-01-03 15:50:50 "c" "-0.4456202"
2011-01-04 15:30:00 "d" "-0.9416562"
> xts(dt, as.POSIXlt(c("2011-01-01 15:30:00", "2011-01-02 15:30:00", "2011-01-03 15:50:50", "2011-01-04 15:30:00")))
                    x   v           
2011-01-01 15:30:00 "a" " 1.3089579"
2011-01-02 15:30:00 "b" "-1.7681071"
2011-01-03 15:50:50 "c" "-1.4375100"
2011-01-04 15:30:00 "d" "-0.2467274"

在 xts 中使用 data.table 有什么问题吗？

Answer 1

只是为了解决一个悬而未决的问题。

正如文森特在评论中指出的那样，这没有问题。

它包含在数据表 1.9.5 中。下面是类似的内容:

as.data.table.xts <- function(x, keep.rownames = TRUE){
  stopifnot(requireNamespace("xts") || !missing(x) || xts::is.xts(x))
  r = setDT(as.data.frame(x), keep.rownames = keep.rownames)
  if(!keep.rownames) return(r[])
  setnames(r,"rn","index")
  setkeyv(r,"index")[]
}

as.xts.data.table <- function(x){
  stopifnot(requireNamespace("xts") || !missing(x) || is.data.table(x) || any(class(x[[1]] %in% c("POSIXct","Date"))))
  colsNumeric = sapply(x, is.numeric)[-1] # exclude first col, xts index
  if(any(!colsNumeric)){
    warning(paste("Following columns are not numeric and will be omitted:",paste(names(colsNumeric)[!colsNumeric],collapse=", ")))
  }
  r = setDF(x[,.SD,.SDcols=names(colsNumeric)[colsNumeric]])
  rownames(r) <- x[[1]]
  xts::as.xts(r)
}