Merge xts objects recursively

Question

I want to create and merge a number of xts objects

The actual data comes from a list (where each time series length can vary) and is converted to xts. For the sake of reproducibility the problem is similar to the following

x=xts()
for(i in 1:3){
    n=round(runif(1, 2, 5))
    x=merge(x, x=xts(rnorm(n-1), as.Date(2:n)))
}
x

#                       x       x.1        x.2
# 1970-01-03 01:00:00 0.3130791 0.7817730 0.06623756
# 1970-01-04 01:00:00        NA 0.4827522 0.94823558
# 1970-01-05 01:00:00        NA 0.2411705         NA

As you see, I need an initial empty xts object to start the recursion. Despite:

xts(1:3, as.Date(1:3))
#            [,1]
# 1970-01-02    1
# 1970-01-03    2
# 1970-01-04    3

when merging generated xts objects with the empty one, the latter is assumed to have a time-based index.

To avoid the time addition, I can create the initial xts item, giving it explicit dummy data.

x= xts(1, as.Date(1))
for(i in 1:3){
    n=round(runif(1, 2, 5))
    x=merge(x, x=xts(rnorm(n-1), as.Date(2:n)))
}
x=x[,-1]
if(all(is.na(x[1,]))) x=x[-1,]
x
#                   x.1         x.2       x.3
# 1970-01-03 -0.5098130 -0.57121953 -1.259878
# 1970-01-04 -0.9984952 -0.26467168 -2.413181
# 1970-01-05  3.0207324 -1.06862153        NA
# 1970-01-06         NA  0.05542239        NA

This works but I have to add extra code for cleaning from the dummy data and most likely, beyond the dummy column, you get also an extra row for the fake date.

Do you have a cleverer idea to merge recursively xts objects?

CHP CHP · Accepted Answer · 2014-03-28T02:37:39

You can use do.call to merge all the elements of a list of xts objects together.

require(xts)
#lets create list of xts objects.
LL <- lapply(1:4, FUN = function(i) xts(1:6, as.Date(1:6) + i))

#merge them all together
merged.xts <- do.call("merge", LL)

Merge xts objects recursively

1 Answers