Error in xts(new.x, x.index) : order.by requires an appropriate time-based object

Question

I know that this question has already been asked in this post (xts error - order.by requires an appropriate time-based object) but the problem seems to remain still unsolved.

I'm working on the same code as here : R: Error in xts - order.by, everything was working and computing perfectly until i restarted my computer and I'm now facing this problem :

I didn't produce the code, I found it on this book : http://www.amazon.com/Data-Mining-Learning-Knowledge-Discovery/dp/1439810184/ref=sr_1_1?ie=UTF8&qid=1344349381&sr=8-1&keywords=data+mining+with+r

Here is the reproducible example :

# Packages needed :
library(xts)
library(TTR)
library(randomForest)
library(DMwR)

# Time Series :
myTimeSeries <-
  structure(c(2787, 2800, 2788, 2803, 2815, 2815, 2812, 2807, 2810, 
  2829, 2830, 2837, 2841, 2840, 2843, 2839, 2835, 2841, 2834, 2838, 
  2827, 2821, 2831, 2811, 2796, 2808, 2814, 2811, 2815, 2803, 2788, 
  2778, 2772, 2777, 2776, 2760, 2732, 2711, 2709, 2707, 2700, 2706, 
  2706, 2690, 2684, 2654, 2637, 2656, 2655, 2670, 2652, 2649, 2621, 
  2622, 2599, 2612, 2632, 2653, 2668, 2654, 2637, 2633, 2639, 2648, 
  2641, 2663, 2657, 2655, 2639, 2639, 2645, 2658, 2658, 2669, 2664, 
  2658, 2667, 2671, 2679, 2670, 2693, 2708, 2715, 2704, 2695, 2697, 
  2688, 2706, 2716, 2719, 2707, 2705, 2706, 2698, 2693, 2699, 2701, 
  2699, 2713, 2716, 2721, 2714, 2710, 2706, 2701, 2691, 2663, 2658, 
  2692, 2694, 2704, 2706, 2714, 2702, 2698, 2688, 2677, 2682, 2677, 
  2688, 2669, 2667, 2674, 2684, 2673, 2682, 2694, 2690, 2691, 2695, 
  2703, 2697, 2699, 2694, 2696, 2679, 2688, 2687, 2688, 2691, 2799, 
  2801, 2804, 2822, 2820, 2819, 2814, 2816, 2836, 2836, 2838, 2846, 
  2842, 2847, 2847, 2842, 2844, 2842, 2840, 2840, 2833, 2834, 2832, 
  2815, 2810, 2819, 2814, 2818, 2815, 2815, 2789, 2779, 2782, 2781, 
  2778, 2764, 2740, 2720, 2713, 2709, 2709, 2707, 2706, 2697, 2688, 
  2661, 2657, 2660, 2672, 2682, 2662, 2651, 2629, 2623, 2614, 2650, 
  2657, 2670, 2671, 2658, 2640, 2640, 2650, 2654, 2664, 2674, 2660, 
  2656, 2646, 2641, 2663, 2663, 2678, 2676, 2664, 2672, 2677, 2684, 
  2689, 2698, 2727, 2723, 2716, 2717, 2703, 2708, 2707, 2726, 2722, 
  2727, 2711, 2713, 2707, 2704, 2705, 2708, 2705, 2704, 2718, 2729, 
  2727, 2719, 2715, 2713, 2704, 2691, 2680, 2698, 2699, 2712, 2711, 
  2710, 2714, 2714, 2705, 2689, 2685, 2685, 2694, 2690, 2677, 2680, 
  2693, 2685, 2689, 2690, 2694, 2704, 2700, 2706, 2704, 2702, 2702, 
  2698, 2697, 2690, 2690, 2690, 2693, 2695, 2785, 2777, 2784, 2802, 
  2808, 2811, 2806, 2805, 2802, 2823, 2828, 2832, 2835, 2837, 2838, 
  2824, 2834, 2826, 2830, 2827, 2816, 2814, 2798, 2796, 2796, 2807, 
  2806, 2808, 2800, 2787, 2768, 2763, 2770, 2772, 2756, 2729, 2709, 
  2694, 2698, 2699, 2697, 2689, 2690, 2653, 2651, 2635, 2634, 2649, 
  2633, 2648, 2632, 2615, 2618, 2597, 2599, 2612, 2632, 2645, 2647, 
  2631, 2627, 2616, 2636, 2630, 2640, 2655, 2652, 2635, 2634, 2622, 
  2643, 2641, 2658, 2658, 2652, 2656, 2664, 2666, 2667, 2652, 2689, 
  2707, 2704, 2703, 2694, 2685, 2686, 2699, 2711, 2704, 2693, 2697, 
  2681, 2689, 2690, 2697, 2696, 2695, 2709, 2707, 2705, 2707, 2683, 
  2689, 2687, 2652, 2655, 2657, 2690, 2691, 2703, 2702, 2700, 2693, 
  2687, 2668, 2669, 2675, 2675, 2658, 2655, 2664, 2674, 2667, 2673, 
  2676, 2677, 2689, 2691, 2694, 2696, 2697, 2693, 2692, 2676, 2678, 
  2686, 2686, 2688, 2690, 2799, 2787, 2803, 2814, 2816, 2812, 2808, 
  2810, 2830, 2830, 2836, 2841, 2840, 2840, 2839, 2836, 2841, 2834, 
  2838, 2827, 2821, 2831, 2811, 2797, 2808, 2813, 2810, 2813, 2803, 
  2788, 2778, 2772, 2777, 2776, 2759, 2732, 2712, 2709, 2706, 2699, 
  2705, 2691, 2690, 2684, 2654, 2637, 2655, 2654, 2671, 2652, 2649, 
  2622, 2622, 2599, 2611, 2646, 2653, 2668, 2654, 2636, 2634, 2639, 
  2648, 2642, 2664, 2658, 2655, 2638, 2640, 2624, 2658, 2659, 2669, 
  2665, 2659, 2667, 2671, 2678, 2670, 2693, 2707, 2715, 2704, 2706, 
  2696, 2688, 2706, 2716, 2720, 2708, 2705, 2705, 2697, 2693, 2699, 
  2701, 2699, 2702, 2716, 2721, 2714, 2710, 2706, 2701, 2690, 2663, 
  2658, 2692, 2694, 2705, 2706, 2708, 2702, 2697, 2688, 2677, 2681, 
  2677, 2687, 2670, 2667, 2674, 2685, 2674, 2682, 2689, 2690, 2691, 
  2696, 2703, 2698, 2699, 2694, 2697, 2680, 2687, 2687, 2690, 2691, 
  2695), .Dim = c(140L, 4L), .Dimnames = list(NULL, c("price.Open", 
  "price.High", "price.Low", "price.Close")), index = structure(c(1265097599, 
  1265101199, 1265104796, 1265108399, 1265111999, 1265115597, 1265119198, 
  1265122799, 1265126399, 1265129992, 1265133591, 1265137199, 1265140797, 
  1265144399, 1265183999, 1265187599, 1265191199, 1265194799, 1265198398, 
  1265201999, 1265205599, 1265209199, 1265212799, 1265216399, 1265219999, 
  1265223580, 1265227194, 1265230799, 1265270399, 1265273999, 1265277595, 
  1265281198, 1265284798, 1265288397, 1265291998, 1265295599, 1265299199, 
  1265302799, 1265306399, 1265309997, 1265313586, 1265317199, 1265356799, 
  1265360399, 1265363999, 1265367599, 1265371199, 1265374799, 1265378399, 
  1265381999, 1265385599, 1265389199, 1265392798, 1265396399, 1265399984, 
  1265403599, 1265615999, 1265619593, 1265623195, 1265626785, 1265630396, 
  1265633999, 1265637599, 1265641199, 1265644799, 1265648398, 1265651994, 
  1265655599, 1265659198, 1265662799, 1265702399, 1265705999, 1265709599, 
  1265713199, 1265716798, 1265720398, 1265723995, 1265727598, 1265731199, 
  1265734799, 1265738399, 1265741975, 1265745594, 1265749199, 1265788799, 
  1265792399, 1265795999, 1265799599, 1265803197, 1265806799, 1265810399, 
  1265813999, 1265817599, 1265821196, 1265824795, 1265828380, 1265831990, 
  1265835598, 1265875199, 1265878799, 1265882399, 1265885999, 1265889599, 
  1265893199, 1265896797, 1265900399, 1265903998, 1265907586, 1265911187, 
  1265914799, 1265918356, 1265921999, 1265961596, 1265965199, 1265968798, 
  1265972399, 1265975998, 1265979599, 1265983196, 1265986798, 1265990399, 
  1265993997, 1265997598, 1266001197, 1266004796, 1266008399, 1266220799, 
  1266224399, 1266227999, 1266231598, 1266235187, 1266238799, 1266242399, 
  1266245996, 1266249598, 1266253195, 1266256799, 1266260385, 1266263956, 
  1266267599), tzone = "", tclass = c("POSIXct", "POSIXt")),
  tclass = c("POSIXct", "POSIXt"), tzone = "", class = c("xts", "zoo"),
  .indexCLASS = c("POSIXct", "POSIXt"), .indexTZ = "")

T.ind <- function(quotes,tgt.margin=0.005,n.days=5){   
  v <- apply(HLC(quotes),1,mean)    

  r <- matrix(NA,ncol=n.days,nrow=NROW(quotes))   
  for(x in 1:n.days) r[,x] <- Next(Delt(v,k=x),x)    

  x <- apply(r,1,function(x) sum(x[x > tgt.margin | x < -tgt.margin]))   
  if (is.xts(quotes)) xts(x,time(quotes)) else x 
} 

# Candle Chart and new indicator created above :
candleChart(last(myTimeSeries,"2 days"))
avgPrice<-function(p) apply(HLC(p),1,mean)
addAvgPrice<-newTA(FUN=avgPrice,col=1,legend="Average Price")
addT.indicator<-newTA(FUN=T.indicator,col="red",legend="Target")
addAvgPrice(on=1)
addT.indicator()

and the R sessionInfo() :

R version 2.15.0 (2012-03-30)
Platform: i386-pc-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=French_France.1252  LC_CTYPE=French_France.1252    LC_MONETARY=French_France.1252 LC_NUMERIC=C                   LC_TIME=French_France.1252    

attached base packages:
[1] splines   grid      stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
 [1] boot_1.3-4           car_2.0-12           nnet_7.3-4           dynamo_0.1.3         fda_2.2.8            Matrix_1.0-6         Formula_1.1-0        gstat_1.0-13         lmtest_0.9-30        spatial_7.3-3        spacetime_0.7-1      sp_0.9-99            sm_2.2-4.1           tseries_0.10-28     
[15] quadprog_1.5-4       DMwR_0.2.3           lattice_0.20-6       cluster_1.14.2       abind_1.4-0          rpart_3.1-52         class_7.3-3          ROCR_1.0-4           gplots_2.11.0        KernSmooth_2.23-7    caTools_1.13         bitops_1.0-4.1       gdata_2.11.0         gtools_2.7.0        
[29] quantmod_0.3-17      Defaults_1.1-1       randomForest_4.6-6   fExtremes_2100.77    fTrading_2100.76     fGarch_2110.80.1     fBasics_2160.81      timeSeries_2160.94   TTR_0.21-1           fractal_1.1-1        scatterplot3d_0.3-33 akima_0.5-7          wmtsa_1.1-1          sapa_1.1-0          
[43] ifultools_1.1-2      MASS_7.3-17          splus2R_1.1-1        chron_2.3-42         RTAQ_0.2             timeDate_2160.95     xts_0.8-6            zoo_1.7-7            rattle_2.6.20       

loaded via a namespace (and not attached):
[1] stabledist_0.6-4 tools_2.15.0

Please provide a _minimal_ [reproducible example](http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example). I.e. we need a _minimal_ sample of the `price` object that will allow us to reproduce your error. I stress _minimal_ because several days of 10-minute data would be huge. It would also be good if you could edit the output of `sessionInfo` into your question. — Joshua Ulrich, Aug 07 '12 at 13:42
i really don't understant because before restarting my computer everything was working perfectly. — marino89, Aug 07 '12 at 13:52

Joshua Ulrich · Accepted Answer · 2012-08-07T14:20:29.703

9

Your for loop makes no sense:

for (x in 1:n.periods) {
  r[, x] <- Next(Delt(v, k = x), x)
  x <- apply(r, 1, function(x) {sum(x[x > target | x < -target])})
}

x is the iterator, and the object you're assigning to, and the argument to the anonymous function in your apply call, and the object you're subsetting in your sum call, and the object you're comparing to target. I don't even want to think about how this possibly worked.

In short, you need better variable names/definitions.

If you were trying to change the value of x (the iterator), you can't. See the third paragraph in the Details section of ?"for".

UPDATE:

Here's the function from Luis' code you said you're using. You added extra braces around the for loop, which then included the second-to-last line of the function in the for loop...

T.ind <- function(quotes,tgt.margin=0.025,n.days=10) {
  v <- apply(HLC(quotes),1,mean)

  r <- matrix(NA,ncol=n.days,nrow=NROW(quotes))
  for(x in 1:n.days) r[,x] <- Next(Delt(v,k=x),x)

  x <- apply(r,1,function(x) sum(x[x > tgt.margin | x < -tgt.margin]))
  if (is.xts(quotes)) xts(x,time(quotes)) else x
}

edited Aug 07 '12 at 14:20

answered Aug 07 '12 at 13:56

Joshua Ulrich

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Sorry, I know it can seem stupid but everything was working, I mean my T.indcator function was working and outputting me a time series. actually I did not produce the code, I found it in this book : http://www.amazon.com/Data-Mining-Learning-Knowledge-Discovery/dp/1439810184/ref=sr_1_1?ie=UTF8&qid=1344348700&sr=8-1&keywords=data+mining+with+R – marino89 Aug 07 '12 at 14:08
3

@marino89: I don't doubt that it was "working" (i.e. not throwing an error), but I seriously doubt it was giving you _correct_ results. All the code in Luis' book is on [his website](http://www.liaad.up.pt/~ltorgo/DataMiningWithR). Please show me where he published the code you're using. – Joshua Ulrich Aug 07 '12 at 14:12
I was suprised when I saw that x was used both as an for loop iterator and a variable. – marino89 Aug 07 '12 at 14:17
@marino89: it isn't. You copied the function incorrectly. – Joshua Ulrich Aug 07 '12 at 14:18
Here is the copy-paste from the book I talked above : T.ind <- function(quotes, tgt.margin = 0.025, n.days = 10) { + v <- apply(HLC(quotes), 1, mean) + r <- matrix(NA, ncol = n.days, nrow = NROW(quotes)) + for (x in 1:n.days) r[, x] <- Next(Delt(v, k = x), x) + x <- apply(r, 1, function(x) sum(x[x > tgt.margin | x < + -tgt.margin])) + if (is.xts(quotes)) + xts(x, time(quotes)) + else x + } – marino89 Aug 07 '12 at 14:21
Ok, I read your update ans understood the problem, Thanks. But I've still have the same error message in the console!! – marino89 Aug 07 '12 at 14:40
I decomposed the for loop I tried to run the code path by path. It seems that the Delt function from quantmod package causes the error. Using the as.numeric() method seems to solve the problem. – marino89 Aug 07 '12 at 14:50
@marino89: I don't think you understand the problem. It sounds like you're still using your incorrect `T.indicator` function; just use Luis' `T.ind` function. I just ran [Luis' code](http://www.liaad.up.pt/~ltorgo/DataMiningWithR/code3.html) on 15-second data and it works. – Joshua Ulrich Aug 07 '12 at 14:54
I'm using it,I've copy-pasted the Luis' code, but i still have the same problem! – marino89 Aug 07 '12 at 15:02
@marino89: You haven't provided a reproducible example of the error or the output from `sessionInfo` and it works for me, so I can't help you further until you do those two things. – Joshua Ulrich Aug 07 '12 at 15:08
I've created the reproductive example with dput(). Can I sent it to you by email? The data I'm using is confidential. – marino89 Aug 07 '12 at 15:25
@marino89: No. If you can't reproduce the error with random data, then it's likely that your data are the problem and it's not an issue with xts and is therefore too localized. – Joshua Ulrich Aug 07 '12 at 15:28
@ Joshua Ulrich : I've provided you with all you requested. I've shortened my data using 1 hour aggregate prices instead of 10 min price. It does not change anything to the problem of course – marino89 Aug 07 '12 at 15:49
@marino89: Thank you for providing a reproducible example and your `sessionInfo`. That said, you're still using your broken `T.indicator` and `addT.indicator` functions. I get no error when I use Luis' `T.ind` and `addT.ind` functions. – Joshua Ulrich Aug 07 '12 at 15:52
Sorry, I've forgotten to correct some lines in the reproductible example. necvertheless, It still does not work on my computer. I'm becoming CRAZY. Still the same error warning!! – marino89 Aug 07 '12 at 15:59
@marino89: you can try upgrading to current versions of quantmod, xts, R, etc. and see if that helps. I still can't reproduce any error. – Joshua Ulrich Aug 07 '12 at 16:01
I'm using the lastest version of R Studio and I downloaded all the packages one week ago. Thanks a lot for your patience Joshua Ulrich, you are very helpful! – marino89 Aug 07 '12 at 16:05
IT WORKS!!! FINALLY. I've unistalled and re-installed all the needed pakages. Thanks a lot for your help Joshua Ulrich, I couldn't go on without your help. – marino89 Aug 07 '12 at 16:11

Error in xts(new.x, x.index) : order.by requires an appropriate time-based object

1 Answers1