Create time intervals of a time vector

Hi everyone!

I´m trying to create 15-minute intervals of a time vector. My original time vector is as follows:

09:00:16
09:00:17
09:00:18
09:00:25
...
09:15:16
09:15:17
..
09:30:16
09:30:17
..
up to the closing hour of the exchange

17:30:00
Is there anyway I could reduce this time vector to just something like :

09:00:00
09:15:00
09:30:00
09:45:00
10:00:00
up until the closing of the exchange
...
17:15:00
17:30:00

I would really appreciate any help, because I have been trying first to convert the time vector into numeric data and from that calculating the 15-minute intervals, but from there I don´t know how to bring it back to a time vector format. Especially because I am also computing 15-minute intervals of stock prices and I need to have it all together in a matrix of file together like this :

All=[Date Time Stock Price]

Once again thank you very much and have a very nice weekend :)

Lourdes

Answer 1

[Oleg Komarov]

Vector of 9:00 - 17:30 with 15 mins increments (24 hours a day, 96 quarters a day)

dv = 9/24:1/96:17/24+2/96;

Visualize result

datestr(dv)
ans =
 9:00 AM
 9:15 AM
 ...
 5:30 PM

If you want to apply the solution to a range of days (eventually excluding saturdays and sundays):

1. Initial and final date

infi = {'15/01/2011'
        '17/01/2011'};
days = infi(1):infi(2);
infi = datenum(infi,'dd/mm/yyyy');

2. Exclude sundays and saturdays (uncomment)

% days = days(~ismember(weekday(days),[1 7]));

3. Add dv

out  = bsxfun(@plus, days, dv.');

4. Visualize result

datestr(out)

[Lu]

Dear Oleg,

Thank you so much for your reply! It has been really helpful! I´m actually just using monday to friday dates and what you proposed works wonderfully, but I have a tiny question. Since these 15-min intervals also include 15-min intervals of stock prices which I have as doubles, when I try to create a matrix containing both strings a doubles, Matlab says there is a problem with horzcat. I wanted something like this :

date(string) hour(string) price1(double) price2(double)

Is there anyway I could have this all put together into a matrix form or save it as a .mat file? I´m sorry to ask but I´m kind of learning by doing and I don´t know much of Matlab.

Thank you for helping me :)

Lourdes

[Oleg Komarov]

You cannot concatenate strings with double in a matrix (or more generally in a double array).

You should use a cell array:

{'01/01/2001' '09:30 AM' 23.23 23.29

'01/01/2001' '09:45 AM' 23.15 0.01} % Oh noooooooooo!!!! :)

If you want to save it as a txt, then go ahead and use the cell array.

Otherwise, I would suggest to keep the numeric dates:

- less memory consumption

- faster

- easier to manipulate

If you're gonna use several days for several securities you're not gonna scroll visually the dates anyways!

[Lu]

Dear Oleg,

Thank you so much for your help! I still don´t know what to do, because as you say, I have several days for several securities, and I need kind of an efficient way of visualizing the data set as

Day Hour Stock Price1 Price 2

and I guess saving my output as a .mat files seems a bit easier for me because I have so much trouble loading .txt files using textscan :S. Is there a way of going back from numeric dates to normal dates?

Have a nice weekend!! :)

[Oleg Komarov]

You can plot the series with the numeric dates and then use datetick to adapt to convert the labels to the desired date format (more feasible than scroolling down a cell array)

In general, to convert the numeric date to stringdate use datestr.

If you have troubles with textscan, open a new thread, post the first lines of your file, the code you're using (formatted), any error and the request for what you're trying to achieve.