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rarrayslist3dxts

How to use list of xts objects like a 3d array in R?


I want to access list of xts objects in such a way that it could be used as a 3d array.

Here is the sample data. Since this is just an example, I kept the same data in all objects.

data(sample_matrix)
sample.xts_1 <- as.xts(sample_matrix, descr='Object 1')
sample.xts_2 <- as.xts(sample_matrix, descr='Object 2')
sample.xts_3 <- as.xts(sample_matrix, descr='Object 3')

data_list = list(a = sample.xts_1, b = sample.xts_2, c = sample.xts_3)

And this data looks like this -

$a
           Open High  Low Close
2007-01-02 50.0 50.1 50.0  50.1
2007-01-03 50.2 50.4 50.2  50.4
$b
           Open High  Low Close
2007-01-02 50.0 50.1 50.0  50.1
2007-01-03 50.2 50.4 50.2  50.4
$c
           Open High  Low Close
2007-01-02 50.0 50.1 50.0  50.1
2007-01-03 50.2 50.4 50.2  50.4

Is there a simple way to access these list elements in the following fashion?

$open
            a    b    c 
2007-01-02 50.0 50.0 50.0 
2007-01-03 50.2 50.2 50.2 
2007-01-04 50.4 50.4 50.4 
2007-01-05 50.4 50.4 50.4 
2007-01-06 50.2 50.2 50.2 
2007-01-07 50.1 50.1 50.1 
2007-01-08 50.0 50.0 50.0 

$high
            a    b    c 
2007-01-02 50.1 50.1 50.1 
2007-01-03 50.4 50.4 50.4 
2007-01-04 50.4 50.4 50.4 
2007-01-05 50.4 50.4 50.4 
2007-01-06 50.2 50.2 50.2 
2007-01-07 50.2 50.2 50.2 
2007-01-08 50.1 50.1 50.1 

$low
            a    b    c 
2007-01-02 50.0 50.0 50.0 
2007-01-03 50.2 50.2 50.2 
2007-01-04 50.3 50.3 50.3 
2007-01-05 50.2 50.2 50.2 
2007-01-06 50.1 50.1 50.1 
2007-01-07 50.0 50.0 50.0 
2007-01-08 50.0 50.0 50.0 


$close
            a    b    c 
2007-01-02 50.1 50.1 50.1 
2007-01-03 50.4 50.4 50.4 
2007-01-04 50.3 50.3 50.3 
2007-01-05 50.3 50.3 50.3 
2007-01-06 50.2 50.2 50.2 
2007-01-07 50.0 50.0 50.0 
2007-01-08 50.0 50.0 50.0 

Solution

  • One option is to split by column, transpose the output and cbind it together

    library(purrr)
    out <- map(data_list, ~ asplit(.x, 2)) %>%
          transpose %>%
          map(~do.call(cbind, .x))
    
    map(out, head, 3)
    #$Open
    #                  a        b        c
    #2007-01-02 50.03978 50.03978 50.03978
    #2007-01-03 50.23050 50.23050 50.23050
    #2007-01-04 50.42096 50.42096 50.42096
    
    #$High
    #                  a        b        c
    #2007-01-02 50.11778 50.11778 50.11778
    #2007-01-03 50.42188 50.42188 50.42188
    #2007-01-04 50.42096 50.42096 50.42096
    
    #$Low
    #                  a        b        c
    #2007-01-02 49.95041 49.95041 49.95041
    #2007-01-03 50.23050 50.23050 50.23050
    #2007-01-04 50.26414 50.26414 50.26414
    
    #$Close
    #                  a        b        c
    #2007-01-02 50.11778 50.11778 50.11778
    #2007-01-03 50.39767 50.39767 50.39767
    #2007-01-04 50.33236 50.33236 50.33236