将 NA 更改为内插扁条 [英] Change NAs to interpolated flat bars
问题描述
如果我有一些 OHLC 数据和一些 NA 行，那么 R 包之一中是否已经有一个函数可以插入数据?
If I have some OHLC data, with some NA rows, is there already a function in one of the R packages that will interpolate data?
na.locf 有两个缺点:
- 它是平的，然后突然跳跃
- 天真地使用，它会重复整个最后一根柱线，包括高/低
更新: na.approx 在第一方面优于 na.locf，感谢 Dirk，但我仍在寻找bar-aware 的现有函数.IE.这将从前一个柱线的收盘价插入到下一个非 NA 柱线的开盘价，并将创建扁平柱线.如果将音量设置为零，则奖励积分！(所以，我怀疑我的问题的答案将是否"，我会自己动手……但我会再等一段时间.)
UPDATE: na.approx is superior to na.locf in the first respect, thanks Dirk, but I'm still searching for an existing function that is bar-aware. I.e. that will interpolate from the close of previous bar to the open of the next non-NA bar, and will create flat bars. Bonus points if it sets volume to zero! (So, I suspect the answer to my question is going to be "No", and I'll roll-my-own... but I'll wait a bit longer.)
执行摘要:na.spline富有想象力，请谨慎使用！
Executive summary: na.spline is imaginative, use with care!
这是一些外汇数据(仅限收盘价)，原始数据为蓝色，na.approx 连接以绿色显示:
Here is some FX data (close prices only) with the original data in blue, and the na.approx joins shown in green:
然后这里是相同的数据，但是使用了na.spline:
Then here is the same data, but using na.spline:
特别令人担忧的是，na.spline 决定创造一个新的高点！
Of particular concern is that na.spline has decided to create a new high!
推荐答案
除了 na.locf() 之外，动物园:
na.aggregate()na.approx()na.fill()na.spline()na.trim()
和 na.approx() 或 na.spline() 为您提供插值.
and na.approx() or na.spline() offer you interpolation.
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