Get last high frequency observations

Get last high frequency observations

get_last_n_obs(hf_data, lf_date, n_lags = 1, one_row = TRUE)

Arguments

hf_data	high frequency data
lf_date	low frequency date
n_lags	number of lags to add
one_row	output representation

Value

tsibble with high frequency lags added

Details

Get last high frequency observations. The function cuts n_lags observations from the table hf_data, that are from the same day or before as the date indicated by lf_date. If one_row is TRUE the result is stacked in a row, otherwise the result is a column.

Examples

hf_data <- tibble::tibble(date = lubridate::ymd("2011-01-01") +
           lubridate::days(0:60), observations = rnorm(61))
get_last_n_obs(hf_data, "2011-02-23", n_lags = 7,
           one_row = FALSE)
#> # A tibble: 7 x 2
#>   hf_date    observations
#>   <date>            <dbl>
#> 1 2011-02-17      -0.509 
#> 2 2011-02-18      -1.74  
#> 3 2011-02-19       0.0405
#> 4 2011-02-20      -0.124 
#> 5 2011-02-21      -0.613 
#> 6 2011-02-22       0.161 
#> 7 2011-02-23      -0.662