Time Series Data Wrangling

Matt Dancho

2021-01-18

A collection of tools for working with time series in R

Time series data wrangling is an essential skill for any forecaster. timetk includes the essential data wrangling tools. In this tutorial:

Additional concepts covered:

library(tidyverse)
library(tidyquant) 
library(timetk)

Data

This tutorial will use the FANG dataset:

FANG
## # A tibble: 4,032 x 8
##    symbol date        open  high   low close    volume adjusted
##    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>     <dbl>    <dbl>
##  1 FB     2013-01-02  27.4  28.2  27.4  28    69846400     28  
##  2 FB     2013-01-03  27.9  28.5  27.6  27.8  63140600     27.8
##  3 FB     2013-01-04  28.0  28.9  27.8  28.8  72715400     28.8
##  4 FB     2013-01-07  28.7  29.8  28.6  29.4  83781800     29.4
##  5 FB     2013-01-08  29.5  29.6  28.9  29.1  45871300     29.1
##  6 FB     2013-01-09  29.7  30.6  29.5  30.6 104787700     30.6
##  7 FB     2013-01-10  30.6  31.5  30.3  31.3  95316400     31.3
##  8 FB     2013-01-11  31.3  32.0  31.1  31.7  89598000     31.7
##  9 FB     2013-01-14  32.1  32.2  30.6  31.0  98892800     31.0
## 10 FB     2013-01-15  30.6  31.7  29.9  30.1 173242600     30.1
## # … with 4,022 more rows

The adjusted column contains the adjusted closing prices for each day.

FANG %>%
  group_by(symbol) %>%
  plot_time_series(date, adjusted, .facet_ncol = 2, .interactive = FALSE)

The volume column contains the trade volume (number of times the stock was transacted) for the day.

FANG %>%
  group_by(symbol) %>%
  plot_time_series(date, volume, .facet_ncol = 2, .interactive = FALSE)

Summarize by Time

summarise_by_time() aggregates by a period. It’s great for:

Period Summarization

Objective: Get the total trade volume by quarter

FANG %>%
  group_by(symbol) %>%
  summarise_by_time(
    date, .by = "quarter",
    volume = SUM(volume)
  ) %>%
  plot_time_series(date, volume, .facet_ncol = 2, .interactive = FALSE, .y_intercept = 0)

Period Smoothing

Objective: Get the first value in each month

FANG %>%
  group_by(symbol) %>%
  summarise_by_time(
    date, .by = "month",
    adjusted = FIRST(adjusted)
  ) %>%
  plot_time_series(date, adjusted, .facet_ncol = 2, .interactive = FALSE)

Filter By Time

Used to quickly filter a continuous time range.

Time Range Filtering

Objective: Get the adjusted stock prices in the 3rd quarter of 2013.

FANG %>%
  group_by(symbol) %>%
  filter_by_time(date, "2013-09", "2013") %>%
  plot_time_series(date, adjusted, .facet_ncol = 2, .interactive = FALSE)

Padding Data

Used to fill in (pad) gaps and to go from from low frequency to high frequency. This function uses the awesome padr library for filling and expanding timestamps.

Fill in Gaps

Objective: Make an irregular series regular.

FANG %>%
  group_by(symbol) %>%
  pad_by_time(date, .by = "auto") # Guesses .by = "day"
## pad applied on the interval: day
## pad applied on the interval: day
## pad applied on the interval: day
## pad applied on the interval: day
## # A tibble: 5,836 x 8
## # Groups:   symbol [4]
##    symbol date        open  high   low close    volume adjusted
##    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>     <dbl>    <dbl>
##  1 FB     2013-01-02  27.4  28.2  27.4  28    69846400     28  
##  2 FB     2013-01-03  27.9  28.5  27.6  27.8  63140600     27.8
##  3 FB     2013-01-04  28.0  28.9  27.8  28.8  72715400     28.8
##  4 FB     2013-01-05  NA    NA    NA    NA          NA     NA  
##  5 FB     2013-01-06  NA    NA    NA    NA          NA     NA  
##  6 FB     2013-01-07  28.7  29.8  28.6  29.4  83781800     29.4
##  7 FB     2013-01-08  29.5  29.6  28.9  29.1  45871300     29.1
##  8 FB     2013-01-09  29.7  30.6  29.5  30.6 104787700     30.6
##  9 FB     2013-01-10  30.6  31.5  30.3  31.3  95316400     31.3
## 10 FB     2013-01-11  31.3  32.0  31.1  31.7  89598000     31.7
## # … with 5,826 more rows

Low to High Frequency

Objective: Go from Daily to Hourly timestamp intervals for 1 month from the start date. Impute the missing values.

FANG %>%
  group_by(symbol) %>%
  pad_by_time(date, .by = "hour") %>%
  mutate_at(vars(open:adjusted), .funs = ts_impute_vec, period = 1) %>%
  filter_by_time(date, "start", FIRST(date) %+time% "1 month") %>%
  plot_time_series(date, adjusted, .facet_ncol = 2, .interactive = FALSE) 

Sliding (Rolling) Calculations

We have a new function, slidify() that turns any function into a sliding (rolling) window function. It takes concepts from tibbletime::rollify() and it improves them with the R package slider.

Rolling Mean

Objective: Calculate a “centered” simple rolling average with partial window rolling and the start and end windows.

# Make the rolling function
roll_avg_30 <- slidify(.f = AVERAGE, .period = 30, .align = "center", .partial = TRUE)

# Apply the rolling function
FANG %>%
  select(symbol, date, adjusted) %>%
  group_by(symbol) %>%
  # Apply Sliding Function
  mutate(rolling_avg_30 = roll_avg_30(adjusted)) %>%
  pivot_longer(cols = c(adjusted, rolling_avg_30)) %>%
  plot_time_series(date, value, .color_var = name,
                   .facet_ncol = 2, .smooth = FALSE, 
                   .interactive = FALSE)

For simple rolling calculations (rolling average), we can accomplish this operation faster with slidify_vec() - A vectorized rolling function for simple summary rolls (e.g. mean(), sd(), sum(), etc)

FANG %>%
  select(symbol, date, adjusted) %>%
  group_by(symbol) %>%
  # Apply roll apply Function
  mutate(rolling_avg_30 = slidify_vec(adjusted,  ~ AVERAGE(.), 
                                      .period = 30, .partial = TRUE))
## # A tibble: 4,032 x 4
## # Groups:   symbol [4]
##    symbol date       adjusted rolling_avg_30
##    <chr>  <date>        <dbl>          <dbl>
##  1 FB     2013-01-02     28             30.0
##  2 FB     2013-01-03     27.8           30.1
##  3 FB     2013-01-04     28.8           30.2
##  4 FB     2013-01-07     29.4           30.2
##  5 FB     2013-01-08     29.1           30.3
##  6 FB     2013-01-09     30.6           30.3
##  7 FB     2013-01-10     31.3           30.3
##  8 FB     2013-01-11     31.7           30.2
##  9 FB     2013-01-14     31.0           30.1
## 10 FB     2013-01-15     30.1           30.1
## # … with 4,022 more rows

Rolling Regression

Objective: Calculate a rolling regression.

# Rolling regressions are easy to implement using `.unlist = FALSE`
lm_roll <- slidify(~ lm(..1 ~ ..2 + ..3), .period = 90, 
                   .unlist = FALSE, .align = "right")


FANG %>%
  select(symbol, date, adjusted, volume) %>%
  group_by(symbol) %>%
  mutate(numeric_date = as.numeric(date)) %>%
  # Apply rolling regression
  mutate(rolling_lm = lm_roll(adjusted, volume, numeric_date)) %>%
  filter(!is.na(rolling_lm))
## # A tibble: 3,676 x 6
## # Groups:   symbol [4]
##    symbol date       adjusted   volume numeric_date rolling_lm
##    <chr>  <date>        <dbl>    <dbl>        <dbl> <list>    
##  1 FB     2013-05-10     26.7 30847100        15835 <lm>      
##  2 FB     2013-05-13     26.8 29068800        15838 <lm>      
##  3 FB     2013-05-14     27.1 24930300        15839 <lm>      
##  4 FB     2013-05-15     26.6 30299800        15840 <lm>      
##  5 FB     2013-05-16     26.1 35499100        15841 <lm>      
##  6 FB     2013-05-17     26.2 29462700        15842 <lm>      
##  7 FB     2013-05-20     25.8 42402900        15845 <lm>      
##  8 FB     2013-05-21     25.7 26261300        15846 <lm>      
##  9 FB     2013-05-22     25.2 45314500        15847 <lm>      
## 10 FB     2013-05-23     25.1 37663100        15848 <lm>      
## # … with 3,666 more rows

Learning More

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