Function to create trading days/weeks from a tsibble/grouped tsibble

TradingDayCreator(data, DateVar, key)

Arguments

data	A tidyquant daily OHLC tibble.
DateVar	A time index for the tsibble.
key	The key for the tsibble supplied.

Value

A tsibble indexed by trading_day. The function will also work with generic messy time units such as weeks.

Examples

data(FANG)
TradingDayCreator(FANG, DateVar=date, key=symbol)
#> Joining, by = "symbol"
#> Joining, by = "date"
#> # A tsibble: 4,032 x 9 [1]
#> # Key:       symbol [4]
#>    symbol date        open  high   low close  volume adjusted trading_day
#>    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>   <dbl>    <dbl>       <int>
#>  1 AMZN   2013-01-02  256.  258.  253.  257. 3271000     257.           1
#>  2 AMZN   2013-01-03  257.  261.  256.  258. 2750900     258.           2
#>  3 AMZN   2013-01-04  258.  260.  257.  259. 1874200     259.           3
#>  4 AMZN   2013-01-07  263.  270.  263.  268. 4910000     268.           4
#>  5 AMZN   2013-01-08  267.  269.  264.  266. 3010700     266.           5
#>  6 AMZN   2013-01-09  268.  270.  265.  266. 2265600     266.           6
#>  7 AMZN   2013-01-10  269.  269.  262.  265. 2863400     265.           7
#>  8 AMZN   2013-01-11  265.  268.  264.  268. 2413300     268.           8
#>  9 AMZN   2013-01-14  268   274.  268.  273. 4275000     273.           9
#> 10 AMZN   2013-01-15  271.  273.  269.  272. 2326900     272.          10
#> # … with 4,022 more rows