Splitting by time constraint or when condition is true

Specific methods for segmenting on time ranges or if condition is met is supported with the following methods.

when

The when methods allows aggregating elements from a TimeArray into specific time periods, such as Mondays or the month of October:

julia> using TimeSeries

julia> using MarketData

julia> when(cl, dayofweek, 1)
95x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 2000-01-03 to 2001-12-31
│            │ Close  │
├────────────┼────────┤
│ 2000-01-03 │ 111.94 │
│ 2000-01-10 │ 97.75  │
│ 2000-01-24 │ 106.25 │
│ 2000-01-31 │ 103.75 │
│ 2000-02-07 │ 114.06 │
│ 2000-02-14 │ 115.81 │
│ 2000-02-28 │ 113.25 │
│ 2000-03-06 │ 125.69 │
│ 2000-03-13 │ 121.31 │
   ⋮
│ 2001-11-12 │ 18.75  │
│ 2001-11-19 │ 20.0   │
│ 2001-11-26 │ 21.37  │
│ 2001-12-03 │ 21.05  │
│ 2001-12-10 │ 22.54  │
│ 2001-12-17 │ 20.62  │
│ 2001-12-24 │ 21.36  │
│ 2001-12-31 │ 21.9   │

julia> when(cl, dayname, "Monday")
95x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 2000-01-03 to 2001-12-31
│            │ Close  │
├────────────┼────────┤
│ 2000-01-03 │ 111.94 │
│ 2000-01-10 │ 97.75  │
│ 2000-01-24 │ 106.25 │
│ 2000-01-31 │ 103.75 │
│ 2000-02-07 │ 114.06 │
│ 2000-02-14 │ 115.81 │
│ 2000-02-28 │ 113.25 │
│ 2000-03-06 │ 125.69 │
│ 2000-03-13 │ 121.31 │
   ⋮
│ 2001-11-12 │ 18.75  │
│ 2001-11-19 │ 20.0   │
│ 2001-11-26 │ 21.37  │
│ 2001-12-03 │ 21.05  │
│ 2001-12-10 │ 22.54  │
│ 2001-12-17 │ 20.62  │
│ 2001-12-24 │ 21.36  │
│ 2001-12-31 │ 21.9   │

The period argument holds a valid Date method. Below are currently available alternatives.

from

The from method truncates a TimeArray starting with the date passed to the method:

julia> using TimeSeries

julia> using MarketData

julia> from(cl, Date(2001, 12, 27))
3x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 2001-12-27 to 2001-12-31
│            │ Close │
├────────────┼───────┤
│ 2001-12-27 │ 22.07 │
│ 2001-12-28 │ 22.43 │
│ 2001-12-31 │ 21.9  │

to

The to method truncates a TimeArray after the date passed to the method:

julia> using TimeSeries

julia> using MarketData

julia> to(cl, Date(2000, 1, 5))
3x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 2000-01-03 to 2000-01-05
│            │ Close  │
├────────────┼────────┤
│ 2000-01-03 │ 111.94 │
│ 2000-01-04 │ 102.5  │
│ 2000-01-05 │ 104.0  │

findwhen

The findwhen method test a condition and returns a vector of Date or DateTime where the condition is true:

julia> using TimeSeries

julia> using MarketData

julia> green = findwhen(ohlc["Close"] .> ohlc["Open"]);

julia> typeof(green)
Array{Date,1}

julia> ohlc[green]
244x4 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-03 to 2001-12-28
│            │ Open   │ High   │ Low    │ Close  │
├────────────┼────────┼────────┼────────┼────────┤
│ 2000-01-03 │ 104.88 │ 112.5  │ 101.69 │ 111.94 │
│ 2000-01-05 │ 103.75 │ 110.56 │ 103.0  │ 104.0  │
│ 2000-01-07 │ 96.5   │ 101.0  │ 95.5   │ 99.5   │
│ 2000-01-13 │ 94.48  │ 98.75  │ 92.5   │ 96.75  │
│ 2000-01-14 │ 100.0  │ 102.25 │ 99.38  │ 100.44 │
│ 2000-01-18 │ 101.0  │ 106.0  │ 100.44 │ 103.94 │
│ 2000-01-19 │ 105.62 │ 108.75 │ 103.38 │ 106.56 │
│ 2000-01-25 │ 105.0  │ 113.12 │ 102.38 │ 112.25 │
│ 2000-01-26 │ 110.0  │ 114.19 │ 109.75 │ 110.19 │
   ⋮
│ 2001-12-10 │ 22.29  │ 22.99  │ 22.23  │ 22.54  │
│ 2001-12-17 │ 20.4   │ 21.0   │ 20.19  │ 20.62  │
│ 2001-12-18 │ 20.89  │ 21.33  │ 20.22  │ 21.01  │
│ 2001-12-19 │ 20.58  │ 21.68  │ 20.47  │ 21.62  │
│ 2001-12-24 │ 20.9   │ 21.45  │ 20.9   │ 21.36  │
│ 2001-12-26 │ 21.35  │ 22.3   │ 21.14  │ 21.49  │
│ 2001-12-27 │ 21.58  │ 22.25  │ 21.58  │ 22.07  │
│ 2001-12-28 │ 21.97  │ 23.0   │ 21.96  │ 22.43  │

find

The find method tests a condition and returns a vector of Int representing the row in the array where the condition is true:

julia> using TimeSeries

julia> using MarketData

julia> red = find(ohlc["Close"] .< ohlc["Open"]);

julia> typeof(red)
Array{Int64,1}

julia> ohlc[red]
252x4 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-04 to 2001-12-31
│            │ Open   │ High   │ Low    │ Close  │
├────────────┼────────┼────────┼────────┼────────┤
│ 2000-01-04 │ 108.25 │ 110.62 │ 101.19 │ 102.5  │
│ 2000-01-06 │ 106.12 │ 107.0  │ 95.0   │ 95.0   │
│ 2000-01-10 │ 102.0  │ 102.25 │ 94.75  │ 97.75  │
│ 2000-01-11 │ 95.94  │ 99.38  │ 90.5   │ 92.75  │
│ 2000-01-12 │ 95.0   │ 95.5   │ 86.5   │ 87.19  │
│ 2000-01-20 │ 115.5  │ 121.5  │ 113.5  │ 113.5  │
│ 2000-01-21 │ 114.25 │ 114.25 │ 110.19 │ 111.31 │
│ 2000-01-24 │ 108.44 │ 112.75 │ 105.12 │ 106.25 │
│ 2000-01-28 │ 108.19 │ 110.88 │ 100.62 │ 101.62 │
   ⋮
│ 2001-12-06 │ 23.48  │ 23.5   │ 22.14  │ 22.78  │
│ 2001-12-11 │ 22.67  │ 22.85  │ 21.65  │ 21.78  │
│ 2001-12-12 │ 21.87  │ 21.92  │ 21.25  │ 21.49  │
│ 2001-12-13 │ 21.49  │ 21.55  │ 20.5   │ 21.0   │
│ 2001-12-14 │ 20.73  │ 20.83  │ 20.09  │ 20.39  │
│ 2001-12-20 │ 21.4   │ 21.47  │ 20.62  │ 20.67  │
│ 2001-12-21 │ 21.01  │ 21.54  │ 20.8   │ 21.0   │
│ 2001-12-31 │ 22.51  │ 22.66  │ 21.83  │ 21.9   │

Splitting by head and tail

head

The head method defaults to returning only the first value in a TimeArray. By selecting the second positional argument to a different value, the user can modify how many from the top are selected:

julia> using TimeSeries

julia> using MarketData

julia> head(cl)
1x1 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-03 to 2000-01-03
│            │ Close  │
├────────────┼────────┤
│ 2000-01-03 │ 111.94 │

tail

The tail method defaults to returning only the last value in a TimeArray. By selecting the second positional argument to a different value, the user can modify how many from the bottom are selected:

julia> using TimeSeries

julia> using MarketData

julia> tail(cl)
1x1 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2001-12-31 to 2001-12-31
│            │ Close │
├────────────┼───────┤
│ 2001-12-31 │ 21.9  │

julia> tail(cl, 3)
3x1 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2001-12-27 to 2001-12-31
│            │ Close │
├────────────┼───────┤
│ 2001-12-27 │ 22.07 │
│ 2001-12-28 │ 22.43 │
│ 2001-12-31 │ 21.9  │