Why does xts change the date one day ago when creating an xts object from a data frame when TZ is not specified?

Question

Let me start by ?xts at ?xts , I realized that this is a problem with the time zone, and seems to fix it, but I don’t understand why this is happening. So: I have a simple frame of price data. When I convert it to an xts object, the first date of the xts object xts a day earlier than the first date in the data frame. If I specify the time zone, the date matching issue will disappear. At first I thought that maybe because xts() assumes that the date order.by without TZ is UMT, and Sys.timezone() gives me "JST", but I don’t understand why this will lead to a date that is full a day earlier ...?

Q. Why is this happening?

 require(xts) aa <- structure(list(Date = structure(c(6822, 6823, 6824, 6825, 6826, 6829), class = "Date"), Open = c(2145, 2126, 2130, 2148, 2144, 2137), High = c(2148, 2131, 2141, 2152, 2146, 2151), Low = c(2124, 2111, 2128, 2140, 2135, 2136), Close = c(2124, 2120, 2141, 2140, 2140, 2149), Volume = c(0L, 0L, 0L, 0L, 0L, 0L)), .Names = c("Date", "Open", "High", "Low", "Close", "Volume"), row.names = c(NA, 6L), class = "data.frame") str(aa) aa bb <- xts(aa[5], order.by = aa$Date) str(bb) bb ## first date is a day earlier than the first day of the data frame bb <- xts(aa[5], order.by = aa$Date, tzone = Sys.getenv("TZ")) str(bb) bb ## first dates in xts object and data frame match... 

This event is included:

 sessionInfo(): R version 2.15.1 (2012-06-22) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United Kingdom.1252 [2] LC_CTYPE=English_United Kingdom.1252 [3] LC_MONETARY=English_United Kingdom.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United Kingdom.1252 attached base packages: [1] grid stats graphics grDevices utils datasets methods [8] base other attached packages: [1] gridExtra_0.9.1 scales_0.2.2 plyr_1.7.1 ggplot2_0.9.2.1 [5] lubridate_1.2.0 quantmod_0.3-17 TTR_0.21-1 xts_0.8-8 [9] zoo_1.7-9 Defaults_1.1-1 loaded via a namespace (and not attached): [1] colorspace_1.2-0 dichromat_1.2-4 digest_0.5.2 gtable_0.1.1 [5] labeling_0.1 lattice_0.20-10 MASS_7.3-22 memoise_0.1 [9] munsell_0.4 proto_0.3-9.2 RColorBrewer_1.0-5 reshape2_1.2.1 [13] stringr_0.6.1 

Answer 1

I don’t know, and I can’t exactly reproduce your problem, but I believe that this is due to the fact that Date forced to POSIXct and vice versa.

This line is in the code for the xts function:

 if (inherits(order.by, "Date") && !missing(tzone)) order.by <- .POSIXct(unclass(order.by) * 86400, tz = tzone) 

At the first call, tzone absent, therefore this code is not executed. In your second call, tzone not missing , so it executes.

If you go through the code in xts.R, you will see that (if tzone missing ) Dates in aa$Date forced to POSIXct .

 index <- as.numeric(as.POSIXct(order.by)) 

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I think the problem is that as.Date.POSIXct has a default value of tz="UTC" , so it is used if you did not specify another.

 x <- structure(1290125760, tzone = structure("America/Chicago", .Names = "TZ"), tclass = c("POSIXt", "POSIXct"), class = c("POSIXct", "POSIXt")) x #[1] "2010-11-18 18:16:00 CST" str(x) #POSIXct[1:1], format: "2010-11-18 18:16:00" as.Date(x) #[1] "2010-11-19" as.Date(x, origin=as.Date("1970-01-01"), tz="America/Chicago") #[1] "2010-11-18"