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Asked: 2026-06-10T07:16:56+00:00

I couldn’t find a solution to this on net. The two xts objects match

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I couldn’t find a solution to this on net. The two xts objects match on number of rows and columns. Still I get following error for merge operation – “number of items to replace is not a multiple of replacement length”.

Following is the R code along with printed output at interim steps. I am bit new to R. So if you notice any steps in program that could be done better then can you advise me on that as well. Thanks.

> # LOAD THE SPY DATA AND CREATE A DATA FRAME WITH RETURN COLUMN
> library(quantmod)
> library(PerformanceAnalytics)
> getSymbols("SPY", src='yahoo', index.class=c("POSIXt","POSIXct"), from='2002-01-01')
> SPY<-to.monthly(SPY)
> SPY.ret<-Return.calculate(SPY$SPY.Close)
> print(head(SPY.ret))
            SPY.Close
Jan 2002           NA
Feb 2002 -0.018098831
Mar 2002  0.029868840
Apr 2002 -0.059915390
May 2002 -0.005951292
Jun 2002 -0.080167070
> index(SPY.ret) = as.Date(index(SPY))  # Convert to Date format as xts index is a Date.
> colnames(SPY.ret) <- "SPY"
> print(head(SPY.ret))
                    SPY
2002-01-01           NA
2002-02-01 -0.018098831
2002-03-01  0.029868840
2002-04-01 -0.059915390
2002-05-01 -0.005951292
2002-06-01 -0.080167070

> #LOAD THE TRADE FILE & CREATE A DATA FRAME WITH PROFIT COLUMN
> trades = as.xts(read.zoo(file="Anvi/CSV/ARS_EW_R2_SPDR.csv", index.column="Exit.time", format="%m/%d/%Y", header=TRUE, sep=","))
Warning message:
In zoo(rval3, ix) :
  some methods for “zoo” objects do not work if the index entries in ‘order.by’ are not unique
> df = trades$Profit
> print(head(df))
           Profit        
2003-09-30 " 0.079734219"
2004-01-31 " 0.116722585"
2004-03-31 " 0.060347888"
2004-04-30 " 0.100379816"
2004-07-31 " 0.084048027"
2004-07-31 " 0.018710103"
> df$Profits = as.numeric(trades$Profit)
> df = df$Profit #Inefficent way to convert Profit column to numeric?
> print(head(df))
               Profit
2003-09-30 0.07973422
2004-01-31 0.11672259
2004-03-31 0.06034789
2004-04-30 0.10037982
2004-07-31 0.08404803
2004-07-31 0.01871010
> df = aggregate(df, by=index(df))
> colnames(df) = "Profit"
> print(head(df))
               Profit
2003-09-30 0.07973422
2004-01-31 0.11672259
2004-03-31 0.06034789
2004-04-30 0.10037982
2004-07-31 0.10275813
2004-11-30 0.02533904
> 
> #MERGE THE SPY RET AND TRADE RESULTS DATA FRAMES
> temp = head(df)
> temp1 = head(SPY.ret)
> print(temp)
               Profit
2003-09-30 0.07973422
2004-01-31 0.11672259
2004-03-31 0.06034789
2004-04-30 0.10037982
2004-07-31 0.10275813
2004-11-30 0.02533904
> print(temp1)
                    SPY
2002-01-01           NA      (Note: I tried replacing NA with 0 but still same error).
2002-02-01 -0.018098831
2002-03-01  0.029868840
2002-04-01 -0.059915390
2002-05-01 -0.005951292
2002-06-01 -0.080167070
> mdf = merge(x=temp, y=temp1, all=TRUE)
Error in z[match0(index(a), indexes), ] <- a[match0(indexes, index(a)),  : 
  number of items to replace is not a multiple of replacement length
>

What I am trying to do above is merge the objects such that resulting object’s index is a UNION and has two columns “SPY”, “PROFIT”. The empty cells in each of the columns in the merged object are filled with 0.

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1 Answer

  1. Editorial Team

    aggregate returns a zoo object, not an xts object. That means the zoo method of merge is being dispatched instead of the xts method. Your code works fine if both objects are xts objects.

    temp <- 
  structure(c(0.07973422, 0.11672259, 0.06034789, 0.10037982, 0.10275813, 
  0.02533904), .Dim = c(6L, 1L), index = structure(c(12325, 12448, 
  12508, 12538, 12630, 12752), class = "Date"), class = "zoo",
 .Dimnames = list(NULL, "Profit"))
temp1 <-
  structure(c(NA, -0.018098831, 0.02986884, -0.05991539, -0.005951292, 
  -0.08016707), .Dim = c(6L, 1L), index = structure(c(1009864800, 
  1012543200, 1014962400, 1017640800, 1020229200, 1022907600), tzone = "",
  tclass = "Date"), .indexCLASS = "Date", tclass = "Date", .indexTZ = "",
  tzone = "", .Dimnames = list(NULL, "SPY"), class = c("xts", "zoo"))
merge(temp, temp1)  # error
merge(as.xts(temp), temp1, fill=0)  # works, filled with zeros
#                Profit          SPY
# 2002-01-01 0.00000000           NA
# 2002-02-01 0.00000000 -0.018098831
# 2002-03-01 0.00000000  0.029868840
# 2002-04-01 0.00000000 -0.059915390
# 2002-05-01 0.00000000 -0.005951292
# 2002-06-01 0.00000000 -0.080167070
# 2003-09-30 0.07973422  0.000000000
# 2004-01-31 0.11672259  0.000000000
# 2004-03-31 0.06034789  0.000000000
# 2004-04-30 0.10037982  0.000000000
# 2004-07-31 0.10275813  0.000000000
# 2004-11-30 0.02533904  0.000000000
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