Making irregular intraday-day data regular

Earlier in this chapter, you learned how to create a regular daily series from irregular daily data by merging a zero-width xts object with the irregular data. In this lesson, you will do the same thing with irregular intra-day data.

One difficulty with intra-day financial data is that it often does not span a full 24 hour period. Most markets are usually closed at least part of the day. This example will assume markets open at 9AM and close at 4PM Monday through Friday.

Also, your irregular data may not contain an observation exactly at the market open and/or close. In that case, you wouldn't be able to use start() and end() like you could in the daily data exercise. In order to create a regular date-time sequence, you will need to manually specify the start and end date-times when creating the regular date-time sequence.

The regular date-time sequence will include observations when the markets are closed, but you can use xts' time-of-day subsetting to keep only observations that occur when the market is open.

Instructions

Finish the command to create a regular, 30-minute date-time sequence, starting Monday at 9AM and ending Friday at 4PM.
Finish the command to create a zero-width xts object, by setting the values for x and order.by.
Create an object named merged_xts by merging irregular_xts and regular_xts and use the fill argument to fill any NA with their previous value.
Create an object named trade_day using xts' time-of-day subsetting to extract the data that occurs between 9AM and 4PM every day.

Take Hint (-30xp)