{"id":106021,"date":"2021-10-07T10:53:34","date_gmt":"2021-10-07T14:53:34","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=106021"},"modified":"2023-02-16T16:00:36","modified_gmt":"2023-02-16T21:00:36","slug":"how-to-fill-gaps-in-large-stock-data-universes-using-tidyr-and-dplyr-part-iii","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/how-to-fill-gaps-in-large-stock-data-universes-using-tidyr-and-dplyr-part-iii\/","title":{"rendered":"How to Fill Gaps in Large Stock Data Universes Using tidyr and dplyr \u2013 Part III"},"content":{"rendered":"\n<p><em>Learn how to use tidyverse&nbsp;with these practical examples in <a href=\"\/campus\/ibkr-quant-news\/how-to-fill-gaps-in-large-stock-data-universes-using-tidyr-and-dplyr-part-i\/\">Part I<\/a> and <a href=\"\/campus\/ibkr-quant-news\/how-to-fill-gaps-in-large-stock-data-universes-using-tidyr-and-dplyr-part-ii\/\">Part II<\/a>.<\/em><\/p>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"h-what-if-we-have-more-than-one-variable-in-our-orignal-data\">What if we have more than one variable in our orignal data?<\/h2>\n\n\n\n<p>One of the benefits of working with&nbsp;<a href=\"https:\/\/robotwealth.com\/financial-data-manipulation-in-dplyr-for-quant-traders\/\" target=\"_blank\" rel=\"noreferrer noopener\">longer \u201ctidy\u201d data<\/a>&nbsp;is that we can have multiple variables per date\/stock observation.<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>testwider &lt;- testdata %&gt;%\n  mutate(volume = 100:106,\n         otherfeature = 200:206)\ntestwider<\/code><\/pre>\n\n\n\n<pre class=\"wp-block-code\"><code>## # A tibble: 7 x 5\n##    date ticker returns volume otherfeature\n##   &lt;dbl&gt; &lt;chr&gt;    &lt;dbl&gt;  &lt;int&gt;        &lt;int&gt;\n## 1     1 AMZN      0.01    100          200\n## 2     1 FB        0.02    101          201\n## 3     2 AMZN      0.03    102          202\n## 4     2 FB        0.04    103          203\n## 5     2 TSLA      0.05    104          204\n## 6     3 AMZN      0.06    105          205\n## 7     3 TSLA      0.07    106          206<\/code><\/pre>\n\n\n\n<p>Again, we\u2019re missing data for TSLA on date 1 and FB on date 3, but now we\u2019re also missing&nbsp;<code>volume<\/code>&nbsp;and&nbsp;<code>otherfeature<\/code>&nbsp;in addition to&nbsp;<code>returns<\/code>.<\/p>\n\n\n\n<p>To use&nbsp;<code>complete<\/code>, nothing changes from earlier:<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>testwider %&gt;%\n  complete(date, ticker)<\/code><\/pre>\n\n\n\n<pre class=\"wp-block-code\"><code>## # A tibble: 9 x 5\n##    date ticker returns volume otherfeature\n##   &lt;dbl&gt; &lt;chr&gt;    &lt;dbl&gt;  &lt;int&gt;        &lt;int&gt;\n## 1     1 AMZN      0.01    100          200\n## 2     1 FB        0.02    101          201\n## 3     1 TSLA     NA        NA           NA\n## 4     2 AMZN      0.03    102          202\n## 5     2 FB        0.04    103          203\n## 6     2 TSLA      0.05    104          204\n## 7     3 AMZN      0.06    105          205\n## 8     3 FB       NA        NA           NA\n## 9     3 TSLA      0.07    106          206<\/code><\/pre>\n\n\n\n<p>However if we want to pivot back and forth, we do the following:<\/p>\n\n\n\n<ul class=\"wp-block-list\"><li>use&nbsp;<code>pivot_wide<\/code>&nbsp;to reshape the data to row per date, with a column for each stock<\/li><li>use&nbsp;<code>pivot_long<\/code>&nbsp;to reshape it back to its longer format<\/li><li>use&nbsp;<code>left_join<\/code>&nbsp;to recover the rest of the variables from the original data.<\/li><\/ul>\n\n\n\n<pre class=\"wp-block-code\"><code>testwider %&gt;%\n  pivot_wider(id_cols = date, names_from = ticker, values_from = returns) %&gt;%\n  pivot_longer(-date, names_to = 'ticker', values_to =  'returns') %&gt;%\n  left_join(testwider, by = c('date', 'ticker', 'returns'))<\/code><\/pre>\n\n\n\n<pre class=\"wp-block-code\"><code>## # A tibble: 9 x 5\n##    date ticker returns volume otherfeature\n##   &lt;dbl&gt; &lt;chr&gt;    &lt;dbl&gt;  &lt;int&gt;        &lt;int&gt;\n## 1     1 AMZN      0.01    100          200\n## 2     1 FB        0.02    101          201\n## 3     1 TSLA     NA        NA           NA\n## 4     2 AMZN      0.03    102          202\n## 5     2 FB        0.04    103          203\n## 6     2 TSLA      0.05    104          204\n## 7     3 AMZN      0.06    105          205\n## 8     3 FB       NA        NA           NA\n## 9     3 TSLA      0.07    106          206<\/code><\/pre>\n\n\n\n<h2 class=\"wp-block-heading\">Conclusions<\/h2>\n\n\n\n<ul class=\"wp-block-list\"><li>Missing values in financial data threaten the validity of quant analysis due to inadvertent misalignment<\/li><li>Wide data tends to highlight such missing data<\/li><li>Long data tends to hide it<\/li><li><code>tidyr::complete<\/code>&nbsp;is a succinct and efficient way to ensure that missing observations are accounted for with&nbsp;<code>NA<\/code><\/li><li>Like most tasks in R, there is more than one way to go about it. But&nbsp;<code>complete<\/code>&nbsp;should be your go-to function.<\/li><\/ul>\n\n\n\n<h2 class=\"wp-block-heading\">Want all the code?<\/h2>\n\n\n\n<p>All the code in this post is available in our&nbsp;<a href=\"https:\/\/github.com\/Robot-Wealth\/r-quant-recipes\/tree\/master\/financial-data-munging\" target=\"_blank\" rel=\"noreferrer noopener\">github repo<\/a>&nbsp;where you can find lots of other recipes and tools to make your life as a quant researcher easier.<\/p>\n\n\n\n<p><em>See the full article on Robot Wealth website: <a href=\"https:\/\/robotwealth.com\/how-to-fill-gaps-in-large-stock-data-universes-using-tidyr-and-dplyr\/\">https:\/\/robotwealth.com\/how-to-fill-gaps-in-large-stock-data-universes-using-tidyr-and-dplyr\/<\/a>.<\/em><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Robot James shares that one of the benefits of working with longer \u201ctidy\u201d data is that we can have multiple variables per date\/stock observation.<\/p>\n","protected":false},"author":421,"featured_media":80184,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[339,343,338,350,341,344,342],"tags":[806,2535,487,6591,508,10114,8594,1045],"contributors-categories":[13676],"class_list":{"0":"post-106021","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"has-post-thumbnail","7":"category-data-science","8":"category-programing-languages","9":"category-ibkr-quant-news","10":"category-quant-asia-pacific","11":"category-quant-development","12":"category-quant-regions","13":"category-r-development","14":"tag-data-science","15":"tag-dplyr","16":"tag-r","17":"tag-rstats","18":"tag-rstudio","19":"tag-tidydata","20":"tag-tidyr","21":"tag-tidyverse","22":"contributors-categories-robot-wealth"},"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- 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