Passing Date Vector from R to KDB

Question

calling a function on KDB server from R

Hi, I have a function written on KDB server which gives me a list of output for each date. I have to calculate function for set of dates but when I am passing it as a vector, the date format doesnt work. Please have a look at the code below:

per <- c('2014.07.31', '2014.07.30','2014.07.29','2014.09.28')

per <- as.Date(per,"%Y.%m.%d")

PWPfunc <- function(k){

    execute(h,"pwp_frac[0.05;0.1;k;`AAPL]")
}

output <- lapply(per,PWPfunc).

KDB is not recognizing the date format from R. Please help.

Answer 1

I usually generate a list of dates and convert them into KDB readable by using sub function

dates <- seq(as.Date("2014/11/01"), as.Date("2014/12/01"), by = "day")
dates <- sub('-',".",dates);dates <- sub('-',".",dates);
dates
 [1] "2014.11.01" "2014.11.02" "2014.11.03" "2014.11.04" "2014.11.05" "2014.11.06" "2014.11.07" "2014.11.08" "2014.11.09" "2014.11.10"
[11] "2014.11.11" "2014.11.12" "2014.11.13" "2014.11.14" "2014.11.15" "2014.11.16" "2014.11.17" "2014.11.18" "2014.11.19" "2014.11.20"
[21] "2014.11.21" "2014.11.22" "2014.11.23" "2014.11.24" "2014.11.25" "2014.11.26" "2014.11.27" "2014.11.28" "2014.11.29" "2014.11.30"
[31] "2014.12.01"

If you want to remove weekends from your list you can use chron library:

require(chron)
dates <- seq(as.Date("2014/11/01"), as.Date("2014/12/01"), by = "day")
dates <- dates[!is.weekend(dates)]
dates <- sub('-',".",dates);dates <- sub('-',".",dates);
dates
 [1] "2014.11.03" "2014.11.04" "2014.11.05" "2014.11.06" "2014.11.07" "2014.11.10" "2014.11.11" "2014.11.12" "2014.11.13" "2014.11.14"
[11] "2014.11.17" "2014.11.18" "2014.11.19" "2014.11.20" "2014.11.21" "2014.11.24" "2014.11.25" "2014.11.26" "2014.11.27" "2014.11.28"
[21] "2014.12.01"