Creating a new Data.Frame from variable values - r

Question

I am currently working on a task that requires me to query a list of stocks from an sql db.
The problem is that it is a list where there are 1:n stocks traded per date. I want to calculate the the share of each stock int he portfolio on a given day (see example) and pass it to a new data frame. In other words date x occurs 2 times (once for stock A and once for stock B) and then pull it together that date x occurs only one time with the new values.
'data.frame': 1010 obs. of 5 variables:
$ ID : int 1 2 3 4 5 6 7 8 9 10 ...
$ Date : Date, format: "2019-11-22" "2019-11-21" "2019-11-20" "2019-11-19" ...
$ Close: num 52 51 50.1 50.2 50.2 ...
$ Volume : num 5415 6196 3800 4784 6189 ...
$ Stock_ID : Factor w/ 2 levels "1","2": 1 1 1 1 1 1 1 1 1 1 ...
RawInput<-data.frame(Date=c("2017-22-11","2017-22-12","2017-22-13","2017-22-11","2017-22-12","2017-22-13","2017-22-11"), Close=c(50,55,56,10,11,12,200),Volume=c(100,110,150,60,70,80,30),Stock_ID=c(1,1,1,2,2,2,3))
RawInput$Stock_ID<-as.factor(RawInput$Stock_ID)
*cannot transfer the date to a date variable in this example
I would like to have a new dataframe that generates the Value traded per day, the weight of each stock, and the daily returns per day, while keeping the number of stocks variable.
I hope I translated the issue properly so that I can receive help.
Thank you!

Answer 1

I think the easiest way to do this would be to use the dplyr package. You may need to read some documentation but the mutate and group_by function may be able do what you want. This function will allow you to modify the current dataframe by either adding a new column or changing the existing data.
Lets start with a reproducible dataset
RawInput<-data.frame(Date=c("2017-22-11","2017-22-12","2017-22-13","2017-22-11","2017-22-12","2017-22-13","2017-22-11"),
Close=c(50,55,56,10,11,12,200),
Volume=c(100,110,150,60,70,80,30),
Stock_ID=c(1,1,1,2,2,2,3))
RawInput$Stock_ID<-as.factor(RawInput$Stock_ID)
library(magrittr)
library(dplyr)
dat2 <- RawInput %>%
group_by(Date, Stock_ID) %>% #this example only has one stock type but i imagine you want to group by stock
mutate(CloseMean=mean(Close),
CloseSum=sum(Close),
VolumeMean=mean(Volume),
VolumeSum=sum(Volume)) #what ever computation you need to do with
#multiple stock values for a given date goes here
dat2 %>% select(Stock_ID, Date, CloseMean, CloseSum, VolumeMean,VolumeSum) %>% distinct() #dat2 will still be the same size as dat, thus use the distinct() function to reduce it to unique values
# A tibble: 7 x 6
# Groups: Date, Stock_ID [7]
Stock_ID Date CloseMean CloseSum VolumeMean VolumeSum
<fct> <fct> <dbl> <dbl> <dbl> <dbl>
1 1 2017-22-11 50 50 100 100
2 1 2017-22-12 55 55 110 110
3 1 2017-22-13 56 56 150 150
4 2 2017-22-11 10 10 60 60
5 2 2017-22-12 11 11 70 70
6 2 2017-22-13 12 12 80 80
7 3 2017-22-11 200 200 30 30
This data set that you provided actually only has one unique Stock_ID and Date combinations so there was nothing actually done with the data. However if you remove Stock_ID where necessary you can see how this function would work
dat2 <- RawInput %>%
group_by(Date) %>%
mutate(CloseMean=mean(Close),
CloseSum=sum(Close),
VolumeMean=mean(Volume),
VolumeSum=sum(Volume))
dat2 %>% select(Date, CloseMean, CloseSum, VolumeMean,VolumeSum) %>% distinct()
# A tibble: 3 x 5
# Groups: Date [3]
Date CloseMean CloseSum VolumeMean VolumeSum
<fct> <dbl> <dbl> <dbl> <dbl>
1 2017-22-11 86.7 260 63.3 190
2 2017-22-12 33 66 90 180
3 2017-22-13 34 68 115 230
After reading your first reply, You will have to be specific on how you are trying to calculate the weight. Also define your end result.
Im going to assume weight is just percentage by total cost. And the end result is for each date show the weight per stock. In other words a matrix of dates and stock Ids
library(tidyr)
RawInput %>%
group_by(Date) %>%
mutate(weight=Close/sum(Close)) %>%
select(Date, weight, Stock_ID) %>%
spread(key = "Stock_ID", value = "weight", fill = 0)
# A tibble: 3 x 4
# Groups: Date [3]
Date `1` `2` `3`
<fct> <dbl> <dbl> <dbl>
1 2017-22-11 0.192 0.0385 0.769
2 2017-22-12 0.833 0.167 0
3 2017-22-13 0.824 0.176 0