Business-Day Scaling

Create sample data

Load past NYSE trading dates, taken from Yahoo’s S&P prices:

data(nyse)

Then create some fake prices, put them into a data.frame alongside the dates:

set.seed(12345)
df <- data.frame(date=nyse, price=cumsum(rnorm(length(nyse))) + 100)
df <- subset(df, as.Date('2014-08-01') <= date & date <= as.Date('2014-10-08'))

Plot on a standard calendar-day axis:

Create a plot:

plot <- ggplot(df, aes(x=date, y=price)) + geom_step() + 
  theme(axis.title.x=element_blank(), axis.title.y=element_blank())

Note the large gap at the beginning of September, because Labor Day was on the 1st:

plot + ggtitle('calendar dates')

Plot on a business-day axis:

Plotting against scale_x_bd instead removes weekends and holidays from the graph:

plot + scale_x_bd(business.dates=nyse, labels=date_format("%b '%y")) + 
  ggtitle('business dates, month breaks')

Increasing density of breaks

In the previous chart, the major breaks are pretty far apart.

The package determined that breaks on the first trading day of each month gives me the largest number of breaks weakly less than maximum. I didn’t specify a max, so it defaulted to 5.

If I tell it to use more, it can put breaks on the first day of each week:

plot + scale_x_bd(business.dates=nyse, max.major.breaks=10, labels=date_format('%d %b')) + 
  ggtitle('business dates, week breaks')

Translating into business-day space

Say I wanted to put vertical lines on option expiration dates.

Calling as.numeric(...) on my dates translates them into the the number of calendar days after unix epoch, which is what scale_x_date(...) uses (see scales:::from_date):

options <- as.Date(c('2014-08-15', '2014-09-19'))

plot + 
  geom_vline(xintercept=as.numeric(options), size=2, alpha=0.25) + 
  ggtitle('calendar dates, option expiry')

This doesn’t work for business-day space because the x-axis now represents the number of business days after the first date in your business.dates vector:

Instead, use the bdscale::bd2t(...) function to translate into business-day space:

plot + 
  geom_vline(xintercept=bd2t(options, business.dates=nyse), size=2, alpha=0.25) + 
  scale_x_bd(business.dates=nyse) +
  ggtitle('business dates, option expiry')