temporalDeltas

temporalDeltas(X, [unit])

For each temporal type element X_i in X, returnX_i-X_i-1, representing the time differences between elements. NULL values always return NULL during the calculation, and the first output value is always NULL.

When the optional unit parameter is provided, the time differences are calculated based on the specified time unit (calendar days, business days, or trading days for a specific exchange).

X is a vector or matrix of temporal values, or a table containing temporal column(s).

unit (optional) is a string that specifies the time unit for the calculation. Valid values are:

• "d" for calendar days

• "B" for business days

• A trading calendar identifier (e.g., "XNYS"), where the corresponding calendar file must be located in the directory specified by the marketHolidayDir configuration.

A vector/matrix/table with the same shape as X.

timestamps = [2020.06.13T13:30:10.000, 2020.06.13T13:30:10.010, 2020.06.13T13:30:10.021, 2020.06.13T13:30:10.033, 2020.06.13T13:30:10.046]
temporalDeltas(timestamps)
// Output: [,10,11,12,13]

If unit is specified, X must be of type DATE:

times = [2019.12.31, 2020.01.03, 2020.01.10, 2020.01.15, 2020.01.17]
temporalDeltas(times, "d");
// Output: [NULL, 3, 7, 5, 2] 

temporalDeltas(times, "B");
// Output: [NULL, 3, 5, 3, 2] 

temporalDeltas(times, "XNYS");
// Output: [NULL, 2, 5, 3, 2]

sym = `A`B`C`D`E
num = 5 4 3 2 1
t = table(times, sym, num)
temporalDeltas(t);

/*
times sym num
----- --- ---
      A   5  
3     B   4  
7     C   3  
5     D   2  
2     E   1  
*/