R version 2.12.0, 64 bit on Windows.
Here is a short script that illustrates the problem:
library(tseries)
library(xts)
setwd('C:\\cygwin\\home\\Ted\\New.Task\\NKs-01-08-12\\NKs\\tests')
x = read.table("quotes_h.2.dat", header = FALSE, sep="\t", skip=0)
str(x)
y <- data.frame(as.POSIXlt(paste(x$V2,substr(x$V4,4,8),sep="
"),format='%Y-%m-%d %H:%M'),x$V5)
colnames(y) <- c("tickdate","price")
str(y)
plot(y)
z <- as.irts(y)
str(z)
plot(z)
str(alpha3)
List of 2
$ time : POSIXt[1:98865], format: "2010-06-30 15:47:00" "2010-06-30
15:53:00" "2010-06-30 17:36:00" ...
$ value: num [1:98865, 1:4] 9215 9220 9205 9195 9195 ...
..- attr(*, "dimnames")=List of 2
.. ..$ : NULL
.. ..$ : chr [1:4] "z.Open" "z.High" "z.Low" "z.Close"
- attr(*, "class")= chr "ts"
- attr(*, "tsp")= num [1:3] 1 2 1
alpha3 <- as.xts(to.minutes3(z,OHLC = TRUE))
plotOHLC(alpha3)
Error in plotOHLC(alpha3) : x is not a open/high/low/close time series
The file quotes_h.2.dat contains real time tick data for futures contracts,
so the above manipulation is my attempt to just get a time series with one
column being a date/time and the other being tick price. I believe I have
to use read.table to make a data frame, and then the manipulations to
combine the date and time fields from that feed, along with the price.
My first attempt at using to.minutes3 (and I am interested in the other
'to.period' functions too), is to get a regular time series to which I can
apply rollapply, along with a function in which I use various autoregression
methods, along with forecasting for as long as the 95% confidence intervals
is reasonably close - I want to know how far into the future the forecast
contains useful information. And then, I want to create a plot in which I
do the autoregression, and then plot the actual and forecast prices (along
with the confidence interval), as a function of time, embed that in a
function, which rollappply works with, so I can have a plot comprised of all
those individual plots (plotting only the comparison of actual and forecast
values).
It seems everything works adequately until I try the plotOHLC function
itself, which gives me the error in the subject line.
I would ask for two things:
1) what the fix is to get rid of that error plotOHLC gives me
2) some tips on the 'walk-forward' method I am looking at using.
Thanks
Ted
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