Hello,
I attach the sample data in the email and you can use the data to try my code.
My code is as follow.
library('highfrequency')
library('xts')
data=read.table("sample data.csv",header=F,skip =
1,stringsAsFactors=FALSE,sep="\t")
colnames(data)=c(" ",'SYMBOL',"PRICE","PERMNO")
id <- unique(data$PERMNO)
mydata <- data.frame()
for (i in id){
tmp <-data[data$PERMNO==i,]
row.names(tmp)=tmp[,1]
tmp=tmp[,-1]
tmp.xts <- as.xts(tmp, order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d
%H:%M"))
mydata <- rbind(mydata,tmp.xts)
}
The problem is that when I try to program tmp.xts <- as.xts(tmp,
order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M")), then I get NaN
rownames. I don't know why.
Thanks very much.
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