Hi all,
I am currently trying to get acquainted with the "highfrequency"
package. I get my raw data from WRDS in .csv format. My data looks as
follows:
SYMBOL DATE TIME PRICE SIZE G127 CORR COND EX
AOL 20000216 9:30:31 53.3125 622300 0 0
N
AOL 20000216 9:30:33 53.3125 100 0 0
Z C
AOL 20000216 9:30:33 53.3125 200 0 0
Z C
AOL 20000216 9:30:33 53.3125 200 0 0
X
AOL 20000216 9:30:33 53.3125 100 0 0
X
AOL 20000216 9:30:33 53.3125 100 0 0
M
AOL 20000216 9:30:33 53.3125 300 0 0
M
AOL 20000216 9:30:33 53.3125 100 0 0
M
AOL 20000216 9:30:33 53.3125 100 0 0
M
I followed the steps outlined in the vignette to convert the .csv data
into xts and RData formats using the code below, but always get the
following error message:
### Error in if (length(c(year, month, day, hour, min, sec)) == 6 &&
c(year, :
### missing value where TRUE/FALSE needed
### In addition: Warning messages:
### 1: In as_numeric(YYYY) : NAs introduced by coercion
### 2: In as_numeric(YYYY) : NAs introduced by coercion
I am wondering what causes the error? Could it be due to the date format
in the .csv file "20000216" versus "2000-02-16" ? Can anybody help out?
Thanks in advance!
####################### R - CODE
##################################################
library("highfrequency")
library("xts")
library("timeDate")
library("quantmod")
rm(list=ls(all=TRUE))
### Loading raw data from working directory
from <- "2000-02-16"
to <- "2000-02-17"
datasource <- "C:/Users/User/Desktop/VWL/2013/high/data"
datadestination <- "C:/Users/User/Desktop/VWL/2013/high/data"
tradecolnames <-
c("SYMBOL","DATE","TIME","PRICE","SIZE","G127","CORR","COND","EX")
format <- "%Y%M%D %H:%M:%S"
convert(from=from, to=to, datasource=datasource,
datadestination=datadestination, trades = TRUE,
quotes = FALSE, ticker="AOL", dir = TRUE,
extension = "csv", header = TRUE,
tradecolnames = NULL, quotecolnames = NULL,
format = format, onefile = TRUE )
########################### SESSION INFO
##########################################
sessionInfo()
R version 2.15.2 (2012-10-26)
Platform: x86_64-w64-mingw32/x64 (64-bit)
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United
States.1252
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
[5] LC_TIME=English_United States.1252
attached base packages:
[1] parallel stats graphics grDevices utils datasets methods
base
other attached packages:
[1] quantmod_0.3-17 TTR_0.21-1 Defaults_1.1-1
timeDate_2160.97
[5] realized_1.0.1 highfrequency_0.1 xts_0.8-8
zoo_1.7-9
[9] rugarch_1.0-12 Rsolnp_1.14 truncnorm_1.0-6 chron_2.3-43
[13] numDeriv_2012.9-1 RcppArmadillo_0.3.4.4 Rcpp_0.10.0
R.utils_1.18.0
[17] R.oo_1.10.1 R.methodsS3_1.4.2
loaded via a namespace (and not attached):
[1] grid_2.15.2 lattice_0.20-10 tools_2.15.2
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