How about:
format <- "%Y%m%d %H:%M:%S"
?
Regards,
Jonathan
On Dec 21, 2012, at 6:03 PM, Bastian Offermann wrote:
> 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
>
>
>
>
>
>
> [[alternative HTML version deleted]]
>
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