Thank you. It works. Someone may want to change the corresponding entry
in the function description ?convert. See below:
|format|
character, indicates in what format TIME and DATE are recorded in the
original data. By default, "%Y%M%D %H:%M:%S" is taken, which means the
date is denoted by e.g. "20080130" and the time by e.g. "09:30:00".
Am 12/21/2012 7:17 PM, schrieb Jonathan Cornelissen:
> 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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>> should go.
>
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