[R] zoo.read intraday data

[Gabor Grothendieck]

On Mon, Oct 25, 2010 at 11:44 AM, Immanuel <mane.desk at googlemail.com> wrote:
> Thanks,
>
> by now I ran already into the next problem, while trying to convert
> the zoo to an xts object.
> Somehow the timestamps get lost, no idea why.
>
> I did read through the vignettes, but got confused
> by all this, chron, as.POSIXct, zoo and xts stuff.
>
> with your example I got:
> Error in .subset(x, j) : invalid subscript type 'list'
>
>
> best regards
> -------------------------
>
> # TODO: Add comment
> #
> # Author: flyingimmi
> ###############################################################################
>
>
> L <- "Date,Time,Open,High,Low,Close,Up,Down
>        05.02.2001,00:30,421.20,421.20,421.20,421.20,11,0
>        05.02.2001,01:30,421.20,421.40,421.20,421.40,7,0
>        06.02.2001,02:00,421.30,421.30,421.30,421.30,0,5
>        05.02.2001,02:30,421.60,421.60,421.50,421.50,26,1"
>
> library(zoo)
> library(chron)
>
> f <- function(x) chron(paste(x[,1]), paste(x[,2], "00", sep = ":"),
>            format = c(dates = "d.m.y", times = "h:m:s"))
>
>
> # z <- read.zoo("myfile.csv", index = 1:2, sep=",", header = TRUE, FUN  = f)
>
> z <- read.zoo(textConnection(L), index = 1:2, sep=",", header = TRUE,
> FUN  = f)
>
> intradayData <- xts(z, time(z))
>
>
> print(z)
>
> print(intradayData)
> ---------------------------------------------------
> output:
>
>                     Open  High   Low Close Up Down
> (05.02.01 00:30:00) 421.2 421.2 421.2 421.2 11    0
> (05.02.01 01:30:00) 421.2 421.4 421.2 421.4  7    0
> (05.02.01 02:30:00) 421.6 421.6 421.5 421.5 26    1
> (06.02.01 02:00:00) 421.3 421.3 421.3 421.3  0    5
>      Open  High   Low Close Up Down
> <NA> 421.2 421.2 421.2 421.2 11    0
> <NA> 421.2 421.4 421.2 421.4  7    0
> <NA> 421.6 421.6 421.5 421.5 26    1
> <NA> 421.3 421.3 421.3 421.3  0    5
>

I don't think xts supports chron.  Try using POSIXct instead:

f3 <- function(...) as.POSIXct(paste(...), format = "%d.%m.%Y %H:%M")
z3 <- read.zoo(textConnection(L), index = list(1, 2), sep=",", header
= TRUE, FUN  = f3)
as.xts(z3)



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