[R] RTAQ - convert function: warning causes incorrect loading of data

[R. Michael Weylandt]

I'm forwarding this to the R-SIG-Finance list, where ou'll have a more
specialized audience.

In the meanwhile, you may wish to look at
http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example

Finally, I note you're posting from Nabble. Please do include context in
your reply -- I don't believe Nabble does this automatically, so
you'll need to manually include it. Most of the regular respondents on
these lists don't use Nabble -- it is a _mailing list_ after all -- so
we don't get the forum view you do, only emails of the individual
posts. Combine that with the high volume of posts, and it's quite
difficult to trace a discussion if we all don't make sure to include
context.

Cheers,
Michael

On Fri, Oct 12, 2012 at 7:01 PM, caprarn9 <caprarn9 at cs.man.ac.uk> wrote:
> Hello,
>
> I am closely following the RTAQ documentation in order to load my dataset
> into R, however I get this warning when running the convert function in the
> following way:
>
> convert(from="2010-11-01", to="2010-11-01",datasource=datasource,
> datadestination=datadestination,trades=T,quotes=T,ticker="BAC",dir=T,
> extention="csv", header=T, tradecolnames=c("SYMBOL", "DATE", "TIME",
> "PRICE", "SIZE", "G127", "CORR", "COND", "EX"), quotecolnames=c("SYMBOL",
> "DATE", "TIME", "BID", "OFR", "BIDSIZ", "OFRSIZ", "MODE", "EX"))
>
> The only warning returned is:
> In `[<-.factor`(`*tmp*`, is.na(tdata$G127), value = c(1L, 1L, 1L,  :
>   invalid factor level, NAs generated
>
> As it is a warning, the .RData files still get created and I can use TAQLoad
> to load them:
>
> x <-
> TAQLoad("BAC",from="2010-11-01",to="2010-11-01",datasource=datadestination,
> trades=T,quotes=T)
>
> The PROBLEM:
> head(x)
>      SYMBOL EX  PRICE     SIZE    COND CORR G127
> <NA> "BAC"  "B" "11.4900" "  500" "@"  "0"  "0"
> ...
>
> This is the same for the quotes objects, but different headers obviously. I
> get a <NA> instead of the expected YYY-MM-DD HH:MM:SS format for each
> observation.
>
> I've spent a fair number of hours on trying to get this right, no success.
> Can you please provide me with some guidance?
>
> Thank you.
>
> A sample from the CSV files I use:
>
> SYMBOL,DATE,TIME,BID,OFR,BIDSIZ,OFRSIZ,MODE,EX
> BAC,20101101,9:30:00,11.5,11.51,5,116,12,P
> ...
>
> SYMBOL,DATE,TIME,PRICE,SIZE,G127,CORR,COND,EX
> BAC,20101101,10:30:00,11.49,500,0,0,@,B
> ...
>
>
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/RTAQ-convert-function-warning-causes-incorrect-loading-of-data-tp4646025.html
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>
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