[R] 回复: high-frequency data in R

[Daniel Nordlund]

On 11/24/2020 12:20 PM, Zixuan Qi wrote:
> DATE    SYMBOL  price   permno
> 10/1/2019 9:30  AA      93.26   24109
> 10/1/2019 9:31  AA      93.44   24109
> 10/1/2019 9:32  AA      93.44   24109
> 10/1/2019 9:33  AA      93.28   24109
> 10/1/2019 9:34  AA      93.37   24109
> 10/1/2019 9:35  AA      93.37   24109
> 10/1/2019 9:36  AA      93.33   24109
> 10/1/2019 9:30  AA      114.47  10138
> 10/1/2019 9:32  AA      114.22  10138
> 10/1/2019 9:33  AA      114.26  10138
> 10/1/2019 9:34  AA      114.27  10138
> 10/1/2019 9:35  AA      114.01  10138
> 10/1/2019 9:36  AA      114.07  10138
> 10/1/2019 9:37  AA      114.39  10138
> 10/1/2019 9:38  AA      114.32  10138
> The sample data is here.
> ________________________________
> ������: Zixuan Qi
> ����ʱ��: 2020��11��25�� 4:12
> �ռ���: r-help using r-project.org <r-help using r-project.org>
> ����: high-frequency data in R
>
> Hello,
>
> I attach the sample data in the email and you can use the data to try my code.
> My code is as follow.
>
> library('highfrequency')
> library('xts')
> data=read.table("sample data.csv",header=F,skip = 1,stringsAsFactors=FALSE,sep="\t")
> colnames(data)=c(" ",'SYMBOL',"PRICE","PERMNO")
> id <- unique(data$PERMNO)
> mydata <- data.frame()
> for (i in id){
>    tmp <-data[data$PERMNO==i,]
>    row.names(tmp)=tmp[,1]
>    tmp=tmp[,-1]
>    tmp.xts <- as.xts(tmp, order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M"))
>    mydata <- rbind(mydata,tmp.xts)
> }
>
> The problem is that when I try to program tmp.xts <- as.xts(tmp, order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M")), then I get NaN rownames. I don't know why.
>
> Thanks very much.
>
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>
>
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You have the wrong format for your date conversion.  It should be

format="%m/%d/%Y %H:%M"


Hope this is helpful,

Dan

-- 
Daniel Nordlund
Port Townsend, WA  USA