[R-SIG-Finance] intradaily data from bloomberg EXCEL file (ITS)

[Gabor Grothendieck]

This works for me:

Lines <- "1/2/2008 18:21,90.75
1/2/2008 18:22,89.29
1/2/2008 18:24,89.3
1/2/2008 18:27,89.33
1/2/2008 19:22,88.6
1/2/2008 19:52,88.26
1/2/2008 20:03,88.12
1/2/2008 21:28,88.45
1/2/2008 21:43,88.37
2/2/2008 0:14,88.37
4/2/2008 16:35,88.37
4/2/2008 17:09,88.33
4/2/2008 17:23,89.05
4/2/2008 17:52,88.91
4/2/2008 18:30,89.13
4/2/2008 18:49,89
4/2/2008 18:54,88.95
4/2/2008 21:27,89.3"

library(its)
x <- readcsvIts(textConnection(Lines), header = FALSE, informat
="%d/%m/%Y %H:%M")
y <- its(x)

# as does this

library(z)
z <- read.zoo(textConnection(Lines), header = FALSE,
	tz = "", format = "%d/%m/%Y %H:%M")
y2 <- as.its(z)


On Tue, Aug 19, 2008 at 10:58 AM, Vorlow Constantinos
<CVorlow at eurobank.gr> wrote:
> Hi,
>
> I have a .CSV file that goes like this:
>
> 1/2/2008 18:21,90.75
> 1/2/2008 18:22,89.29
> 1/2/2008 18:24,89.3
> 1/2/2008 18:27,89.33
> 1/2/2008 19:22,88.6
> 1/2/2008 19:52,88.26
> 1/2/2008 20:03,88.12
> 1/2/2008 21:28,88.45
> 1/2/2008 21:43,88.37
> 2/2/2008 0:14,88.37
> 4/2/2008 16:35,88.37
> 4/2/2008 17:09,88.33
> 4/2/2008 17:23,89.05
> 4/2/2008 17:52,88.91
> 4/2/2008 18:30,89.13
> 4/2/2008 18:49,89
> 4/2/2008 18:54,88.95
> 4/2/2008 21:27,89.3
>
> of high freq. intradaily data (prices by the minute of an asset
> downloaded from Bloomberg LP) and I am trying to use th following lines
> to read them into R:
>
>
>>    its.format("%d/%m/%Y %H:%M")
>
>
> It seems that R reads them ok (readcsvIts(filename="a.csv")) as it
> recognizes times and dates and aligns them to the corresponding prices :
>
> 19/08/2008 12:18 112.03
> 19/08/2008 12:19 112.05
> 19/08/2008 12:20 112.14
> 19/08/2008 12:21 112.23
> 19/08/2008 12:22 112.16
> 19/08/2008 12:23 112.15
> 19/08/2008 12:24 112.18
> 19/08/2008 12:25 112.18
> 19/08/2008 12:27 112.14
> 19/08/2008 12:28 112.09
> 19/08/2008 12:31 111.94
> 19/08/2008 12:32 111.95
> 19/08/2008 12:33 111.95
>
>
> However, when I try to pass them to a variable I get:
>
>
>> CL1<-its(readcsvIts(filename="a.csv"))
> Error in validObject(.Object) :
>  invalid class "its" object: Missing values in dates
>>
>
>
> I checked the data file and everything is fine. I think I have a problem
> with the format (date/time)...
>
> Can anybody help?
>
> Also:
>
> Can I read them into a ZOO object instad of an ITS???
>
> Many TKS in advance,
>
> Costas
>
>
>
>
> P Think before you print.
>
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