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

[Gabor Grothendieck]

One correction.  See below.

On Tue, Aug 19, 2008 at 11:39 AM, Gabor Grothendieck
<ggrothendieck at gmail.com> wrote:
> 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")

Last statement should be:

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

> 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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