[R-SIG-Finance] Non unique timestamp in zoo object

Brian G. Peterson brian at braverock.com
Tue Sep 1 19:13:37 CEST 2009

jatin patni wrote:
> I'm trying to create a zoo object from a tick data file(sample below) which
> contains timestamps only.
> Filename: "20080202.trd"
> 1|BHARTIARTL|EQ|18:15:05|600|1
> 2|BHARTIARTL|EQ|18:15:05|600|99
> 3|GLENMARK|EQ|18:15:05|238.1|5
> 4|HINDALCO|EQ|18:15:05|43.75|100
> 5|BHARTIARTL|EQ|18:15:05|600|1
> 6|BHEL|EQ|18:15:05|1100|11
> 7|HINDALCO|EQ|18:15:06|43.2|1
> 8|CHAMBLFERT|EQ|18:15:06|46|10
> 9|CHAMBLFERT|EQ|18:15:06|46|90
> 10|BAJAUTOFIN|EQ|18:15:06|80|100
> As you can see that timestamps are not unique even at microsecond levels.
> Inorder to create a zoo/xts object to be used with quantmod later, How do
> I:-
> 1)Do I have to merge two rows with the same timestamp, symbols, price but
> different volumes.(Do I need to do this or is there some other way possible)
> 2)Append date to the timestamp while creating the zoo/xts object
> I'm trying to explore the 'format' argument, and POSIX and chron but without
> much success.

Your target should be POSIXct, as that is what xts uses internally, 
given that your stated goal is to use xts and quantmod.


These look like one second bars, not microsecond bars.  To see 
microseconds, if you have them:


zoo doesn't require unique timestamps, just ordered ones.  In this case, 
your trades are ordered in the files.  You might need to append an order 
in the microseconds if you really only have second bars.  It's also not 
necessary to have unique timestamps, but you'll be happier if you do.


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

More information about the R-SIG-Finance mailing list