[R-SIG-Finance] Problems with time format and read.csv()

[Joshua Ulrich]

On Mon, Sep 17, 2012 at 2:15 PM, Dave <miniflowtrader at gmail.com> wrote:
> You will find that using fasttime will make a huge difference in load times
> if you are not happy with performance.
>
> parseTickData <- function(inputFile) {
>   DAT.list <- scan(file=inputFile,
> sep=",",skip=1,what=list(Date="",Time="",Close=0,Volume=0),quiet=T)
>   index <- fastPOSIXct(paste(DAT.list$Date,DAT.list$Time),"GMT")
>   DAT.xts <-
> xts(data.frame(Close=DAT.list$Close,Volume=DAT.list$Volume),index)
>   DAT.xts <- make.index.unique(DAT.xts)
>   return(DAT.xts)
> }
>
> Your data must be in the format:
>
> 2012-03-23,03:00:00
>
It also must be in GMT, i.e. no daylight saving time.

--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


> -----Original Message-----
> From: r-sig-finance-bounces at r-project.org
> [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Costas Vorlow
> Sent: Monday, September 17, 2012 2:14 PM
> To: r-sig-finance at r-project.org
> Subject: [R-SIG-Finance] Problems with time format and read.csv()
>
> Hello,
>
> Following a previous post,
> http://www.mail-archive.com/r-sig-finance@r-project.org/msg03727.html
>
> I am having trouble with the hours format as it is picked up by the
> read.csv() command.
>
> The following data:
>
> "Date","Time","Open","High","Low","Close","Up","Down"
> 04/27/2012,0930,12.24,12.24,12.24,12.24,0,300
> 04/27/2012,0930,12.24,12.24,12.24,12.24,0,200
>
> are read as
>
> datain<-read.csv('tick.csv', header=TRUE)
>
>> head(dat)
>         Date Time  Open  High   Low Close  Up Down
> 1 04/27/2012  930 12.24 12.24 12.24 12.24   0  300
> 2 04/27/2012  930 12.24 12.24 12.24 12.24   0  200
>
>
> i.e., 0930 becomes 930. How can this be translated to a "proper" time i.e,
> 9:30 so I can convert the data frame to an XTS object accordingly?
>
> I try to fix it by using  %k below instead of %H  (which also didn't work)
>
> hf<-xts(dat[,6], as.POSIXct(paste(dat[,1], dat[,2]),  format = "%m/%d/%Y
> %k%M"))
>
> but I get NAs
>
>> head(hf)
>       [,1]
> <NA> 12.24
> <NA> 12.24
> <NA> 12.25
> <NA> 12.25
> <NA> 12.25
> <NA> 12.25
>
> using %I in the format= above also didn't work. I gather that this is not a
> timezone problem and has to do with the way the time format is understood by
> R when generating a  time index for the XTS object.
>
> Thanks in advance for your time and answers, Costas
> --
>
>         [[alternative HTML version deleted]]
>
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