[R-SIG-Finance] In highfrequency package `convert` function creates folder structure, but no .RData file with TickData.com data

[Nick White]

Hi all,

I also raised the following (summarised, but pretty much verbatim) as an
issue on the highfrequency package's github Issues page... but that doesn't
appear to get a lot of attention:

https://github.com/jonathancornelissen/highfrequency/issues/3

Here's the same substance:

I am new to using the package. The following issue is with TickData.com
files.

I have setup the folders with a single day's worth of data for XYZ as per
the documentation:

from = "2014-09-02";
to     = "2014-09-02";
datasource = "~/raw_data";
datadestination = "~/xts_data"

in ~/raw_data I have placed the files:

XYZ_quotes.asc
XYZ_trades.asc

which are simply copied and renamed files from my original TickData folder.
Note, I have *not* extracted these using TickWrite7. These are just the raw
.asc files from the download directory.

I then run the convert function as follows:

> convert(from=from, to=to, datasource=datasource, datadestination=datadestination, trades = TRUE,quotes = TRUE, ticker="XYZ", dir = TRUE, format = "%d/%m/%Y %H:%M:%OS",extension = "tickdatacom", header = TRUE,  onefile = TRUE )

which begins to run and take some time....but then produces this error:

Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year,  :
  missing value where TRUE/FALSE needed
In addition: Warning messages:
1: In as_numeric(YYYY) : NAs introduced by coercion
2: In as_numeric(YYYY) : NAs introduced by coercion

which, when calling traceback produces:

> traceback()
7: (function (year = 1970, month = 12, day = 31, hour = 23, min = 59,
       sec = 59, subsec = 0.99999, tz = "")
   {
       if (!missing(sec) && sec%%1 != 0)
           subsec <- 0
       sec <- ifelse(year < 1970, sec, sec + subsec)
       mon.lengths <- c(31, 28, 31, 30, 31, 30, 31, 31, 30, 31,
           30, 31)
       if (missing(day)) {
           day <- ifelse(month %in% 2, ifelse(((year%%4 %in% 0 &
               !year%%100 %in% 0) | (year%%400 %in% 0)), 29, 28),
               mon.lengths[month])
       }
       if (length(c(year, month, day, hour, min, sec)) == 6 && c(year,
           month, day, hour, min, sec) == c(1969, 12, 31, 23, 59,
           59) && Sys.getenv("TZ") %in% c("", "GMT", "UTC"))
           sec <- sec - 1
       ISOdatetime(year, month, day, hour, min, sec, tz)
   })(year = NA_real_, tz = "GMT")
6: do.call(lastof, parse.side(intervals[2], intervals[1]))
5: as.POSIXlt(do.call(lastof, parse.side(intervals[2], intervals[1])))
4: .parseISO8601(ii, .index(x)[1], .index(x)[nr], tz = tz)
3: `[.xts`(alldata, as.character(dates[i]))
2: alldata[as.character(dates[i])]
1: convert(from = from, to = to, datasource = datasource,
datadestination = datadestination,
       trades = TRUE, quotes = TRUE, ticker = "XYZ", dir = TRUE,
       format = "%d/%m/%Y %H:%M:%OS", extension = "tickdatacom",
       header = TRUE, onefile = TRUE)


This occurs using extracted .asc files from TickWrite7 both where Date and
Time field is chosen or where individual Date and Time fields were selected.


This also happens whether I extract the files using TW7 or just get use the
raw files in my TickWrite data download folders as noted above.


This is on R3.0.2, x64, Win8.1P, highfrequency v = 0.3


Any help v much appreciated.


Cheers,

n.

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