[R-SIG-Finance] Fwd: dataset to xts conversion issue with timeseries data

[Aritra Pan]

Sorry, if it is becoming duplicate message. Any suggestion will be highly appreciated. 

-- 
Thanks, 
Aritra 

----- Original Message -----

From: "Aritra Pan" <aritrapan at vgsom.iitkgp.ernet.in> 
To: "R-SIG-Finance" <r-sig-finance-bounces at r-project.org> 
Sent: Thursday, May 12, 2016 11:28:41 AM 
Subject: [R-SIG-Finance] dataset to xts conversion issue with timeseries data 

Hello Members, 

I am hoping if I can get few suggestions on the issue I am facing. 

I am taking data from server using Rblpapi package for 40-50 securities. The data looks like below: 

times 	askValue 	askSize 	stockName 	Type 
01/02/2016 9:15 	91.8 	500 	ABCD IS Equity 	Ask 
01/02/2016 9:15 	92.4 	1420 	ABCD IS Equity 	Ask 
01/02/2016 9:15 	92.2 	5000 	ABCD IS Equity 	Ask 
01/02/2016 9:15 	91.9 	6524 	ABCD IS Equity 	Ask 
01/02/2016 9:15 	91.9 	11524 	ABCD IS Equity 	Ask 
01/02/2016 9:15 	92.05 	6824 	ABCD IS Equity 	Ask 

ABCD IS - any security (assume). 

Now this data is coming in standard dataset format to R from data server. When I try to convert it to XTS it becomes like below 

	askValue 	askSize 	stockName 	askType 
01/02/2016 9:15 	" 91.80" 	" 500" 	"ABCD IS Equity" 	"Ask" 
01/02/2016 9:15 	"474.45" 	" 300" 	"EFGH IS Equity" 	"Ask" 
01/02/2016 9:15 	"455.00" 	" 100" 	"XYZW IS Equity" 	"Ask" 
01/02/2016 9:15 	"101.50" 	" 2799" 	"MNP IS Equity" 	"Ask" 
01/02/2016 9:15 	"194.95" 	" 1600" 	"IJK IS Equity" 	"Ask" 
01/02/2016 9:15 	"293.45" 	" 13" 	"PQRS IS Equity" 	"Ask" 

You can see the the column name "times" is becoming here index. And that's why after data conversion to xts object I am not able to match my quote data which are bid dataset and ask dataset. 

Can anyone please suggest on this data set to xts conversion. 

PS: When I am downloading data in excel and then transforming data from excel to xts then it is working fine. 

	Date 	Type 	Price 	Size 
1 	01/03/2016 9:15 	ASK 	538.9 	50 
2 	01/03/2016 9:15 	ASK 	538.8 	75 
3 	01/03/2016 9:15 	ASK 	538.7 	50 
4 	01/03/2016 9:15 	ASK 	538.3 	75 
5 	01/03/2016 9:15 	ASK 	538.85 	798 
6 	01/03/2016 9:15 	ASK 	538.9 	93 

But as I am trying to run for multiple stocks data download script at same time and it is high-frequency data, so I am using R script to download data from server to R directly skipping excel using Rblpapi package. 

-- 
Thanks, 
Aritra 



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