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

[Aritra Pan]

Hi Ilya, 

Thanks for the suggestion. But when I try with the dataset containing only timestamp, value and size columns; then also if I try to convert from dataset to xts, the timestamp column is becoming index and further I am not able to access timestamp matching between objects. 

-- 
Thanks, 
Aritra 

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

From: "Ilya Kipnis" <ilya.kipnis at gmail.com> 
To: "Aritra Pan" <aritrapan at vgsom.iitkgp.ernet.in> 
Cc: r-sig-finance at r-project.org 
Sent: Friday, May 13, 2016 10:39:18 AM 
Subject: Re: [R-SIG-Finance] Fwd: dataset to xts conversion issue with timeseries data 

Aritra, 

The underlying data structure of an xts is a matrix. If you have a character vector inside that matrix, the entire thing will become characters. In your example, you have stockName and type vectors, which are character vectors, whereas in the excel example, you don't. Hope that helps. 

-Ilya 

On Fri, May 13, 2016 at 12:31 AM, Aritra Pan < aritrapan at vgsom.iitkgp.ernet.in > wrote: 


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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