Hi, all,

I am trying to load the consolidated trades data  from WRDS TAQ database
using the highfrequency package in R. It didn't give me the price
information which i am most interested in. Here is my output:

     SYMBOL   EX        PRICE  SIZE   COND   CORR   G127
<NA> "SYMBOL" "TIME"    "SIZE" "G127" "CORR" "COND" "EX"
<NA> "AAPL"   "4:03:53" "650"  "0"    "0"    "@F"   "P"
<NA> "AAPL"   "4:11:53" "100"  "0"    "0"    "@F"   "P"
<NA> "AAPL"   "4:23:33" "100"  "0"    "0"    "T"    "P"
<NA> "AAPL"   "4:25:36" "200"  "0"    "0"    "T"    "P"
<NA> "AAPL"   "4:44:24" "100"  "0"    "0"    "T"    "P"


Here is my code:

from = "2012-09-17";
to = "2012-09-17";
datasource = "D:/data/";
datadestination = "D:/data/";
convert( from=from, to=to, datasource=datasource,
datadestination=datadestination, trades =FALSE,quotes=FALSE,ticker="AAPL",
dir =FALSE, extension = "csv",
header =TRUE, tradecolnames =NULL, quotecolnames = NULL,
format="%Y%m%d %H:%M:%S")

xts_data = TAQLoad(tickers='AAPL',from = "2012-09-17",to =
"2012-09-17",datasource=datadestination)

head(xts_data)


Could anyone help me fix this? Many thanks!!!

Jun

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