[R] Loading Intraday Time Series Data

Gabor Grothendieck
Sun, 16 May 2010 13:59:29 -0000

In zoo the index= argument to read.zoo can be a vector of column
indices to indicate that the time is split across multiple columns and
the FUN= argument can be used to process the multiple columns.  In
this example the resulting z uses chron:


L <- "Date,Time,Open,High,Low,Close,Up,Down
05/02/2001,0030,421.20,421.20,421.20,421.20,11,0
05/02/2001,0130,421.20,421.40,421.20,421.40,7,0
05/02/2001,0200,421.30,421.30,421.30,421.30,0,5
05/02/2001,0230,421.60,421.60,421.50,421.50,26,1"

library(zoo)
library(chron)

f <- function(x) chron(paste(x[,1]), sprintf("%04d00", x[,2]),
format
= c("M/D/Y", "HMS"))

# z <- read.zoo("myfile.csv", index = 1:2, sep=",",
header = TRUE, FUN  = f)

z <- read.zoo(textConnection(L), index = 1:2, sep=",", header =
TRUE, FUN  = f)


On Sun, May 16, 2010 at 7:22 AM, Steve Johns <steve.johns at verizon.net>
wrote:
> Hi,
>
> I am trying to load a data file that looks like this:
>
> |Date,Time,Open,High,Low,Close,Up,Down
> 05/02/2001,0030,421.20,421.20,421.20,421.20,11,0
> 05/02/2001,0130,421.20,421.40,421.20,421.40,7,0
> 05/02/2001,0200,421.30,421.30,421.30,421.30,0,5
> 05/02/2001,0230,421.60,421.60,421.50,421.50,26,1|
> etc.
>
> into an R timeseries or ts object.
>
> The key point is that both the date and time need to become part of the
> index.
>
> With zoo, this line will load the data:
>
> z <- read.zoo("foo_hs.csv", format = "%m/%d/%Y",
sep=",", header = TRUE )
>
> but the Time does not become part of the index this way. ?This means the
> index is non-unique, and that is not the goal.
>
> Could someone kindly show me a way, using R itself, to deal with the
> separate Date and Time columns so as to properly combine them into the
index
> for the timeseries?
>
> Thanks!
>
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