[R] Loading Intraday Time Series Data

Steve Johns
Sun, 16 May 2010 11:22:31 -0000

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!