Hello,
I attach the sample data in the email and you can use the data to try my code.
My code is as follow.
library('highfrequency')
library('xts')
data=read.table("sample data.csv",header=F,skip =
1,stringsAsFactors=FALSE,sep="\t")
colnames(data)=c("
",'SYMBOL',"PRICE","PERMNO")
id <- unique(data$PERMNO)
mydata <- data.frame()
for (i in id){
tmp <-data[data$PERMNO==i,]
row.names(tmp)=tmp[,1]
tmp=tmp[,-1]
tmp.xts <- as.xts(tmp,
order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M"))
mydata <- rbind(mydata,tmp.xts)
}
The problem is that when I try to program tmp.xts <- as.xts(tmp,
order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M")), then I
get NaN rownames. I don't know why.
Thanks very much.
DATE SYMBOL price permno
10/1/2019 9:30 AA 93.26 24109
10/1/2019 9:31 AA 93.44 24109
10/1/2019 9:32 AA 93.44 24109
10/1/2019 9:33 AA 93.28 24109
10/1/2019 9:34 AA 93.37 24109
10/1/2019 9:35 AA 93.37 24109
10/1/2019 9:36 AA 93.33 24109
10/1/2019 9:30 AA 114.47 10138
10/1/2019 9:32 AA 114.22 10138
10/1/2019 9:33 AA 114.26 10138
10/1/2019 9:34 AA 114.27 10138
10/1/2019 9:35 AA 114.01 10138
10/1/2019 9:36 AA 114.07 10138
10/1/2019 9:37 AA 114.39 10138
10/1/2019 9:38 AA 114.32 10138
The sample data is here.
________________________________
??????: Zixuan Qi
???????: 2020??11??25?? 4:12
?????: r-help at r-project.org <r-help at r-project.org>
????: high-frequency data in R
Hello,
I attach the sample data in the email and you can use the data to try my code.
My code is as follow.
library('highfrequency')
library('xts')
data=read.table("sample data.csv",header=F,skip =
1,stringsAsFactors=FALSE,sep="\t")
colnames(data)=c("
",'SYMBOL',"PRICE","PERMNO")
id <- unique(data$PERMNO)
mydata <- data.frame()
for (i in id){
tmp <-data[data$PERMNO==i,]
row.names(tmp)=tmp[,1]
tmp=tmp[,-1]
tmp.xts <- as.xts(tmp,
order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M"))
mydata <- rbind(mydata,tmp.xts)
}
The problem is that when I try to program tmp.xts <- as.xts(tmp,
order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M")), then I
get NaN rownames. I don't know why.
Thanks very much.
[[alternative HTML version deleted]]
On 11/24/2020 12:20 PM, Zixuan Qi wrote:> DATE SYMBOL price permno > 10/1/2019 9:30 AA 93.26 24109 > 10/1/2019 9:31 AA 93.44 24109 > 10/1/2019 9:32 AA 93.44 24109 > 10/1/2019 9:33 AA 93.28 24109 > 10/1/2019 9:34 AA 93.37 24109 > 10/1/2019 9:35 AA 93.37 24109 > 10/1/2019 9:36 AA 93.33 24109 > 10/1/2019 9:30 AA 114.47 10138 > 10/1/2019 9:32 AA 114.22 10138 > 10/1/2019 9:33 AA 114.26 10138 > 10/1/2019 9:34 AA 114.27 10138 > 10/1/2019 9:35 AA 114.01 10138 > 10/1/2019 9:36 AA 114.07 10138 > 10/1/2019 9:37 AA 114.39 10138 > 10/1/2019 9:38 AA 114.32 10138 > The sample data is here. > ________________________________ > ??????: Zixuan Qi > ???????: 2020??11??25?? 4:12 > ?????: r-help at r-project.org <r-help at r-project.org> > ????: high-frequency data in R > > Hello, > > I attach the sample data in the email and you can use the data to try my code. > My code is as follow. > > library('highfrequency') > library('xts') > data=read.table("sample data.csv",header=F,skip = 1,stringsAsFactors=FALSE,sep="\t") > colnames(data)=c(" ",'SYMBOL',"PRICE","PERMNO") > id <- unique(data$PERMNO) > mydata <- data.frame() > for (i in id){ > tmp <-data[data$PERMNO==i,] > row.names(tmp)=tmp[,1] > tmp=tmp[,-1] > tmp.xts <- as.xts(tmp, order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M")) > mydata <- rbind(mydata,tmp.xts) > } > > The problem is that when I try to program tmp.xts <- as.xts(tmp, order.by=as.POSIXlt(rownames(tmp),format="%Y/%m/%d %H:%M")), then I get NaN rownames. I don't know why. > > Thanks very much. > > [[alternative HTML version deleted]] > > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.You have the wrong format for your date conversion.? It should be format="%m/%d/%Y %H:%M" Hope this is helpful, Dan -- Daniel Nordlund Port Townsend, WA USA