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 ����ʱ��: 2020��11��25�� 4:12 �ռ���: r-help@r-project.org <r-help@r-project.org> ����: high-frequency data in RHello, 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@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 ______________________________________________ R-help@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.
