RTAQ - convert function: warning causes incorrect loading of data
I'm forwarding this to the R-SIG-Finance list, where ou'll have a more specialized audience. In the meanwhile, you may wish to look at http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example Finally, I note you're posting from Nabble. Please do include context in your reply -- I don't believe Nabble does this automatically, so you'll need to manually include it. Most of the regular respondents on these lists don't use Nabble -- it is a _mailing list_ after all -- so we don't get the forum view you do, only emails of the individual posts. Combine that with the high volume of posts, and it's quite difficult to trace a discussion if we all don't make sure to include context. Cheers, Michael
On Fri, Oct 12, 2012 at 7:01 PM, caprarn9 <caprarn9 at cs.man.ac.uk> wrote:
Hello,
I am closely following the RTAQ documentation in order to load my dataset
into R, however I get this warning when running the convert function in the
following way:
convert(from="2010-11-01", to="2010-11-01",datasource=datasource,
datadestination=datadestination,trades=T,quotes=T,ticker="BAC",dir=T,
extention="csv", header=T, tradecolnames=c("SYMBOL", "DATE", "TIME",
"PRICE", "SIZE", "G127", "CORR", "COND", "EX"), quotecolnames=c("SYMBOL",
"DATE", "TIME", "BID", "OFR", "BIDSIZ", "OFRSIZ", "MODE", "EX"))
The only warning returned is:
In `[<-.factor`(`*tmp*`, is.na(tdata$G127), value = c(1L, 1L, 1L, :
invalid factor level, NAs generated
As it is a warning, the .RData files still get created and I can use TAQLoad
to load them:
x <-
TAQLoad("BAC",from="2010-11-01",to="2010-11-01",datasource=datadestination,
trades=T,quotes=T)
The PROBLEM:
head(x)
SYMBOL EX PRICE SIZE COND CORR G127
<NA> "BAC" "B" "11.4900" " 500" "@" "0" "0"
...
This is the same for the quotes objects, but different headers obviously. I
get a <NA> instead of the expected YYY-MM-DD HH:MM:SS format for each
observation.
I've spent a fair number of hours on trying to get this right, no success.
Can you please provide me with some guidance?
Thank you.
A sample from the CSV files I use:
SYMBOL,DATE,TIME,BID,OFR,BIDSIZ,OFRSIZ,MODE,EX
BAC,20101101,9:30:00,11.5,11.51,5,116,12,P
...
SYMBOL,DATE,TIME,PRICE,SIZE,G127,CORR,COND,EX
BAC,20101101,10:30:00,11.49,500,0,0,@,B
...
--
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