Hi Gabor et al.
the
f3 <- function(...) as.POSIXct(paste(...), format = "%Y%m%d %H:%M:%S" )
helped me to read intraday data from file
######
<TICKER>,<NAME>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>
ICE.BRN,ice.brn_m5,5,20100802,10:40:00,79.21000,79.26000,79.16000,79.20000,238,0
ICE.BRN,ice.brn_m5,5,20100802,10:45:00,79.19000,79.26000,79.19000,79.21000,413,0
######
##intraday data 5m file
fnameId= "./finam_brn_m5.csv"
pDateTimeColumns <- list(4,5)
b <- read.zoo(fnameId, index=pDateTimeColumns , sep=",", header=TRUE,
FUN=f3 )
xb <- as.xts(b)
head(b,2) ##
X.TICKER. X.NAME. X.PER. X.OPEN. X.HIGH. X.LOW.
X.CLOSE. X.VOL. X.OPENINT.
2010-08-02 10:40:00 ICE.BRN ice.brn_m5 5 79.21 79.26 79.16 79.20
238 0
2010-08-02 10:45:00 ICE.BRN ice.brn_m5 5 79.19 79.26 79.19 79.21
413 0
problem is that after the conversion to xts numeric values got converted to
chars
head(xb,2)
X.TICKER. X.NAME. X.PER. X.OPEN. X.HIGH. X.LOW.
X.CLOSE. X.VOL. X.OPENINT.
2010-08-02 10:40:00 "ICE.BRN" "ice.brn_m5" "5" "79.21" "79.26" "79.16"
"79.20" " 238" "0"
2010-08-02 10:45:00 "ICE.BRN" "ice.brn_m5" "5" "79.19" "79.26" "79.19"
"79.21" " 413" "0"
and quantmod charting does not work.
Q. how to prevent converting to char with xts ?
I suspect the problem is that index is constructed from two columns date
and time.
sessionInfo()
R version 2.12.1 (2010-12-16)
Platform: x86_64-apple-darwin9.8.0/x86_64 (64-bit)
locale:
[1] C
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] quantmod_0.3-15 TTR_0.20-2 Defaults_1.1-1 xts_0.7-6.11
zoo_1.7-0
Slava