time index in high frequency data
You could find more direction on the r-help list .. I remember using
help from that list
You can do something like this. (Code pasted from my routine)
f2 <- function(d, t, format = "%Y%m%d %H:%M:%S") {
as.POSIXct(strptime(paste(d, t),format=format))
}
require(zoo)
optData.z <- read.zoo(optData.df.1[c(1:2,5:11)],index=list(1,2), FUN=f2)
The index columns refer to the date and time in your dataset.
zoo objects can be converted to xts using as.xts
I think you should be able to create xts directly using a similar approach
On Mon, Dec 3, 2012 at 5:10 PM, Wei-han Liu <weihanliu2002 at yahoo.com> wrote:
Hi R users:
I have a high frequency dataset with the following two time indexes: TDATE and TTIME. I would like to read in the following series in the specific data format: yyyy-mm-dd and hh-mm, and convert them as xts objects. Could any people can share some advice in this regard?
Many thanks.
Wei-han
TDATE TTIME
20091009 930
20091009 1130
20091009 1500
20091012 930
20091012 1130
20091012 1500
20091013 930
20091013 1130
20091013 1500
20091014 930
20091014 1130
20091014 1500
20091015 930
20091015 1130
20091015 1500
20091016 930
20091016 1130
20091016 1500
20091019 930
20091019 1130
20091019 1500
20091020 930
20091020 1130
20091020 1500
20091021 930
20091021 1130
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