dataset to xts conversion issue with timeseries data
Hi, Sorry if my mail lacked information. But I took Ilya's point and it's resolved now. Still I will explain the issue once more.
head(ask_dataset)
times askValue askSize stockName askType 1 2016-02-01 09:15:01 91.80 500 DITV IS Equity Ask 2 2016-02-01 09:15:02 92.40 1420 DITV IS Equity Ask 3 2016-02-01 09:15:04 92.20 5000 DITV IS Equity Ask 4 2016-02-01 09:15:05 91.90 6524 DITV IS Equity Ask 5 2016-02-01 09:15:06 91.90 11524 DITV IS Equity Ask 6 2016-02-01 09:15:06 92.05 6824 DITV IS Equity Ask This is the data from data set. Now if I convert it to xts then the "times" column is converting to index (as for time series data). So to select data from xts matching particular timestamp was becoming difficult. That's what Ilya explained that matrix data structure of xts. -- Thanks, Aritra ----- Original Message ----- From: "Brian G. Peterson" <brian at braverock.com> To: r-sig-finance at r-project.org Sent: Friday, May 13, 2016 3:32:04 PM Subject: Re: [R-SIG-Finance] Fwd: dataset to xts conversion issue with timeseries data Please make it easy for someone else to help you. Provide a minimal example, e.g. use dput to export a small copy of your object showing us what you're trying to do and the code you are trying. Ilya's advice was correct, so your problem is unquestionably user error, but it will be hard for anyone to help you if you don't show us precisely what you are trying by providing a reproducible example including a copy of your input data.
On 05/13/2016 12:17 AM, Aritra Pan wrote:
Hi Ilya, Thanks for the suggestion. But when I try with the dataset containing only timestamp, value and size columns; then also if I try to convert from dataset to xts, the timestamp column is becoming index and further I am not able to access timestamp matching between objects.
On 05/13/2016 12:09 AM, Ilya Kipnis wrote:
Aritra, The underlying data structure of an xts is a matrix. If you have a character vector inside that matrix, the entire thing will become characters. In your example, you have stockName and type vectors,
which are
character vectors, whereas in the excel example, you don't. Hope that
helps.
-Ilya On Fri, May 13, 2016 at 12:31 AM, Aritra Pan < aritrapan at vgsom.iitkgp.ernet.in> wrote:
Sorry, if it is becoming duplicate message. Any suggestion will be highly appreciated. -- Thanks, Aritra ----- Original Message ----- From: "Aritra Pan" <aritrapan at vgsom.iitkgp.ernet.in> To: "R-SIG-Finance" <r-sig-finance-bounces at r-project.org> Sent: Thursday, May 12, 2016 11:28:41 AM Subject: [R-SIG-Finance] dataset to xts conversion issue with timeseries data Hello Members, I am hoping if I can get few suggestions on the issue I am facing. I am taking data from server using Rblpapi package for 40-50 securities. The data looks like below: times askValue askSize stockName Type 01/02/2016 9:15 91.8 500 ABCD IS Equity Ask 01/02/2016 9:15 92.4 1420 ABCD IS Equity Ask 01/02/2016 9:15 92.2 5000 ABCD IS Equity Ask 01/02/2016 9:15 91.9 6524 ABCD IS Equity Ask 01/02/2016 9:15 91.9 11524 ABCD IS Equity Ask 01/02/2016 9:15 92.05 6824 ABCD IS Equity Ask ABCD IS - any security (assume). Now this data is coming in standard dataset format to R from data server. When I try to convert it to XTS it becomes like below askValue askSize stockName askType 01/02/2016 9:15 " 91.80" " 500" "ABCD IS Equity" "Ask" 01/02/2016 9:15 "474.45" " 300" "EFGH IS Equity" "Ask" 01/02/2016 9:15 "455.00" " 100" "XYZW IS Equity" "Ask" 01/02/2016 9:15 "101.50" " 2799" "MNP IS Equity" "Ask" 01/02/2016 9:15 "194.95" " 1600" "IJK IS Equity" "Ask" 01/02/2016 9:15 "293.45" " 13" "PQRS IS Equity" "Ask" You can see the the column name "times" is becoming here index. And
that's
why after data conversion to xts object I am not able to match my quote data which are bid dataset and ask dataset. Can anyone please suggest on this data set to xts conversion. PS: When I am downloading data in excel and then transforming data from excel to xts then it is working fine. Date Type Price Size 1 01/03/2016 9:15 ASK 538.9 50 2 01/03/2016 9:15 ASK 538.8 75 3 01/03/2016 9:15 ASK 538.7 50 4 01/03/2016 9:15 ASK 538.3 75 5 01/03/2016 9:15 ASK 538.85 798 6 01/03/2016 9:15 ASK 538.9 93 But as I am trying to run for multiple stocks data download script at
same
time and it is high-frequency data, so I am using R script to
download data
from server to R directly skipping excel using Rblpapi package. -- Thanks, Aritra
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.