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Problems with time format and read.csv()

5 messages · Dave, Joshua Ulrich, Costas Vorlow

Original
Joshua Ulrich
# 
Use the colClasses arg to read Date and Time as character:

dat <- read.csv("tick.csv", colClasses=c(rep("character",2),rep("numeric",6)))

HTH,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
On Mon, Sep 17, 2012 at 1:14 PM, Costas Vorlow <costas.vorlow at gmail.com> wrote:
Dave
# 
You will find that using fasttime will make a huge difference in load times
if you are not happy with performance.

parseTickData <- function(inputFile) {
  DAT.list <- scan(file=inputFile,
sep=",",skip=1,what=list(Date="",Time="",Close=0,Volume=0),quiet=T)
  index <- fastPOSIXct(paste(DAT.list$Date,DAT.list$Time),"GMT")
  DAT.xts <-
xts(data.frame(Close=DAT.list$Close,Volume=DAT.list$Volume),index)
  DAT.xts <- make.index.unique(DAT.xts)
  return(DAT.xts)
}

Your data must be in the format:

2012-03-23,03:00:00

-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Costas Vorlow
Sent: Monday, September 17, 2012 2:14 PM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Problems with time format and read.csv()

Hello,

Following a previous post,
http://www.mail-archive.com/r-sig-finance at r-project.org/msg03727.html

I am having trouble with the hours format as it is picked up by the
read.csv() command.

The following data:

"Date","Time","Open","High","Low","Close","Up","Down"
04/27/2012,0930,12.24,12.24,12.24,12.24,0,300
04/27/2012,0930,12.24,12.24,12.24,12.24,0,200

are read as

datain<-read.csv('tick.csv', header=TRUE)
Date Time  Open  High   Low Close  Up Down
1 04/27/2012  930 12.24 12.24 12.24 12.24   0  300
2 04/27/2012  930 12.24 12.24 12.24 12.24   0  200


i.e., 0930 becomes 930. How can this be translated to a "proper" time i.e,
9:30 so I can convert the data frame to an XTS object accordingly?

I try to fix it by using  %k below instead of %H  (which also didn't work)

hf<-xts(dat[,6], as.POSIXct(paste(dat[,1], dat[,2]),  format = "%m/%d/%Y
%k%M"))

but I get NAs
[,1]
<NA> 12.24
<NA> 12.24
<NA> 12.25
<NA> 12.25
<NA> 12.25
<NA> 12.25

using %I in the format= above also didn't work. I gather that this is not a
timezone problem and has to do with the way the time format is understood by
R when generating a  time index for the XTS object.

Thanks in advance for your time and answers, Costas
--


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Joshua Ulrich
#
On Mon, Sep 17, 2012 at 2:15 PM, Dave <miniflowtrader at gmail.com> wrote:
It also must be in GMT, i.e. no daylight saving time.

--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com