[R] zoo.read intraday data

[Gabor Grothendieck]

On Tue, Dec 21, 2010 at 11:36 PM, szimine <szimine at gmail.com> wrote:
>
> 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"
>


Read it all in using read.csv and the reread it using read.zoo (note
that read.zoo can read data.frames) excluding the bad columns or else
use the colClasses argument to suppress the unwanted column(s).  Here
are 4 methods.

Lines <-
"<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"

library(zoo)

# method 1. read.csv/read.zoo with split= and removing col 2

DF <- read.csv(textConnection(Lines))
z1 <- read.zoo(DF[-2], split = 1, index = list(3, 4), FUN = f3)

# method 2. read.csv/read.zoo removing col 1 and 2
# this one only works if there is one ticker

DF <- read.csv(textConnection(Lines))
z2 <- read.zoo(DF[-(1:2)], index = list(2, 3), FUN = f3)

# method 3.  read.zoo with colClasses as in #1
colClasses <- c("character", "NULL", "numeric", "character",
"character", rep("numeric", 6))
z3 <- read.zoo(textConnection(Lines), header = TRUE, sep = ",",
  split = 1, index = list(3, 4), FUN = f3, colClasses = colClasses)

#4. A method similar to #2 could also be used based on colClasses.

-- 
Statistics & Software Consulting
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com