[R] RTAQ - convert function: warning causes incorrect loading of data

R. Michael Weylandt michael.weylandt at gmail.com
Fri Oct 12 22:52:22 CEST 2012

I'm forwarding this to the R-SIG-Finance list, where ou'll have a more
specialized audience.

In the meanwhile, you may wish to look at

Finally, I note you're posting from Nabble. Please do include context in
your reply -- I don't believe Nabble does this automatically, so
you'll need to manually include it. Most of the regular respondents on
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On Fri, Oct 12, 2012 at 7:01 PM, caprarn9 <caprarn9 at cs.man.ac.uk> wrote:
> Hello,
> I am closely following the RTAQ documentation in order to load my dataset
> into R, however I get this warning when running the convert function in the
> following way:
> convert(from="2010-11-01", to="2010-11-01",datasource=datasource,
> datadestination=datadestination,trades=T,quotes=T,ticker="BAC",dir=T,
> extention="csv", header=T, tradecolnames=c("SYMBOL", "DATE", "TIME",
> "PRICE", "SIZE", "G127", "CORR", "COND", "EX"), quotecolnames=c("SYMBOL",
> "DATE", "TIME", "BID", "OFR", "BIDSIZ", "OFRSIZ", "MODE", "EX"))
> The only warning returned is:
> In `[<-.factor`(`*tmp*`, is.na(tdata$G127), value = c(1L, 1L, 1L,  :
>   invalid factor level, NAs generated
> As it is a warning, the .RData files still get created and I can use TAQLoad
> to load them:
> x <-
> TAQLoad("BAC",from="2010-11-01",to="2010-11-01",datasource=datadestination,
> trades=T,quotes=T)
> head(x)
> <NA> "BAC"  "B" "11.4900" "  500" "@"  "0"  "0"
> ...
> This is the same for the quotes objects, but different headers obviously. I
> get a <NA> instead of the expected YYY-MM-DD HH:MM:SS format for each
> observation.
> I've spent a fair number of hours on trying to get this right, no success.
> Can you please provide me with some guidance?
> Thank you.
> A sample from the CSV files I use:
> BAC,20101101,9:30:00,11.5,11.51,5,116,12,P
> ...
> BAC,20101101,10:30:00,11.49,500,0,0,@,B
> ...
> --
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