Fwd: dataset to xts conversion issue with timeseries data

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Fwd: dataset to xts conversion issue with timeseries data

Aritra Pan
Sorry, if it is becoming duplicate message. Any suggestion will be highly appreciated.

--
Thanks,
Aritra

----- Original Message -----

From: "Aritra Pan" <[hidden email]>
To: "R-SIG-Finance" <[hidden email]>
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



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Re: Fwd: dataset to xts conversion issue with timeseries data

Ilya Kipnis
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 <
[hidden email]> wrote:

> Sorry, if it is becoming duplicate message. Any suggestion will be highly
> appreciated.
>
> --
> Thanks,
> Aritra
>
> ----- Original Message -----
>
> From: "Aritra Pan" <[hidden email]>
> To: "R-SIG-Finance" <[hidden email]>
> 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
>
>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] 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.
>

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Re: Fwd: dataset to xts conversion issue with timeseries data

Aritra Pan
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.

--
Thanks,
Aritra

----- Original Message -----

From: "Ilya Kipnis" <[hidden email]>
To: "Aritra Pan" <[hidden email]>
Cc: [hidden email]
Sent: Friday, May 13, 2016 10:39:18 AM
Subject: Re: [R-SIG-Finance] Fwd: dataset to xts conversion issue with timeseries data

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 < [hidden email] > wrote:


Sorry, if it is becoming duplicate message. Any suggestion will be highly appreciated.

--
Thanks,
Aritra

----- Original Message -----

From: "Aritra Pan" < [hidden email] >
To: "R-SIG-Finance" < [hidden email] >
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



[[alternative HTML version deleted]]

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-- Also note that this is not the r-help list where general R questions should go.






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Re: Fwd: dataset to xts conversion issue with timeseries data

braverock
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 <
> [hidden email]> wrote:
>
>> Sorry, if it is becoming duplicate message. Any suggestion will be
>> highly appreciated.
>>
>> -- Thanks, Aritra
>>
>> ----- Original Message -----
>>
>> From: "Aritra Pan" <[hidden email]> To:
>> "R-SIG-Finance" <[hidden email]> 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

_______________________________________________
[hidden email] 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.
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Re: Fwd: dataset to xts conversion issue with timeseries data

Aritra Pan
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" <[hidden email]>
To: [hidden email]
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 <
> [hidden email]> wrote:
>
>> Sorry, if it is becoming duplicate message. Any suggestion will be
>> highly appreciated.
>>
>> -- Thanks, Aritra
>>
>> ----- Original Message -----
>>
>> From: "Aritra Pan" <[hidden email]> To:
>> "R-SIG-Finance" <[hidden email]> 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

_______________________________________________
[hidden email] 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.

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Re: Fwd: dataset to xts conversion issue with timeseries data

Joshua Ulrich
You still have not explained what you're trying to do.  You say, "to
select data from xts matching particular timestamp was becoming
difficult."  Selecting data for particular timestamps is one of the
problems xts was *designed* to solve, so I doubt xts makes it
difficult.

In your initial email, you said, "I am not able to match my quote data
which are bid dataset and ask dataset."  You need to provide an
example of your quote data, and an example of your desired result from
matching them.

It is much better to describe your problem using raw data and code
than by using words, especially when there's a language barrier.  It
appears English isn't your native language, and many on this list
probably do not speak your native language, but we all speak R.


On Fri, May 13, 2016 at 8:29 AM, Aritra Pan
<[hidden email]> wrote:

> 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" <[hidden email]>
> To: [hidden email]
> 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 <
>> [hidden email]> wrote:
>>
>>> Sorry, if it is becoming duplicate message. Any suggestion will be
>>> highly appreciated.
>>>
>>> -- Thanks, Aritra
>>>
>>> ----- Original Message -----
>>>
>>> From: "Aritra Pan" <[hidden email]> To:
>>> "R-SIG-Finance" <[hidden email]> 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
>
> _______________________________________________
> [hidden email] 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.
>
> _______________________________________________
> [hidden email] 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.



--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2016 | www.rinfinance.com

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Re: Fwd: dataset to xts conversion issue with timeseries data

Aritra Pan
Hi Joshua,

1. If I could share original data with forum, I would love to. But there are some constraints. So, I pasted masked data in my first mail.
2. I somehow missed the matrix structure of xts objects. First, I was hoping to keep the structure from dataframe intact in xts. Ilya cleared the concept.

Hope these resolves your concern.

Enjoy your weekend,

PS: Sorry if I have used bad English.

--
Thanks,
Aritra

----- Original Message -----
From: "Joshua Ulrich" <[hidden email]>
To: "Aritra Pan" <[hidden email]>
Cc: "Brian G. Peterson" <[hidden email]>, "r-sig-finance" <[hidden email]>
Sent: Friday, May 13, 2016 7:41:05 PM
Subject: Re: [R-SIG-Finance] Fwd: dataset to xts conversion issue with timeseries data

You still have not explained what you're trying to do.  You say, "to
select data from xts matching particular timestamp was becoming
difficult."  Selecting data for particular timestamps is one of the
problems xts was *designed* to solve, so I doubt xts makes it
difficult.

In your initial email, you said, "I am not able to match my quote data
which are bid dataset and ask dataset."  You need to provide an
example of your quote data, and an example of your desired result from
matching them.

It is much better to describe your problem using raw data and code
than by using words, especially when there's a language barrier.  It
appears English isn't your native language, and many on this list
probably do not speak your native language, but we all speak R.


On Fri, May 13, 2016 at 8:29 AM, Aritra Pan
<[hidden email]> wrote:

> 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" <[hidden email]>
> To: [hidden email]
> 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 <
>> [hidden email]> wrote:
>>
>>> Sorry, if it is becoming duplicate message. Any suggestion will be
>>> highly appreciated.
>>>
>>> -- Thanks, Aritra
>>>
>>> ----- Original Message -----
>>>
>>> From: "Aritra Pan" <[hidden email]> To:
>>> "R-SIG-Finance" <[hidden email]> 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
>
> _______________________________________________
> [hidden email] 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.
>
> _______________________________________________
> [hidden email] 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.



--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2016 | www.rinfinance.com

_______________________________________________
[hidden email] 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.