我是R的新手,并且Chris Reeves已按照YouTube的教程进行了操作 我正在使用xts和to.period从tick / second数据创建OHLC。
我的代码
Last = AAPL.Last
Bid = AAPL.Bid
Ask = AAPL.Ask
colnames(Last) = c("TimeStamp","Price","Size")
colnames(Bid) = c("TimeStamp","Price","Size")
colnames(Ask) = c("TimeStamp","Price","Size")
Last$TimeStamp = strptime(Last$TimeStamp, "%Y%m%d %H%M%S")
Bid$TimeStamp = strptime(Bid$TimeStamp, "%Y%m%d %H%M%S")
Ask$TimeStamp = strptime(Ask$TimeStamp, "%Y%m%d %H%M%S")
require("xts")
xtsLast = as.xts(Last$Price,order.by=Last$TimeStamp,frequency=NULL)
xtsAsk = as.xts(Ask$Price,order.by=Ask$TimeStamp,frequency=NULL)
xtsBid = as.xts(Bid$Price,order.by=Bid$TimeStamp,frequency=NULL)
require("quantmod")
chartSeries(xtsLast)
bars = to.period(xtsLast,
period = "seconds",
k=60,
indexAt = "startof",
name = NULL,
OHLC = TRUE):
require("quantmod")
chartSeries(bars)
返回的错误是:
to.period错误(xtsLast,句号=“秒”,k = 60,indexAt = “startof”,:尝试在SET_STRING_ELT中设置索引4/4
我已经搜索了答案,但我无法得到完整的答案,因此请在此处提出。如果这是一个非常基本的问题,我道歉。
我使用RStudio与Rx64 3.1.1一起工作Windows 7。
谢谢, ħ
答案 0 :(得分:0)
如果您未设置name = NULL
,则此方法有效。
require(quantmod)
base_url <- "http://www.reevesresearch.com/codes/TickDataAAPL/"
Last <- read.table(paste0(base_url, "AAPL.Last.txt"), sep=";")
colnames(Last) <- c("TimeStamp","Price","Size")
Last$TimeStamp <- strptime(Last$TimeStamp, "%Y%m%d %H%M%S")
xtsLast <- xts(Last$Price, order.by=Last$TimeStamp)
bars <- to.minutes(xtsLast, k=1, indexAt="startof")