Reading CSV in R with zoo

问题

I have a CSV in the following format:

TICKER,PER,DATE,TIME,CLOSE
SYMBOL,1,20160104,1002,14180.0000000
SYMBOL,1,20160104,1003,14241.0000000

I would like to read it into a time series:

f <- function(a, b) {
    c <- paste(a, b)
    return(strptime(c, format = "%Y%m%d %H%M"))
}
d <- read.zoo("test.csv", FUN = f, index.column = list("DATE", "TIME"))

And what I get is index does not match data. Why?

回答1:

You need to specify header = TRUE and sep = ",", since they are not the defaults for read.zoo like they are for read.csv.

d <- read.zoo(text="TICKER,PER,DATE,TIME,CLOSE
SYMBOL,1,20160104,1002,14180.0000000
SYMBOL,1,20160104,1003,14241.0000000",
  FUN = f, index.column = list("DATE", "TIME"),
  header=TRUE, sep=",")
d
#                     TICKER PER CLOSE
# 2016-01-04 10:02:00 SYMBOL 1   14180
# 2016-01-04 10:03:00 SYMBOL 1   14241

回答2:

Character and numeric columns can't both be part of the time series data because the data portion of a zoo object is a matrix (and a matrix must be all numeric, all character or all other type); however, one can split to wide form on the character column using split= Also we can avoid having to specify function f by specifying format= and tz=. Further, we must specify that a header is present (header=) and that fields are separated with the "," character (sep=).

(Below we have used text = Lines for reproducibliity but in reality replace that with "test.csv".)

Lines <- "TICKER,PER,DATE,TIME,CLOSE
SYMBOL,1,20160104,1002,14180.0000000
SYMBOL,1,20160104,1003,14241.0000000"

library(zoo)

read.zoo(text = Lines, header = TRUE, sep = ",", index = c("DATE", "TIME"), 
  split = "TICKER", format = "%Y%m%d %H%M", tz = "")

giving:

                    PER CLOSE
2016-01-04 10:02:00   1 14180
2016-01-04 10:03:00   1 14241

Note: If you do want to use your function f anyways then omit format and tz and use:

read.zoo(text = Lines, header = TRUE, sep = ",", index = c("DATE", "TIME"), 
  split = "TICKER", FUN = f)

This would also work, i.e. read it into a data frame and then read the data frame into a zoo object:

DF <- read.csv(text = Lines) # read.csv defaults to header=TRUE, sep=","
read.zoo(DF, index = c("DATE", "TIME"), split = "TICKER", FUN = f)

来源：https://stackoverflow.com/questions/38172226/reading-csv-in-r-with-zoo

标签

csv

xts

zoo