I'm having a little trouble early on using the convert() function in RTAQ to convert .csv taq intraday trade data into an .RData format. I type this:
> from <- "2012-02-01" > to <- "2012-02-29" > ###convert data to .RData format > convert(from, to, datasource = "/home/taylor/Desktop/trading", datadestination = "/home/taylor/Desktop/trading", trades = T, quotes = F, ticker = "AAPL", dir = F, extention = "csv", header = F)
and get this error:
 "no trades for stock AAPL" There were 42 warnings (use warnings() to see them) > warnings() Warning messages: 1: In file(file, "rt") : cannot open file '/home/taylor/Desktop/trading/2012-02-01 AAPL_trades.csv': No such file or directory
or i type this:
> convert(from, to, datasource = "/home/taylor/Desktop/trading/aapl 2012-02.csv", datadestination = "/home/taylor/Desktop/trading", trades = T, quotes = F, ticker = "AAPL", dir = F, extention = "csv", header = F)
and get this error
Error in setwd(datasource) : cannot change working directory
My hunch is that the raw data isn't in the anticipated format. In the documentation for RTAQ it mentions that the raw trade data has 9 columns (with no sample picture), however my data has 15 columns. An example row:
The columns are Date, Time (HHMMSS), MS, Symbol, Exchange, Sale Condition, Trade Volume, Trade Price, Trade Stop Stock Indicator, Trade Correction Indicator, Trade Sequence Number, Source of Trade, Trade Reporting Facility, Symbol Root, and Symbol Suffix, respectively. If I have to change the format of the raw data, which columns do i drop/combine?
Thanks in advance for any help.