Thursday, April 21, 2011

How to load csv data with quantmod in R

In this article I'm going to describe how to load data in an xts object, which is the preferred object to handle time series quantmod from a CSV file. This article is really for beginner (like myself), hopefully those can be helpful to others.

Let's imagine you have some csv data that look like:

First thing you need to make sure is that you column headers have names that contain  Open, High, Low and Close. This will make you life much easier. Secondly, your csv file should only contain dates, and numerical data, otherwise it's kind of a hassle and you have to go and manually convert data afterwards. So  what your data should really look like is:

Personnally I "massaged" the data in R, but you could very well do that in Excel, Perl, Python, or whatever tool you fancy (or simply correct the data at the source ;) ) but for the sake of example this is how I did it:

Now that you have the correct data, it's pretty simple to load :

You're now the proud owner of an xts object that you can start abusing in all the ways you'd like ;)

Hope this helps