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I have a time series data of the format
Time Ask Bid Trade Ask_Size Bid_Size Trade_Size
2016-11-01 09:00:12 NA 901 NA NA 100 NA
2016-11-01 09:00:21 NA NA 950 NA NA 5
2016-11-01 09:00:21 NA 950 NA NA 5 NA
2016-11-01 09:00:21 905 NA NA 10 NA NA
2016-11-01 09:00:24 NA 921 NA NA 500 NA
2016-11-01 09:00:28 NA 879 NA NA 2 NA
The structure of the dataframe is
str(df)
'data.frame': 35797 obs. of 7 variables:
$ Time : POSIXct, format: "2016-11-01 09:00:12" "2016-11-01 09:00:21" ...
$ Ask : num NA NA NA 905 NA NA 1040 NA NA 905 ...
$ Bid : num 901 NA 950 NA 921 879 NA NA 950 NA ...
$ Trade : num NA 950 NA NA NA NA NA 950 NA NA ...
$ Ask_Size : num NA NA NA 10 NA NA 6 NA NA 10 ...
$ Bid_Size : num 100 NA 5 NA 500 2 NA NA 5 NA ...
$ Trade_Size: num NA 5 NA NA NA NA NA 5 NA NA ...
I am trying to convert it to Time Series using the code
library(zoo)
library(xts)
library(lubridate)
df_ts <- xts(x = df, order.by = df$Time)
but am getting weird output as
Time Ask Bid Trade Ask_Size Bid_Size Trade_Size
2016-11-01 01:00:03 "2016-11-01 01:00:03" NA "938.10" NA NA " 203" NA
2016-11-01 01:00:04 "2016-11-01 01:00:04" NA "937.20" NA NA " 100" NA
2016-11-01 01:00:04 "2016-11-01 01:00:04" " 938.00" NA NA " 28" NA NA
2016-11-01 01:00:04 "2016-11-01 01:00:04" NA "938.10" NA NA " 203" NA
2016-11-01 01:00:04 "2016-11-01 01:00:04" " 939.00" NA NA " 11" NA NA
2016-11-01 01:00:05 "2016-11-01 01:00:05" NA "938.15" NA NA " 19" NA
The time in the column "Time" is appearing twice and also the starting time is from 1:00 pm. The order of the time is not as per the original dataformat. (The starting time of the original dataframe is from 9:00 am). Please help.
Try this:
df_ts <- as.xts(x = df[, -1], order.by = df$Time)
Needless to say, this skips the first column.
来源：https://stackoverflow.com/questions/40802927/converting-data-frame-into-time-series-using-r