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Loading High Frequency data
Posted: Mon Oct 29, 2012 4:46 pm
by jenny
I am trying to load this HFT 1 min data into eviews. I am loading it as an unstructured dataset and trying to create date_time variable which then I could use the pagestruct command to make the workfile a timeseries. So far I have been able to load the data but havent been able to make it time series. What do I do?
Thank you!
Re: Loading High Frequency data
Posted: Mon Oct 29, 2012 4:56 pm
by EViews Gareth
Hard to tell without seeing the data set.
Re: Loading High Frequency data
Posted: Mon Oct 29, 2012 6:07 pm
by jenny
Sorry, I had to shrink it to meet the 2KB limit. Should be attach now. Thank you again. The file extends to the end of the year, so 12/31/2011.
Re: Loading High Frequency data
Posted: Tue Oct 30, 2012 1:32 pm
by EViews Chris
I think this should do the trick
wfload data_del.csv @id @date(dateid) @genr dateid=@dateval(series01, "YYYY.MM.DD")+series02
Note that I'm using addition to combine the day and time-of-day series.
I'm not sure exactly why we're not reading this in automatically. It might be that we're not expecting "." to be used as a Year/Month/Day delimiter. (If you change the incoming data to use '-' we read the file automatically).