High Frequency Data

[lakshmanmv]

I have high frequency financial data; the data for each day is in a rar file or excel file. I need to handle data for 2 years, ie., about 500 files (500 days trading data). I find that eviews can open rar extension file. Can I bring in all this data into one eviews work file for data manipulation? Or can I save all external data as eviews workfiles and access them with one command? I am using eviews 7.0 for studying financial data (no programming skills).

[EViews Gareth]

Probably the best thing to do is unrar the files outside of EViews, then just open them all up in to one workfile. Doing it without programming will mean manually opening up those 500 files.

[lakshmanmv]

Thank you. But if I open the files in excel, the data is exceeding the number of rows in Excel. Is there any other way I can link/ merge this data - any library function or routine that can access all these files?

[EViews Gareth]

Just open them in EViews. No need to open them in Excel.

[lakshmanmv]

Thank you, will open each file in a new page.

[lakshmanmv]

As I keep adding each page to the data, it is taking a lot of time and the file is crashing many times. Can I access data by using any routines/ library functions? There must be a better way of doing this.

[EViews Gareth]

Probably best to delete each page after using it. Have a workfile with 500 pages (especially in EViews 7, not will probably never work.

[lakshmanmv]

I need to work on the entire data, not one page at a time as it comprises high frequency stock transaction data. Is there a way out with programming?

[EViews Gareth]

What you want to be doing is opening each file as a new page, copying the data onto a master page, deleting that page, then moving onto the next file. Then you'll end up with the data from all 500 files in one page. If you try to keep all 500 pages around in separate pages it will never work.

[lakshmanmv]

I imported the first day's data into the first page and appended the next day's data to it. I am going on in this way. Ultimately, I will have only 1 page with 500 days' data. I am using the File--> Import --> Import data from File. I am using 'Append to End' option under the Import Method. But I am running into another limitation. Eviews has a max of only 15 million observations. Sometimes each day has over 1 million observations - does not fit an Excel file.

[EViews Gareth]

EViews 8 64bit has a maximum of over 120,000,000 observations.

[lakshmanmv]

Eviews 7 is not accepting more than 15 million observations.
I get an error message: 'Too many observations'.
See 'Options/ Advanced System Configuration' to increase max observations'.
I have already increased the maxm. observations from 4 to 15 million.

[EViews Glenn]

You need EViews 8 64-bit.