rm(list=ls())
options(digits=14)
library(xts)
library(chron)

f <- function(d,t)
{
    #as.chron(paste(as.Date(chron(d)),t))
    as.POSIXct(paste(d,t), format="%Y%m%d %H:%M")
}
setwd("C:/Users/vtomar/Documents/GitHub/Data/TAQ/SPY/SPY_txt")
#d <- read.csv("C:/Users/vtomar/Documents/GitHub/Data/TAQ/SPY/SPY_txt/SPY_1Oct_31Dec_2012.csv", header=T, sep=',')
spy.prices <- read.csv("C:/Users/vtomar/Documents/GitHub/Data/TAQ/SPY/SPY_txt/dec_2012.csv", header=T, sep=',')
#spy.prices <- read.csv("C:/Users/vtomar/Documents/GitHub/Data/TAQ/SPY/SPY_txt/tobedel.txt", header=T, sep=',')
#spy.prices <- read.zoo("C:/Users/vtomar/Documents/GitHub/Data/TAQ/SPY/SPY_txt/dec_2012.csv", header=T, index=2:3, FUN=f,sep=',' )
drops <- c("SYMBOL")
spy.prices<- spy.prices[, !(names(spy.prices) %in% drops)]
spy.prices$DateTime <- strptime(paste(spy.prices$DATE, spy.prices$TIME), "%Y%m%d %H:%M:%S")
drops <- c("DATE", "TIME")
spy.prices<- spy.prices[, !(names(spy.prices) %in% drops)]
#spy.prices <- as.zoo(spy.prices)
spy.prices <- xts(spy.prices$PRICE, order.by=spy.prices$DateTime)
head(spy.prices)
spy.prices <- to.minutes5(spy.prices)
head(spy.prices)
write.zoo(as.zoo(spy.prices), file="5min_prices_dec.csv", index.name="DateTime", col.names=TRUE, sep=",")


spy.prices.5min <- read.csv("5min_prices_dec.csv", sep=",", header=T)
spy.prices.5min$DateTime = as.POSIXct(spy.prices.5min$DateTime)
spy.prices.5min <- xts(spy.prices.5min[,-1], order.by = spy.prices.5min$DateTime)
#spy.prices.5min <- as.xts(read.zoo("5min_prices_dec.csv", index.column=1, sep=",", header=T), order.by="spy.prices$DateTime")