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st: time series problem


From   Michael Carney <carneymh@earthlink.net>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: time series problem
Date   Wed, 17 Jul 2002 12:36:56 -0400

I am trying to analyze data from the dow jones cash market and the dow 
futures market. i am having the following problem:

may trading program gives me data that runs in thusly, for example:

TIME         PRICE
10:30          8250
10:30          8253
10:30          8248
10:31          8249
10:31          8250

The time does not include colons and does not pose a problem. What is 
vexing, however, is that Stata cannot convert the data to a time series set 
as my trading program does not differentiate between different values for 
10:30 AM, for example; exporting the data to a text file and pasting in 
Stata's data editor I have many different values for what appears to be 
10:30, for example, but is actually 10:30 and so many seconds. 
Unfortunately, I cannot get copyable data second by second from my trading 
program (TradeStation). Is there any way I can code all of the 10:30 
values, for example, so that i can get the first datum for 10:30, the 
second, third, etc. coded in order to do an adequate time series analysis? 
I want to analyze the market tick by tick and plot a day's worth of 
statistics and run regressions with other markets. ANY help would be 
greatly appreciated.

Thanks much,
Michael Carney


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