zoo objects and millisecond timestamps
quick question on tick data. I have tons of data under this format which I believe is perfect for what I'm trying to achieve. I want to keep some granularity in order to be able to trigger buy/sell signal under a second.

> data

           SYMBOL  TIMESTAMP            STAMP   PRICE  SIZE EXCHANGE   BID BIDEX BIDSIZE   ASK ASKEX ASKSIZE
    1        SPXU 1330938005 1330938005000000      NA    NA       9.99   PSE       5 10.10   PSE       6
    2        SPXU 1330938221 1330938221000000      NA    NA       9.99   PSE       5 10.19   PSE       1
    3        SPXU 1330938221 1330938221000001 10.1000   600      PSE    NA        NA    NA        NA
    4        SPXU 1330938392 1330938392000000      NA    NA      10.00   PSE     174 10.19   PSE       1
    5        SPXU 1330938431 1330938431000000      NA    NA      10.00   PSE     175 10.19   PSE       1
    6        SPXU 1330938468 1330938468000000      NA    NA      10.00   PSE       1 10.19   PSE       1
    7        SPXU 1330938736 1330938736000000      NA    NA      10.04   PSE      46 10.19   PSE       1
    8        SPXU 1330938843 1330938843000000      NA    NA      10.04   PSE      47 10.19   PSE       1
    9        SPXU 1330939576 1330939576000000      NA    NA      10.04   PSE       1 10.19   PSE       1
    10       SPXU 1330939615 1330939615000000      NA    NA      10.05   PSE     100 10.19   PSE       1
    11       SPXU 1330939615 1330939615000001      NA    NA      10.05   PSE     100 10.19   PSE     101
    12       SPXU 1330939621 1330939621000000      NA    NA      10.04   PSE       1 10.19   PSE     101
    13       SPXU 1330939621 1330939621000001      NA    NA      10.04   PSE       1 10.19   PSE       1
    14       SPXU 1330939623 1330939623000000      NA    NA      10.05   PSE      46 10.19   PSE       1
    15       SPXU 1330939623 1330939623000001      NA    NA      10.05   PSE      46 10.18   PSE      46
    16       SPXU 1330939638 1330939638000000      NA    NA      10.04   PSE       1 10.18   PSE      46
    17       SPXU 1330939686 1330939686000000      NA    NA      10.04   PSE       1 10.19   PSE       1
    18       SPXU 1330939825 1330939825000000      NA    NA      10.05   PSE     100 10.19   PSE       1
    19       SPXU 1330939825 1330939825000001      NA    NA      10.05   PSE     100 10.19   PSE     101
    20       SPXU 1330939833 1330939833000000      NA    NA      10.04   PSE       1 10.19   PSE     101
    21       SPXU 1330939833 1330939833000001      NA    NA      10.04   PSE       1 10.19   PSE       1
    22       SPXU 1330939833 1330939833000002      NA    NA      10.04   PSE     101 10.19   PSE       1
    23       SPXU 1330939833 1330939833000003      NA    NA      10.04   PSE     101 10.19   PSE     101
    24       SPXU 1330939941 1330939941000000      NA    NA      10.04   PSE     101 10.19   PSE     102
    25       SPXU 1330940041 1330940041000000      NA    NA      10.04   PSE       1 10.19   PSE     102

I want to be able to have zoo objects created keeping the millisecond granularity. I'm unable to transform the "data$STAMP" into a date. How can I do this?

working:

    > as.POSIXlt(data2$TIMESTAMP[3], origin="1970-01-01", tz="EST")
    [1] "2012-03-05 04:01:36 EST"

not working:

    > as.POSIXlt(data2$STAMP[3], origin="1970-01-01", tz="EST")
    [1] "))0'-06-03 15:45:52 EST"
zoo objects and millisecond timestamps
===

quick question on tick data. I have tons of data under this format which I believe is perfect for what I'm trying to achieve. I want to keep some granularity in order to be able to trigger buy/sell signal under a second.

> data

           SYMBOL  TIMESTAMP            STAMP   PRICE  SIZE EXCHANGE   BID BIDEX BIDSIZE   ASK ASKEX ASKSIZE
    1        SPXU 1330938005 1330938005000000      NA    NA       9.99   PSE       5 10.10   PSE       6
    2        SPXU 1330938221 1330938221000000      NA    NA       9.99   PSE       5 10.19   PSE       1
    3        SPXU 1330938221 1330938221000001 10.1000   600      PSE    NA        NA    NA        NA
    4        SPXU 1330938392 1330938392000000      NA    NA      10.00   PSE     174 10.19   PSE       1
    5        SPXU 1330938431 1330938431000000      NA    NA      10.00   PSE     175 10.19   PSE       1
    6        SPXU 1330938468 1330938468000000      NA    NA      10.00   PSE       1 10.19   PSE       1
    7        SPXU 1330938736 1330938736000000      NA    NA      10.04   PSE      46 10.19   PSE       1
    8        SPXU 1330938843 1330938843000000      NA    NA      10.04   PSE      47 10.19   PSE       1
    9        SPXU 1330939576 1330939576000000      NA    NA      10.04   PSE       1 10.19   PSE       1
    10       SPXU 1330939615 1330939615000000      NA    NA      10.05   PSE     100 10.19   PSE       1
    11       SPXU 1330939615 1330939615000001      NA    NA      10.05   PSE     100 10.19   PSE     101
    12       SPXU 1330939621 1330939621000000      NA    NA      10.04   PSE       1 10.19   PSE     101
    13       SPXU 1330939621 1330939621000001      NA    NA      10.04   PSE       1 10.19   PSE       1
    14       SPXU 1330939623 1330939623000000      NA    NA      10.05   PSE      46 10.19   PSE       1
    15       SPXU 1330939623 1330939623000001      NA    NA      10.05   PSE      46 10.18   PSE      46
    16       SPXU 1330939638 1330939638000000      NA    NA      10.04   PSE       1 10.18   PSE      46
    17       SPXU 1330939686 1330939686000000      NA    NA      10.04   PSE       1 10.19   PSE       1
    18       SPXU 1330939825 1330939825000000      NA    NA      10.05   PSE     100 10.19   PSE       1
    19       SPXU 1330939825 1330939825000001      NA    NA      10.05   PSE     100 10.19   PSE     101
    20       SPXU 1330939833 1330939833000000      NA    NA      10.04   PSE       1 10.19   PSE     101
    21       SPXU 1330939833 1330939833000001      NA    NA      10.04   PSE       1 10.19   PSE       1
    22       SPXU 1330939833 1330939833000002      NA    NA      10.04   PSE     101 10.19   PSE       1
    23       SPXU 1330939833 1330939833000003      NA    NA      10.04   PSE     101 10.19   PSE     101
    24       SPXU 1330939941 1330939941000000      NA    NA      10.04   PSE     101 10.19   PSE     102
    25       SPXU 1330940041 1330940041000000      NA    NA      10.04   PSE       1 10.19   PSE     102

I want to be able to have zoo objects created keeping the millisecond granularity. I'm unable to transform the "data$STAMP" into a date. How can I do this?

working:

    > as.POSIXlt(data2$TIMESTAMP[3], origin="1970-01-01", tz="EST")
    [1] "2012-03-05 04:01:36 EST"

not working:

    > as.POSIXlt(data2$STAMP[3], origin="1970-01-01", tz="EST")
    [1] "))0'-06-03 15:45:52 EST"