[R] irregular time series and multiple, overlaid plots

[Gabor Grothendieck]

Look at the zoo and quantmod packages.

On Sat, May 10, 2008 at 12:51 AM, falcon <shahbazc at gmail.com> wrote:
>
> I am new to R and am trying to solve the following problem:
>
> I have a data file containing tick-by-tick, millisecond level prices for
> some stocks.  I have another file or two containing orders and trades,
> again, with millisecond time-stamps.  Both of these files are irregularly
> spaced and the time stamps are in an iso format (<date>
> <time>.<millisecond>)
>
> I would like to create a price chart, and overlay on it the times and prices
> at which orders were sent out and trades were received.
>
> My purpose is basically to visualize the data to help me pinpoint problems
> and visually describe a day's trading activity.  I am not (yet) interested
> in any detailed statistical analysis.
>
> >From what I have read, the basic time series (ts) object is not appropriate
> since it is only for regularly spaced time series.  The few examples I have
> seen for the 'its' package, generate an artificial time series, rather than
> reading from a file, extracting out relevant columns (say a time stamp
> column and a price column) and converting that to the right time series
> object (including taking care of time stamp formats).
>
> Any idea how I can approach this problem?
>
> Thanks
> Falcon
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