[R] [R-SIG-Finance] AsOf join in R

[Robert A'gata]

Hi Roupell,

Yes I am aware of RTAQ function matchTradesQuotes. But my time series
does not follow the TAQ format like they suggest. So I gave it a try
and find that it doesn't work. In particular, my time series contain
full level 2 order book and trades. I want to do asof join of the book
to the trade. Is there any better way? Or I misunderstand anything
about the RTAQ's function? Thank you.

Robert

On Wed, Oct 5, 2011 at 1:59 AM, Roupell, Darko <Darko.Roupell at cba.com.au> wrote:
> na.locf {zoo}, should do a job, also if you look in RTAQ they wrote a function that looks on previous tick and carries forward value in case its not available.
>
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> -----Original Message-----
> From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Robert A'gata
> Sent: Wednesday, 5 October 2011 2:41 PM
> To: r-help at r-project.org; r-sig-finance at stat.math.ethz.ch
> Subject: [R-SIG-Finance] AsOf join in R
>
> Hi,
>
> I tried to google for any solution for asof join operator in R. But I
> couldn't find one. The asof join operator AsOf(A,B) merges 2 time
> series by looking for latest available value of B prior to each time
> point in A. For example,
>
> A <- xts(c(10,15,20,25),
> order.by=as.POSIXct(c("2011-09-01","2011-09-09","2011-09-10","2011-09-15"))
>
> B <- xts(c(1.1,1.5,1.3,1.7),
> order.by=as.POSIXct(c("2011-08-31","2011-09-09","2011-09-11","2011-09-12"))
>
> AsOf(A,B) should return
>
>                    A       B
> 2011-09-01    10     1.1
> 2011-09-09    15     1.1     #  (because latest value B prior to
> 2011-09-09 is 1.1)
> 2011-09-10    20     1.5
> 2011-09-15    25     1.7
>
> How do I write the above AsOf function in R? The merge function does
> not do what I want because it will align points that have the same
> time stamp together while what I want is actually latest value prior
> to timestamp in A. Any example would be greatly appreciated. Thank
> you.
>
> Cheers,
>
> Robert
>
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