[R-SIG-Finance] Speed optimization on minutes distribution calculation

[Wind]

periodicity() function in xts is a good tool for axis manipulation.

Maybe I should not use character string methods to complie the
distribution of minutes volume, as Brian suggested.   But what
function should be used for such task in R?  I've tried in kdb+ , it
is  somewhat simple and quick enough with select and xbar function.
But I am not familiar with R.  Maybe there is some functions for this
specific task I don't know.

Thanks Brian.


On Tue, Jun 16, 2009 at 8:00 AM, Brian G. Peterson<brian at braverock.com> wrote:
> It seems that the slow part is all the character string manipulation.  This
> would be slow in almost any programming language.   Honestly, I am always
> annoyed by useless axes in charts that simply count from 1 to n.  A time
> axis at least has some real meaning, and avoids the useless rewriting of
> character strings.
>
> You should be able to get a meaningful, readable axis using the
> periodicity() function in xts without the string manipulation.
>
> Regards,
>
>   - Brian
>
> Wind wrote:
>>
>> I want to plot the distribution of volume of the future  CLN9 along
>> the 24 hours axis.   The following codes could complete the task.  But
>> it is very time consuming when sapply(mins,function(x)
>> {mean(hqm[which(format(index(hqm),"%H:%M")==x),5])}).
>> Any suggestion for codes with better performance would be highly
>> appreciated.
>>
>>
>> The data hqm has been retrieved from IB via IBrokers.
>>
>>
>>>
>>> head(hqm[,5])
>>>
>>
>>                    CLN9.Volume
>> 2009-05-25 06:00:00          17
>> 2009-05-25 06:01:00           2
>> 2009-05-25 06:02:00          11
>> 2009-05-25 06:03:00          26
>> 2009-05-25 06:04:00          20
>> 2009-05-25 06:05:00           5
>>
>>>
>>> tail(hqm[,5])
>>>
>>
>>                    CLN9.Volume
>> 2009-06-15 21:51:00        1050
>> 2009-06-15 21:52:00         807
>> 2009-06-15 21:53:00         782
>> 2009-06-15 21:54:00         385
>> 2009-06-15 21:55:00         562
>> 2009-06-15 21:56:00         423
>>
>>>
>>>
>>> mins<-unlist(lapply(0:23,function(h){sapply(0:59,function(m){paste(sprintf("%02d",h),sprintf("%02d",m),sep=":")})}))
>>> head(mins)
>>>
>>
>> [1] "00:00" "00:01" "00:02" "00:03" "00:04" "00:05"
>>
>>>
>>> tail(mins)
>>>
>>
>> [1] "23:54" "23:55" "23:56" "23:57" "23:58" "23:59"
>>
>>
>>>
>>> temp<-sapply(mins,function(x)
>>> {mean(hqm[which(format(index(hqm),"%H:%M")==x),5])})
>>> head(temp)
>>>
>>
>>   00:00    00:01    00:02    00:03    00:04    00:05
>> 279.1333 284.9333 247.8667 176.3333 278.8667 179.0667
>>
>>>
>>> tail(temp)
>>>
>>
>>   23:54    23:55    23:56    23:57    23:58    23:59
>> 250.2667 312.7333 318.9333 210.8000 258.2000 232.8667
>>
>>>
>>> plot(temp)
>>>
>>
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>
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>
>