[R-SIG-Finance] process order-book/trade data

suneel sarswat at gmail.com
Tue Jul 14 19:42:43 CEST 2009


Hi Friends,
                 Currently I am handling high-frequency data for my 
research work, and I have two specific query regarding that.
1) I want convert trade data into minute-wise data with for column 
(high, low, open, close), since my data for each day is around 600MB, 
"scan" or "read.table" is not the best way to work around for reading 
the data. Any suggestion/program would be helpful, since I am new to R.
2) For order data I have to convert them into trade data and order 
snap-shots. any help?
Thanks,
Suneel



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