[R-SIG-Finance] process order-book/trade data
sarswat at gmail.com
Tue Jul 14 19:42:43 CEST 2009
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?
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