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

Carlos J. Gil Bellosta cgb at datanalytics.com
Tue Jul 14 19:51:53 CEST 2009

2009/7/14 suneel <sarswat at gmail.com>:
> 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.

For that, you may want to check my package "colbycol". You can install
it according to the instructions at


I tried to keep the functions interface there as close as possible to
"read.table" and friends. However, files are read column by column.
The process may be a bit slower, but it allows you to fit into memory
datasets which, as text files, were originally bigger than your RAM.

Best regards,

Carlos J. Gil Bellosta

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