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

Brian G. Peterson brian at braverock.com
Tue Jul 14 19:52:15 CEST 2009

- Use xts, it can handle millions of observations in memory
- Process one symbol or group of symbols at a time
- use to.period() to create OHLC(V) data from tick data
- for bid/ask quote data, use to.period on the bids and asks separately.


   - Brian

suneel wrote:
> 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

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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