[R-SIG-Finance] Irregular time series and tick data

[Noah Silverman]

Additionally,

I currently have date and time in two columns.  How would I coerce that into a proper timestamp for xts?

Thanks!!


--
Noah Silverman
Smart Media Corp.
WebClipping.com
Tel: (323) 653-1900 x5207

On Apr 15, 2011, at 5:36 PM, Jeff Ryan wrote:

> Hi Noah. 
> 
> Take a look through the list archives, you'll find this is a very common question. 
> 
> My (biased) reply is use xts. Highly optimized for tick data, very fast (mostly C) and widely used/depended upon. 
> 
> Aside from that, zoo is stellar - though might be tougher with tick data and will also complain about duplicate times. 
> 
> fts and timeSeries are quite good as well, though different (fts is actually a wrapper to a C++ library by the same author). timeSeries is part of rmetrics, and is nice, though not really built for big/high freq data. 
> 
> ts, its, irts, are really quite old and exist only for particular legacy reasons best I can tell. 
> 
> data.table isn't a time series per se, but is quite a cool replacement for data.frames. 
> 
> Check the list (as recently as the last few posts even!), and give them all a test - that's the best part of OSS. 
> 
> Jeff
> 
> Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com
> 
> www.lemnica.com
> 
> On Apr 15, 2011, at 6:32 PM, Noah Silverman <noah at smartmediacorp.com> wrote:
> 
>> Hi,
>> 
>> I have some tick data that I want to analyze.
>> 
>> The file given to me has date and time in separate columns.
>> There may be multiple transactions with the same date and time stamps
>> 
>> I tried using the its package to convert them into a nice time series object, but it complains about multiple items with the same index.
>> 
>> Does anyone have any guidance as to how to best do this in R??
>> 
>> Below are a few lines of the data
>> symbol as_of_date as_of_time close_price volume
>> 1  WCH07 2007-01-01   18:32:01      882.50     20
>> 2  WCH07 2007-01-01   18:32:01      882.50      5
>> 3  WCH07 2007-01-01   18:32:06      882.75      2
>> 4  WCH07 2007-01-01   18:32:06      883.00      1
>> 5  WCH07 2007-01-01   18:32:06      883.00      2
>> 6  WCH07 2007-01-01   18:32:07      883.00      1
>> 
>> Thanks!
>> 
>> -N
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