[R-SIG-Finance] Irregular time series and tick data
noah at smartmediacorp.com
Sat Apr 16 02:52:14 CEST 2011
I currently have date and time in two columns. How would I coerce that into a proper timestamp for xts?
Smart Media Corp.
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.
> Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com
> On Apr 15, 2011, at 6:32 PM, Noah Silverman <noah at smartmediacorp.com> wrote:
>> 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
>> R-SIG-Finance at r-project.org mailing list
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions should go.
More information about the R-SIG-Finance