[R-SIG-Finance] Process used to manage workspace and large data files

Brian G. Peterson brian at braverock.com
Sat May 14 04:08:25 CEST 2011

We stored tick data as binary xts (not XTS, R is case sensitive)
rda/RData objects on disk.  This was more than fast enough, and far
faster than MySQL.

   - Brian

On Fri, 2011-05-13 at 18:48 -0700, algotr8der wrote:
> I think I have been working inefficiently with how I manage my workspace and
> large data files. I was working with daily stock price data so my
> inefficiencies were manageable but now I have moved to intraday data and
> need to optimize. As such, I installed mySQL db on the same machine I
> operate R to store the intraday data (minute frequency). 
> However, I find that loading minute stock data using dbGetQuery is very
> slow. I have read several comments here on using RData files or
> getSymbols.mySQL but would greatly appreciate further insight.
> The structure of the table in mySQL that stores the minute data is as
> follows:
> date, time, open, high, low, close, volume
> Every time I load data into R I have to perform manipulations on the date
> and time column to get the data into the right format before I can generate
> an XTS object of the data. I'm wondering whether I need to combine the date
> and time columns in mySQL into one date column with the format as follows so
> that I can use getSymbols.mySQL:
> %m/%d/%Y %h:%i:%s %p
> It seems to me that getSymbols.mySQL would need the date to be in the
> aforementioned format as otherwise how else is it going to produce an XTS
> object if time is stored in a separate column. 
> As a note - I am the only one who accesses the data.
> I would greatly appreciate it if you could share your experiences and
> possibly your data/workspace set up.
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Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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