[R-SIG-Finance] Dealing with large dataset in quantmod

Gabriele Vivinetto [Public address] public at gabrielevivinetto.it
Thu Jan 12 19:46:28 CET 2012


Hello to the mailing list.
I'm a newbie in R, and this is my first post.
I've evaluated quantmod using EOD data from yahoo, and everything went fine.
I have a mysql database containing tick by tick data (in a format
suitable for quantmod getSymbols.MySQL) and I have tried to use these data.
Using a table with a small subset of the data (1000 rows) there is no
problem.
But if I try to use a table with all the record (~6 millions rows), R is
very slow and memory hungry (simply speaking it crashes all the times
after loading the data...).
As a workaround I've modified the getSymbols.MySQL R function to accept
from= and to= parameters, so the sql SELECT gives to R a desired subset
of data, but using more than 100k records is a pain.
Someone has a workaround or suggestions for using large datasets with
quantmod ?

Thank you !
-- 
Gabriele Vivinetto
http://www.gabrielevivinetto.it



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