[R-SIG-Finance] Update price data on disk using mmap package

Wolfgang Wu wobwu22 at gmail.com
Wed Feb 29 10:58:18 CET 2012

Hello everyone,

I am currently storing my price data for fast access as a mmap file on 
disk. This works great and is super fast. All data is in one big file 
which I subset to get the data I need into memory.

Now I will need to update that data that is stored on disk on a daily 
basis to store new data. The solution I currently have is to load all 
data into memory, append the new data to the data in memory and then 
store everything again as mmap on disk. Unfortunately I am running into 
memory problems now when loading all of the data into memory.

So my question is:  Is it possible to append new prices directly into my 
file on disk without loading everything into memory? And if, how?

Any help is appreciated!!

Here is an example of what I am trying to do:


#Just for setting up the example
xtsPrices <- SPY[1:(nrow(SPY)-1), ];
xtsNewPrice <- last(SPY);

#Save prices in mmap on disk
cFile <- 'C:/temp/PriceData.mmap'
nPrices <- as.numeric(xtsPrices);
mmapPrices <- as.mmap(nPrices, mode=double(), file=cFile);

#Now I would like to append the new prices directly to the mmap object 
on disk
mmapPrices <- mmap(file=cFile, mode=double());
nNewPrice <- as.numeric(xtsNewPrice);
mmapPrices <- c(mmapPrices, nNewPrice); #This line does not work how I 
hoped it would.



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