Hi everyone,

I'm trying to use R to do some analysis of intraday data.
Currently I have quotes for one symbol (every 1 min, from 930am to 4pm) and
about a month and a half of data, and I'm computing things such as the
trailing 1 hour and 3 hour maximums and minimums for that ticker.
I'm making use of commands such as max(last(myXTS[1:t],'3 hours')) for
every t, and I'm finding it rather slow as it takes about 60s to run for
12500 observations on a modern workstation.

Am I making improper or unoptimized use of the xts functions? Could someone
give me a few points to speed up that kind of calculation? (If the answer
is "I know this great time series library in C"... that's ok.)

Thanks in advance.

ED

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