The highfrequency package contains mergeTradesSameTimestamp or the
analagous function for quotes that might be useful for you


On Wed, Apr 16, 2014 at 10:26 AM, David Reiner
<David.Reiner@xrtrading.com>wrote:

> Definitely use xts !
>
> For Question 2, I would merge all, leaving NA's for missing data.
> Then what you do next depends on what you are trying to accomplish,
> but sometimes LOCF can be appropriate,
> for example if these are trades for less liquid instruments.
> However, you may need to do some hard thinking about which of the many
> ways of dealing with missing data would be best for your specific task.
>
> David L. Reiner, Ph.D.
> Head Quant
> XR Trading LLC
>
> PS: better to post in plain text rather than html.
>
> -----Original Message-----
> From: r-sig-finance-bounces@r-project.org [mailto:
> r-sig-finance-bounces@r-project.org] On Behalf Of Chirag Anand
> Sent: Wednesday, April 16, 2014 1:13 AM
> To: r-sig-finance@r-project.org
> Subject: Re: [R-SIG-Finance] Aligning time series
>
> Hi Mikhail,
>
> As Ilya said, xts takes care of it. You can use "merge.zoo" (if using
> zoo) or "merge.xts" to merge two series. The missing timestamps are
> taken care of by the "all" argument. You can use it to specify whether
> to take missing timestamps from both the series, an individual series,
> or not at all. The details are available in the respective man pages
> of the functions.
>
> On 16 April 2014 00:39, Ilya Kipnis <ilya.kipnis@gmail.com> wrote:
> > Mikhail, are you using the xts package? Because when you cbind two xts
> time
> > series, it takes care of alignment for you.
> >
> > -Ilya
> >
> >
> > On Tue, Apr 15, 2014 at 12:07 PM, Mikhail Beketov <
> > mikhailbeketov@googlemail.com> wrote:
> >
> >> Hello,
> >> I have to analyze a large data-set of 1-min stock prices. The problem is
> >> that the time-series for different stocks in my data-set have different
> >> length, as some time points are missing in one series but present in
> >> another etc. So, I have to create a table with aligned time series (all
> >> dates/times should correspond to all the stocks). My questions are:
> >> 1) Is there some efficient way to do it? Is there anything that is
> already
> >> programmed.
> >> 2) Does it make sense to align all of them to shortest time series (so,
> >> delete the time points that are not given for all stocks)? Or, is
> better to
> >> copy the preceding price values for the absent time points, and
> therefore
> >> to align all of them to the longest time series?
> >> Thanks,
> >> Michael
> >>
> >>         [[alternative HTML version deleted]]
> >>
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> >>
> >
> >         [[alternative HTML version deleted]]
> >
> > _______________________________________________
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>
>
> --
> Chirag Anand
> http://atvariance.in/chiraganand
>
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