How to replicate SAS by group processing in R

Hi,

You can also try with aggregate() or ddply()
dat2<-aggregate(dat,list(dat$stock_symbol,dat$tdate),FUN=function(x) head(x,1))
?dat2[,3:6]
#????? tdate stock_symbol expiration strike
#1 9/11/2012??????????? C? 9/16/2012???? 11
#2 9/12/2012??????????? C? 9/16/2012???? 14

library(plyr)

?ddply(dat,.(stock_symbol,tdate), function(x) head(x,1))
#????? tdate stock_symbol expiration strike
#1 9/11/2012??????????? C? 9/16/2012???? 11
#2 9/12/2012??????????? C? 9/16/2012???? 14
A.K.



----- Original Message -----
From: David Winsemius <dwinsemius at comcast.net>
To: ramoss <ramine.mossadegh at finra.org>
Cc: r-help at r-project.org
Sent: Wednesday, October 10, 2012 5:42 PM
Subject: Re: [R] How to replicate SAS by group processing in R

Hello,

I am trying to re-code all my programs from SAS into R.

In SAS I use the following code:

proc sort data=upper;
by tdate stock_symbol expire? strike;
run;
data upper1;
? set upper;
? by tdate stock_symbol expire? strike;

I must have forgotten my SAS. (It was a lng time ago I will admit.)? Would that have succeeded with the inclusion of 'strike' in that 'by' list?

? if first.expire then output;
? rename strike=astrike;
run;

on the following data set:

tdate??? stock_symbol??? expiration ??? strike
9/11/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 11
9/11/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 12
9/11/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 13
9/12/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 14
9/12/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 15
9/12/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 16
9/12/2012??? C??? ? ? ? ? ? ? ? ? ? ? 9/16/2012??? 17

to get the following results:
tdate??? stock_symbol??? expiration ??? strike
9/11/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 11
9/12/2012??? C??? ? ? ? ? ? ? ? ? ?  9/16/2012??? 14

dat[tapply(1:nrow(dat), list( dat$stock_symbol,? dat$tdate), FUN= function(x) head(x,1) ), ]

? ? ? tdate stock_symbol expiration strike
1 9/11/2012? ? ? ? ? ? C? 9/16/2012? ?  11
4 9/12/2012? ? ? ? ? ? C? 9/16/2012? ?  14

How would I replicate this kind of logic in R?
I have seen PLY & data.table packages mentioned but don't see how they would
do the job.

You must mean the 'plyr' package;? there is no "PLY'. I'm sure the 'ddply' function or data.table could do this.

Here's another way with the R 'by' function which is then row-bound using 'do.call':

do.call( rbind, by(dat, list( dat$stock_symbol,? dat$tdate), FUN= function(x) head(x,1) ) )

? ? ? tdate stock_symbol expiration strike
1 9/11/2012? ? ? ? ? ? C? 9/16/2012? ?  11
4 9/12/2012? ? ? ? ? ? C? 9/16/2012? ?  14

David Winsemius, MD
Alameda, CA, USA

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