process order-book/trade data
2009/7/14 suneel <sarswat at gmail.com>:
Hi Friends, ? ? ? ? ? ? ? ?Currently I am handling high-frequency data for my research work, and I have two specific query regarding that. 1) I want convert trade data into minute-wise data with for column (high, low, open, close), since my data for each day is around 600MB, "scan" or "read.table" is not the best way to work around for reading the data. Any suggestion/program would be helpful, since I am new to R.
For that, you may want to check my package "colbycol". You can install it according to the instructions at http://r-forge.r-project.org/projects/colbycol/ I tried to keep the functions interface there as close as possible to "read.table" and friends. However, files are read column by column. The process may be a bit slower, but it allows you to fit into memory datasets which, as text files, were originally bigger than your RAM. Best regards, Carlos J. Gil Bellosta http://www.datanalytics.com