Filling a time series with Last Ask, Last Bid, etc

I'm sure I've done this before but for the life of me I can't remember how.

I'm working with a tick data series in the following format:

/        Date    Time     Type  Price Quantity
2010-02-22 9:00:00 BEST_ASK 64.246        1
2010-02-22 9:00:10    TRADE 64.246      100
2010-02-22 9:00:10 BEST_ASK 64.260        1
2010-02-22 9:00:10 BEST_BID 64.232        1
2010-02-22 9:00:10 BEST_ASK 64.260        1
2010-02-22 9:00:10 BEST_BID 64.232        2/

and I'm trying to add columns that give the most recent Bid, Ask, and Trade
prices.
So far I've done it using a for loop, but that's obviously way too slow.

So I ran the following code:
/StockA$LastBid = ifelse(StockA$Type=="BEST_BID",StockA$Price, 0)
StockA$LastAsk = ifelse(StockA$Type=="BEST_ASK",StockA$Price, 0)
StockA$LastTrade = ifelse(StockA$Type=="TRADE",StockA$Price, 0)/

and turned the table into this:
/        Date    Time     Type  Price Quantity LastBid LastAsk LastTrade
2010-02-22 9:00:00 BEST_ASK 64.246        1   0.000  64.246     0.000
2010-02-22 9:00:10    TRADE 64.246      100   0.000   0.000    64.246
2010-02-22 9:00:10 BEST_ASK 64.260        1   0.000  64.260     0.000
2010-02-22 9:00:10 BEST_BID 64.232        1  64.232   0.000     0.000
2010-02-22 9:00:10 BEST_ASK 64.260        1   0.000  64.260     0.000
2010-02-22 9:00:10 BEST_BID 64.232        2  64.232   0.000     0.000/

Now is there a fast way to fill in the zeros between the observed prices? 
This is the part that kills me, since I'm pretty sure I've done something
similar before, but I just can't remember what I did.

--
View this message in context: http://r.789695.n4.nabble.com/Filling-a-time-series-with-Last-Ask-Last-Bid-etc-tp3909390p3909390.html
Sent from the Rmetrics mailing list archive at Nabble.com.