On 10/04/2010 02:29 PM, rivercode wrote:
>
> Hi,
>
> I am trying to create Bid/Ask for each second from a high volume stock and
> the only way I have been able to solve this is using loops to create the
> target matrix from the source tick data matrix. Looping is too slow and
> not practical to use on multiple stocks. For example:
>
> Bids Matrix (a real one is 400,000++ length):
>
> Bid Time
> 10.03 11:05:03.124
> 10.04 11:05:03.348
> 10.05 11:05:04.010
>
> One Second Bid Matrix (Bid price for every second of the day):
>
> Bid Second
> 10.02 11:05:03
> ?? 11:05:04 <----Last bid price before 11:05:04.xxx, which is
> 11.04 at 11:05:03.348
>
> The challenge is how to create the one second bid matrix, without looping
> through the Bids Matrix to find the first timestamp that is greater than the
> OneSecond timestamp then getting the previous row price from
> BidsMatrix...which would have been the bid at the beginning of that second.
Not sure that I understand, but here
y = as.POSIXlt(runif(400000, 0, 8 * 60 * 60), origin="1970-01-01")
are 400,000 times over an 8 hour window, at sub-second intervals. Order
these (order()), find the second in which each occurs
(floor(as.numeric())), identify the last record in each second (diff()
!= 0), including the last record of the day (c()), and keep only those (o[])
o = order(y)
i = o[ c(diff(floor(as.numeric(y)[o])) != 0, TRUE) ]
and view the time (two different ways)
> head(y[i])
[1] "1969-12-31 16:00:00 PST" "1969-12-31 16:00:01 PST"
[3] "1969-12-31 16:00:02 PST" "1969-12-31 16:00:03 PST"
[5] "1969-12-31 16:00:04 PST" "1969-12-31 16:00:05 PST"
> head(as.numeric(y)[i])
[1] 0.9551883 1.8336520 2.8745100 3.9695889 4.8229001 5.8056079
if y were a column of df, y <- df$y and after the above df[i,]
Martin
>
> I am new to R, so need some help to do this “properly”.
>
> # OneSecond. Matrix above called “One Second Bid Matrix”
> # BidsMatrix. Matrix above called “Bids Matrix”
>
> bidrow = 1
>
> # looping through each second
> for (sec in 1:length(OneSecond$Second) )
> {
> t = as.POSIXlt(onesec$Second[sec],origin = "1970-01-01")
> sec.onesec = as.numeric(format(t, "%H%M%S")) # convert date/time to
> format
> HHMMSS as a number
>
> # Find bid for second, which is the last bid before a change in the
> second
> for (r in bidrow:length(BidsMatrix$Price))
> {
> # convert the BidsMatrix timestamp to number of format
> %H%M%S
> bidTS = unlist(strsplit(as.character(BidsMatrix$Time[r]),
> split="\\."))[1] # remove milliseconds
> bidTS = gsub(":", "", bidTS) # remove ":" from time
> bidTS = as.numeric(bidTS) # convert to number
>
>
> if (bidTS > sec.onesec)
> {
> onesec$Bid[sec] = bids$Price[r -1] # Price of previous bid
> bidrow = r # save bidrow as starting point to find next
> bid.
> break
> } #if
>
> }# for
>
> }# for
>
> Hope this is clear and thanks for your help.
>
> Chris
>
--
Computational Biology
Fred Hutchinson Cancer Research Center
1100 Fairview Ave. N. PO Box 19024 Seattle, WA 98109
Location: M1-B861
Telephone: 206 667-2793
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