A bit late, but here is what I always do: m = merge(bid, ask, tick) m<- interpNA(m, method="before")
intrepNA can also interpolate NAs in different ways, for example linearly. Hth, Ulrich Am 06.10.2011 03:08, schrieb Robert A'gata:
Hi Roupell, Yes I am aware of RTAQ function matchTradesQuotes. But my time series does not follow the TAQ format like they suggest. So I gave it a try and find that it doesn't work. In particular, my time series contain full level 2 order book and trades. I want to do asof join of the book to the trade. Is there any better way? Or I misunderstand anything about the RTAQ's function? Thank you. Robert On Wed, Oct 5, 2011 at 1:59 AM, Roupell, Darko<darko.roup...@cba.com.au> wrote:na.locf {zoo}, should do a job, also if you look in RTAQ they wrote a function that looks on previous tick and carries forward value in case its not available. __________________________________________________ Commonwealth Bank Darko Roupell Associate Quantitative Analyst Institutional Banking& Markets Equities Research Darling Park Tower 1 Level 23, 201 Sussex Street Sydney, NSW 200 P: +61 2 9117 1254 F: +61 2 9118 1000 M: +61 400 170 515 E: darko.roup...@cba.com.au Our vision is to be Australia's finest financial services organisation through excelling in customer service. Email Security This email is sent solely for informational purposes. Hoax emails, commonly referred to as phishing, can appear to be from the Commonwealth Bank and ask you to update or confirm details such as client numbers, passwords, personal identification questions, contact details or account numbers. 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In the case of certain securities Commonwealth Bank is or may be the only market maker. -----Original Message----- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Robert A'gata Sent: Wednesday, 5 October 2011 2:41 PM To: r-help@r-project.org; r-sig-fina...@stat.math.ethz.ch Subject: [R-SIG-Finance] AsOf join in R Hi, I tried to google for any solution for asof join operator in R. But I couldn't find one. The asof join operator AsOf(A,B) merges 2 time series by looking for latest available value of B prior to each time point in A. For example, A<- xts(c(10,15,20,25), order.by=as.POSIXct(c("2011-09-01","2011-09-09","2011-09-10","2011-09-15")) B<- xts(c(1.1,1.5,1.3,1.7), order.by=as.POSIXct(c("2011-08-31","2011-09-09","2011-09-11","2011-09-12")) AsOf(A,B) should return A B 2011-09-01 10 1.1 2011-09-09 15 1.1 # (because latest value B prior to 2011-09-09 is 1.1) 2011-09-10 20 1.5 2011-09-15 25 1.7 How do I write the above AsOf function in R? The merge function does not do what I want because it will align points that have the same time stamp together while what I want is actually latest value prior to timestamp in A. Any example would be greatly appreciated. Thank you. Cheers, Robert _______________________________________________ r-sig-fina...@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. 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