Hello R-users,
I have a very simple problem I wanted to solve. I have a large dataset as
such:
Lag X.Symbol Time TickType ReferenceNumber Price Size X.Symbol.1
Time.1 TickType.1 ReferenceNumber.1
1 ES 3:ESZ7.GB 08:30:00 B 74390987 151075 44
3:ESZ7.GB08:30:00 A 74390988
2 ES 3:YMZ7.EC 08:30:00 B 74390993 13686 17
3:YMZ7.EC08:30:00 A 74390994
3 YM 3:ESZ7.GB 08:30:00 B 74391135 151075 49
3:ESZ7.GB08:30:00 A 74391136
4 YM 3:YMZ7.EC 08:30:00 B 74390998 13686 17
3:YMZ7.EC08:30:00 A 74390999
5 YM 3:ESZ7.GB 08:30:00 B 74391135 151075 49
3:ESZ7.GB08:30:00 A 74391136
6 YM 3:YMZ7.EC 08:30:00 B 74391000 13686 14
3:YMZ7.EC08:30:00 A 74391001
Price.1 Size.1 LeadTime MidPoint Spread
1 151100 22 08:30:00 *151087.5* 25
2 13688 27 08:30:00 13687.0 2
3 151100 22 08:30:00 *151087.5* 25
4 13688 27 08:30:00 13687.0 2
5 151100 22 08:30:00 151087.5 25
6 13688 27 08:30:00 13687.0 2
All I wanted to do was take the Log(MidPoint[2]) - Log(MidPoint[1]) for a
symbol "3:ESZ7.GB"
So the first one would be log(151087.5) - log(151087.5). I wanted to do this
throughout the data set and add that in another column. I would appreciate
any help.
Regards,
Neil Gupta
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
