On Wed, Mar 10, 2010 at 12:08:52AM -0800, hvollmeier wrote:
>
> James,
>
> you may post your question to the R-SIG finance group with a small example.
> If I understand your problem correctly it's like converting tick data of
> financial time series into aggregates. (to 1-minute, hourly, daily
On Wed, Mar 10, 2010 at 07:48:45PM +, hadley wickham wrote:
> > Run that function hourly with plyr
> >
> > output.hourly <- dlply(df.i1,"tshour",cor.dat)
>
> Why not
>
> output.hourly <- ddply(df.i1,"tshour",cor.dat)
Doh! Because I didn't read the docs properly and missed it.
Thanks, much n
> Run that function hourly with plyr
>
> output.hourly <- dlply(df.i1,"tshour",cor.dat)
Why not
output.hourly <- ddply(df.i1,"tshour",cor.dat)
? Generally you want to work with data frames in R, if at all possible.
Hadley
--
Assistant Professor / Dobelman Family Junior Chair
Department of St
James,
you may post your question to the R-SIG finance group with a small example.
If I understand your problem correctly it's like converting tick data of
financial time series into aggregates. (to 1-minute, hourly, daily ... data
sets ). There are packages available for this kind of task that
Hi Ista,
Many thanks, the plyr package was just what I needed.
Because I did such a bad job with my question (no data, etc etc), here
is my current solution:
First, I grabbed my data from PostgreSQL as follows:
library('RPostgreSQL')
m <- dbDriver("PostgreSQL")
con <-
dbConnect(m,user="user",pa
The sqldf package can be used to manipulate R data frames with SQL
statements. See http://sqldf.googlecode.com
On Tue, Mar 9, 2010 at 9:36 PM, James Marca wrote:
> Hello,
>
> I do not understand the correct way to approach the following problem
> in R.
>
> I have observations of pairs of variabl
Hi James,
It would really help if you gave us a sample of the data you are
working with. The following is not tested, because I don't have your
data and am too lazy to construct a similar example dataset for you,
but it might get you started.
You can try using a for loop along the lines of
output
Hello,
I do not understand the correct way to approach the following problem
in R.
I have observations of pairs of variables, v1, o1, v2, o2, etc,
observed every 30 seconds. What I would like to do is compute the
correlation matrix, but not for all my data, just for, say 5 minutes
or 1 hour chun
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