[R] irregular time series and multiple, overlaid plots

From: falcon <shahbazc_at_gmail.com>
Date: Fri, 09 May 2008 21:51:31 -0700 (PDT)

I am new to R and am trying to solve the following problem:

I have a data file containing tick-by-tick, millisecond level prices for some stocks. I have another file or two containing orders and trades, again, with millisecond time-stamps. Both of these files are irregularly spaced and the time stamps are in an iso format (<date> <time>.<millisecond>)

I would like to create a price chart, and overlay on it the times and prices at which orders were sent out and trades were received.

My purpose is basically to visualize the data to help me pinpoint problems and visually describe a day's trading activity. I am not (yet) interested in any detailed statistical analysis.

>From what I have read, the basic time series (ts) object is not appropriate
since it is only for regularly spaced time series. The few examples I have seen for the 'its' package, generate an artificial time series, rather than reading from a file, extracting out relevant columns (say a time stamp column and a price column) and converting that to the right time series object (including taking care of time stamp formats).

Any idea how I can approach this problem?


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Received on Sat 10 May 2008 - 05:18:07 GMT

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