Re: [R] irregular time series and multiple, overlaid plots

From: Gabor Grothendieck <ggrothendieck_at_gmail.com>
Date: Sat, 10 May 2008 07:47:04 -0400

Look at the zoo and quantmod packages.

On Sat, May 10, 2008 at 12:51 AM, falcon <shahbazc_at_gmail.com> wrote:
>
> 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?
>
> Thanks
> Falcon
> --
> View this message in context: http://www.nabble.com/irregular-time-series-and-multiple%2C-overlaid-plots-tp17159961p17159961.html
> Sent from the R help mailing list archive at Nabble.com.
>
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>



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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. Received on Sat 10 May 2008 - 11:49:28 GMT

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