Thanks Joshua,
I'll give that a go..
what i ended up doing was this.
****loaded the bid, ask separately from csv****
#transform form into xts object
outask <- as.xts(read.zoo(BRN.06.15.Ask,
tz='',
format='%Y%m%d %H%M%S'))
outbid <- as.xts(read.zoo(BRN.06.15.Bid,
tz='',
format='%Y%m%d %H%M%S'))
calask <- as.xts(read.zoo(BRNS12.12.15.Ask,
tz='',
format='%Y%m%d %H%M%S'))
calbid <- as.xts(read.zoo(BRNS12.12.15.Bid,
tz='',
format='%Y%m%d %H%M%S'))
#make.index.unique(outask)
#merge the xts files into one
strat <- merge.xts(outask, outbid, calask, calbid)
head(strat)
#rename columns
names(strat)[names(strat)=="V2"] <- "outask"
names(strat)[names(strat)=="V3"] <- "outaskvol"
names(strat)[names(strat)=="V2.1"] <- "outbid"
names(strat)[names(strat)=="V3.1"] <- "outbidVol"
names(strat)[names(strat)=="V2.2"] <- "calask"
names(strat)[names(strat)=="V3.2"] <- "calaskvol"
names(strat)[names(strat)=="V2.3"] <- "calbid"
names(strat)[names(strat)=="V3.3"] <- "calbidVol"
tail(strat)
#fill down rows
strat <- na.locf(strat)
tail(strat)
#create strat ask and bid
strat$stratask <- strat$outask - (strat$calbid*3)
strat$stratbid <- strat$outbid - (strat$calask*3)
which gave me a xts object with everything i need.. i haven't got to back
testing yet but i will let you know how it go.. maybe your way is easier
I'll try that too.
*i havn't had any issues with unique fields yet.
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