Re: [R] Aggragating subsets of data in larger vector with sapply
Hi Chris,
This seems to work on the sample data you provided.
FUN - function(x) {
x - xts(as.numeric(x),index(x))
period.apply(x, endpoints(x,secs), sum)
}
lapply(split.default(xSym$Size,xSym$Direction), FUN)
Best,
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
On Sun, Jan 9, 2011 at 6:10 PM, rivercode aqua...@gmail.com wrote:
Have 40,000 rows of buy/sell trade data and am trying to add up the buys for
each second, the code works but it is very slow. Any suggestions how to
improve the sapply function ?
secEP = endpoints(xSym$Direction, secs) # vector of last second on an XTS
timeseries object with multiple entries for each second.
d = xSym$Direction
s = xSym$Size
buySize = sapply(1:(length(secEP)-1), function(y) {
i = (secEP[y]+ 1):secEP[y+1]; # index of vectors between each secEP
return(sum(as.numeric(s[i][d[i] == buy])));
} )
Object details:
secEP = numeric Vector of one second Endpoints in xSym$Direction.
head(xSym$Direction)
Direction
2011-01-05 09:30:00 unkn
2011-01-05 09:30:02 sell
2011-01-05 09:30:02 buy
2011-01-05 09:30:04 buy
2011-01-05 09:30:04 buy
2011-01-05 09:30:04 buy
head(xSym$Size)
Size
2011-01-05 09:30:00 865
2011-01-05 09:30:02 100
2011-01-05 09:30:02 100
2011-01-05 09:30:04 100
2011-01-05 09:30:04 100
2011-01-05 09:30:04 41
Thanks,
Chris
--
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Re: [R] Aggragating subsets of data in larger vector with sapply
split the data by truncating the time to a second, then process each group.
this will save the subsetting you are doing. also merge the data with direction
and size in the same frame. it looks like you can subset by buy to begin
with.
Sent from my iPad
On Jan 9, 2011, at 19:10, rivercode aqua...@gmail.com wrote:
Have 40,000 rows of buy/sell trade data and am trying to add up the buys for
each second, the code works but it is very slow. Any suggestions how to
improve the sapply function ?
secEP = endpoints(xSym$Direction, secs) # vector of last second on an XTS
timeseries object with multiple entries for each second.
d = xSym$Direction
s = xSym$Size
buySize = sapply(1:(length(secEP)-1), function(y) {
i = (secEP[y]+ 1):secEP[y+1]; # index of vectors between each secEP
return(sum(as.numeric(s[i][d[i] == buy])));
} )
Object details:
secEP = numeric Vector of one second Endpoints in xSym$Direction.
head(xSym$Direction)
Direction
2011-01-05 09:30:00 unkn
2011-01-05 09:30:02 sell
2011-01-05 09:30:02 buy
2011-01-05 09:30:04 buy
2011-01-05 09:30:04 buy
2011-01-05 09:30:04 buy
head(xSym$Size)
Size
2011-01-05 09:30:00 865
2011-01-05 09:30:02 100
2011-01-05 09:30:02 100
2011-01-05 09:30:04 100
2011-01-05 09:30:04 100
2011-01-05 09:30:04 41
Thanks,
Chris
--
View this message in context:
http://r.789695.n4.nabble.com/Aggragating-subsets-of-data-in-larger-vector-with-sapply-tp3206445p3206445.html
Sent from the R help mailing list archive at Nabble.com.
__
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.
__
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.
