Hi All, I am completely stuck on this and I want to do this only with data.table! Here are the data files (click link pls): http://bit.ly/e5P5d5
I am just not able to make the roll functions work. I have the two data sets 1) Options and 2) Futures Please take a look at the data so that the question becomes quite easy to understand. The options have repeated datetimes ... and the options and futures timestamps do not match 1 to 1 > NROW(dt_Opt_Final) [1] 11793 > NROW(unique(dt_Opt_Final$datetime)) [1] 6292 I want to get the nearest futures price available for every option. I believe it should be able to get my data using dt_Fut_Final[dt_Opt_Final, roll=TRUE] (But I tried all combinations of setkey but unable to get it to work). I tried setting keys but I think I am losing information because the datetime between the two datasets are absolute values but the conversion to factors when I do setkey loses the relative information the two datasets. Please help! Thanks, Santosh _______________________________________________ datatable-help mailing list [email protected] https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/datatable-help
