Hi All, I am not sure if this is a hack ... but I did the following manipulations after loading the data from the link. I think I've managed to get the data ... only not sure if it is the correct way of doing this.
dt_Opt_Final$time <- with(dt_Opt_Final, substr(datetime, 9, length(datetime))) #Extracting the time part only dt_Opt_Final$time <- as.numeric(dt_Opt_Final$time) * 1e6 #So that the hierarchy of the timestamp is preserved dt_Opt_Final$time <- as.integer(dt_Opt_Final$time) #since roll works only when the key is an integer setkey(dt_Opt_Final, "time") dt_Fut_Final$time <- with(dt_Fut_Final, substr(datetime, 9, length(datetime))) #Extracting the time part only dt_Fut_Final$time <- as.numeric(dt_Fut_Final$time) * 1e6 #So that the hierarchy of the timestamp is preserved dt_Fut_Final$time <- as.integer(dt_Fut_Final$time) #since roll works only when the key is an integer setkey(dt_Fut_Final, "time") tmp <- dt_Fut_Final[dt_Opt_Final, list(Id, price),roll=TRUE] dt_Final <- data.table(dt_Opt_Final, tmp) print(dt_Final, nrows=100) On Apr 7, 3:54 pm, Santosh Srinivas <[email protected]> wrote: > 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/datatabl... _______________________________________________ datatable-help mailing list [email protected] https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/datatable-help
