There wasn't actually a link to IDateTime from ?data.table in 1.5.3, but there has been in 1.5.4 on R-Forge for a while (in 'see also'), so it should be easier to find going forward, hopefully. Matthew
On Tue, 2011-04-12 at 04:39 +0530, Santosh Srinivas wrote: > Thanks Mathew. Never heard of IDateTime. I'll try that today. > Sorry about the data structure, it has both the "base" data and the > results of my transformations (may have messed the conversions up > trying to get this thing to work .... tried all options I knew of > then) > > > On Tue, Apr 12, 2011 at 3:42 AM, Matthew Dowle <[email protected]> wrote: > > I took a quick look. I don't completely follow > > what you're doing (e.g. why the dates are factors) > > but have you seen IDateTime? > > Or the other way you can do this is have one column > > as date (IDate) and another as time (ITime); a > > 2 column key. That way you can ensure you join within > > the same day, but the prevailing record by time that day. > > HTH > > Matthew > > > > On Thu, 2011-04-07 at 14:05 +0100, Matthew Dowle wrote: > >> Hi Santosh, > >> > >> Thanks. Looks like the task is fairly clear and your latest post > >> should produce output. I'm unlikely to have free (free) time > >> until next week. Maybe you'll get lucky and somebody else > >> can help before then. > >> > >> Matthew > >> > >> > >> "sant" <[email protected]> wrote in message > >> news:[email protected]... > >> 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 > > > > > > _______________________________________________ datatable-help mailing list [email protected] https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/datatable-help
