Thanks Mathew. I used IDate and ITime and they seamlessly integrate with the key requirements for the roll to work (as far as I can see currently). Now the keys seem logical to me.
Thanks for your help. On Apr 13, 3:56 am, Matthew Dowle <[email protected]> wrote: > 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/datatabl... > > _______________________________________________ > 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
