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bufsiz
2011 Jan 10
2
Aggragating subsets of data in larger vector with sapply
...dd 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)...