Displaying 1 result from an estimated 1 matches for "onesecond".
2010 Oct 04
3
Loop too slow for Bid calc - BUT cannot figure out how to do with matrix
...d of the day):
Bid Second
10.02 11:05:03
?? 11:05:04 <----Last bid price before 11:05:04.xxx, which is
11.04 at 11:05:03.348
The challenge is how to create the one second bid matrix, without looping
through the Bids Matrix to find the first timestamp that is greater than the
OneSecond timestamp then getting the previous row price from
BidsMatrix...which would have been the bid at the beginning of that second.
I am new to R, so need some help to do this ?properly?.
# OneSecond. Matrix above called ?One Second Bid Matrix?
# BidsMatrix. Matrix above called ?Bids Matrix?...