[R-SIG-Finance] AsOf join in R

[Brian G. Peterson]

On Wed, 2011-10-05 at 21:53 -0400, Robert A'gata wrote:
> Hi Garrett - Yes. I'm very sure. This type of operation occurs a lot
> when manipulating high-frequency financial data. I think what RTAQ
> offers is good. I can use that as a template to start with. Thank you.

We all deal with high frequency data professionally, and cbind/na.locf
is the most common way of getting what we want:  the prevailing bid/ask
at the time of a trade.  So, either your data is very different from
every other tick data I have ever seen, or you should consider that you
may be doing something wrong.

If you're convinced you know what you're doing, Gabor's advice will
work.

Cheers,

   - Brian