To add more information on this question, My first row contains the timestamp, second row contains the prices and the third row contains the volume. So, we are only concentrating on the first and the second column and deleting the entries.
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Unix code check and REMOVE the datapoints ranging outside 9:00am and 4:15pm for a second by second dataset
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I have a list of about 70 million rows. I want to delete the the following and clean the dataset-
- Any values which are 0 or in the range of 0.001 or less.
- Any values that lie outside the range of 9:00am and 4:15pm
- If multiple quotes are present with the same time stamp, then replace that with a single entry of the median price.
I am able ot achive the third point, but not the second and the first one. Can someone guide me with this? Thanks
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Jan
on 21 Aug 2019
@Harsh Rob: I cannot know what "RAW dataset" means. Is it a binary oder text file? Have you been able to import it already? Converting the time to a datevec or datetime object allow to create a matching filter easily.
It is still not clear, how your data are represented. A "timestamp in unix format" could be a UINT64, or s string containing the digits of the UINT64, or something else.
Please post a small example of the inputs.
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