quantviews

library(data.table) # fast data tables 
library(rollRegres) # fast rolling regression 

file <-  '2006.csv'

DT <- fread(file)
DT = DT[,c("LastPrice", "Time", "Date", "Ticker")] # keep only columns needed

DT$DateTime <- as.POSIXct(paste0(DT$Date, ' ', DT$Time), format = "%Y%m%d %H:%M:%S", tz = "America/New_York") # convert character to datetime object 
DT[, log_ret := c(NA, diff(log(LastPrice))), by = list(Ticker)] # calculate log returns