R tick data : merging date and time into a single object

Question

I'm currently working in tick data with R and I would like to merge date and time into a single object as I need to get a precise time object to compute some statistics on my data. Here is how my data looks like:

               date       time      price flag    exchange 2   XXH10   2010-02-02   08:00:03   2787 1824        E 3   XXH10   2010-02-02   08:00:04   2786    3        E 4   XXH10   2010-02-02   08:00:04   2787    6        E 5   XXH10   2010-02-02   08:00:04   2787    1        E 6   XXH10   2010-02-02   08:00:04   2787    1        E 

Basically, I would like to merge the columns "date" and "time" into a single one.

Answer 1

Create a datetime object with as.POSIXct:

as.POSIXct(paste(x$date, x$time), format="%Y-%m-%d %H:%M:%S") [1] "2010-02-02 08:00:03 GMT" "2010-02-02 08:00:04 GMT" "2010-02-02 08:00:04 GMT" [4] "2010-02-02 08:00:04 GMT" "2010-02-02 08:00:04 GMT" 

Answer 2

Of course, more elegant solution (arguably) is possible with extra package. When working with dates it's lubridate package:

library(lubridate)  with(x, ymd(date) + hms(time)) 

should produce POSIXlt vector.

UPDATE:

There is another solution using general purpose date and time conversion package anytime (based on C++ library Boost date_time):

 library(anytime)   with(x, anytime(paste(date, time))) 

Indeed, comparing anytime with both base R and lubridate (deservedly considered rather slow - see Why are my functions on lubridate dates so slow?) C++ (anytime) wins:

 x = read.csv(text = 'date,time 2010-02-02,08:00:03 2010-02-02,08:00:04 2010-02-02,08:00:04 2010-02-03,08:00:04 2010-02-04,08:00:05 2010-02-04,08:00:05 2010-02-04,08:00:06 2010-02-04,08:00:07 2010-02-04,08:00:08 2010-02-04,08:00:14')   microbenchmark::microbenchmark(    base = with(x, as.POSIXct(paste(date, time), format="%Y-%m-%d %H:%M:%S")),    anytime = with(x, anytime::anytime(paste(date, time))),    lubri = with(x, lubridate::ymd(date) + lubridate::hms(time)),    times = 1000L ) 

Unit: microseconds   expr      min        lq       mean   median        uq        max  neval  base       71.163   91.2555   104.38747  104.785  112.1185   256.997  1000  anytime    40.508   52.5385   63.46973   61.843   68.5730    221.076  1000  lubri      1596.490 1850.4400 2235.34254 1909.588 2033.096   110751.622  1000