programming

Rcpp to speed up data handling (using Tick data processing as an example)

Hi. I'm doing an analysis using currency tick data, and the sample size is 12 million data per year. It's in memory, but it's very inefficient because it takes a lot of time to process each one of them when we try to do complicated processing. This time, I would like to introduce the way to compile functions written in C++ as functions on R using Rcpp package to increase the processing speed.