I finally came to the bottom of this, I figured I could create as many new column I wanted in order to calculate what I had to so that’s what I did. I think this is the best way to do it but am open to suggestions if there are other ways or even faster.
Here is my code:
DF<- read.csv(file = file,header = FALSE,sep = "", col.names = c("DateTime","Seq","BP1","BQ1","BO1","AP1","AQ1","AO1","BP2","BQ2","BO2","AP2","AQ2","AO2","BP3","BQ3","BO3","AP3","AQ3","AO3","BP4","BQ4","BO4","AP4","AQ4","AO4","BP5","BQ5","BO5","AP5","AQ5","AO5","BP6","BQ6","BO6","AP6","AQ6","AO6","BP7","BQ7","BO7","AP7","AQ7","AO7","BP8","BQ8","BO8","AP8","AQ8","AO8","BP9","BQ9","BO9","AP9","AQ9","AO9","BP10","BQ10","BO10","AP10","AQ10","AO10","C","Price","Qty","OldPrice","OldQty"))
DF<- DF[which(DF$DateTime != 0),]
options(digits.secs = 3)
DF$DateTime= as.POSIXct(DF$DateTime/(10^9), origin="1970-01-01", tz = "GMT") #timestamp conversion
source('~/R/mywhich.R')
source('~/nwhich.R')
#matching with same line for all
DF$change <- apply(DF[, 1:62] == DF[,64], 1, mywhich)
#matching "C" with previous line
DF$change[DF[,63] == "C"] <- apply(DF[which(DF[,63] == "C") - 1, 1:62] == DF[DF[,63] == "C",64], 1, mywhich)*(-1)
#matching old price with previous line in "M"
pos2 <- apply(DF[which(DF[,63] == "M") - 1, 1:62] == DF[DF[,63] == "M",66], 1, mywhich)
#subracting the two position in "M"
DF$change[DF[,63] == "M"] <- DF$change[DF[,63] == "M"] - pos2
# arbitrary number to create side
DF$side <- 1000
DF$side[DF[,63] == "M" & DF[,68] == 0] <- apply(DF[which(DF[,63] == "M"), 1:62] == DF[DF[,63] == "M",64], 1, nwhich)%%2 #check this -- erroneous for modifications that have happend outside level 5 -- might have to add another column for this
#DF$side[DF[,63] == "M" & DF[,68] != 0] <- DF$change[DF[,63] == "M" & DF[,68] != 0]
#DF$side[DF[,63] == "N"] <- DF$change[DF[,63] == "N"]
#DF$side[DF[,63] == "C"] <- DF$change[DF[,63] == "C"]
DF$diff <- 0
#price difference
DF$diff[DF[,63] == "M" & DF[,68] == 0] <- DF$OldPrice[DF[,63] == "M" & DF[,68] == 0] - DF$Price[DF[,63] == "M" & DF[,68] == 0]
#askside -- price increase
DF$modify[DF[,69] == 0 & DF[,70] > 0] <- -1
#askside -- price decrease
DF$modify[DF[,69] == 0 & DF[,70] < 0] <- 1
#bidside -- price decrease
DF$modify[DF[,69] == 1 & DF[,70] < 0] <- -1
#bidside -- price increase
DF$modify[DF[,69] == 1 & DF[,70] > 0] <- 1
#copying change to modify
DF$modify[DF[,63] == "N"] <- DF$change[DF[,63] == "N"]
DF$modify[DF[,63] == "C"] <- DF$change[DF[,63] == "C"]
DF$modify[DF[,63] == "M" & DF[,68] != 0] <- DF$change[DF[,63] == "M" & DF[,68] != 0]
df = data.frame(Time=DF$DateTime, Modify = DF$modify)
finalxts <- as.xts(x = df$Modify, order.by = df$Time)
#finalxts <- aggregatets(finalxts, FUN = "sum", on = "minutes", k = 1, dropna = TRUE)
finalxts
Thank you for the help everyone.
solved R: Vectorizing a condition