The plotOHLC function in the tseries package is useful to plot timeseries of
various financial assets with open/high/low/close data. I had often
wondered if it could be made to run a little faster. It turns out that the
following patch does
--- plotOHLC.R.orig 2003-12-14 12:02:20.000000000 -0600
+++ plotOHLC.R 2003-12-14 12:03:42.000000000 -0600
@@ -21,14 +21,9 @@
ylim <- range(x[is.finite(x)])
plot.new()
plot.window(xlim, ylim, ...)
- for (i in 1:NROW(x)) {
- segments(time.x[i], x[i, "High"], time.x[i], x[i, "Low"],
- col = col[1], bg = bg)
- segments(time.x[i] - dt, x[i, "Open"], time.x[i], x[i,
- "Open"], col = col[1], bg = bg)
- segments(time.x[i], x[i, "Close"], time.x[i] + dt, x[i,
- "Close"], col = col[1], bg = bg)
- }
+ segments(time.x, x[, "High"], time.x, x[, "Low"], col = col[1], bg = bg)
+ segments(time.x - dt, x[, "Open"], time.x, x[, "Open"], col = col[1], bg =$
+ segments(time.x, x[, "Close"], time.x + dt, x[, "Close"], col = col[1], bg$
if (ann)
title(main = main, xlab = xlab, ylab = ylab, ...)
if (axes) {
decrease the time spent on a series of ~500 points by a factor of sixty:
> IBM<-get.hist.quote("IBM", "2001-12-14")
trying URL
http://chart.yahoo.com/table.csv?s=IBM&a=11&b=13&c=2001&d=11&e=12&f=2003&g=d&q=$
Content type application/octet-stream' length unknown
opened URL
.......... .......... ...
downloaded 23Kb
time series starts 2001-12-12
time series ends 2003-12-11
> system.time(plotOHLC(IBM)) # original
[1] 1.56 0.26 5.11 0.00 0.00
> system.time(fastplotOHLC(IBM)) # patched
[1] 0.02 0.00 0.05 0.00 0.00
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