(This article was first published on

We have started to look into kdb+ as a possible
high-performance column-store backend. Kx offers
free trials
-- and so I have played with
this for a day or two, both the general system, data loads and dumps and in particular with
the interface to R,
Based on the few files (one C source with interface
code, one R file to access the C code, one object file to link against, one header
file and a simple Makefile), it took just a couple of minutes to turn this
into a proper CRAN-style R
package.**Thinking inside the box**, and kindly contributed to R-bloggers)
Anyway, the reason for this post was that the R / kdb+ glue code works well
... but not for datetimes. I really like to be able to pass date/time objects
*natively* between systems as easily as, say, numbers or strings (and see
e.g. my Rcpp package
for doing this with R and C++) and I was a bit annoyed when the millisecond
timestamps didn't move smoothly. Turns out that the basic converter function in the
code had a number of problems: it converted to integer, only covered a
single scalar rather than vectorised mode, and erroneously reduced a
reference count. A better version, in my view, is as follows:

This deals with vectors as well as scalars, converts Kdb's 'fractional days since Jan 1, 2000' to the Unix standard of seconds since the epoch -- including the R extension of fractional seconds -- and as importantly, sets the class attributes tostatic SEXP from_datetime_kobject(K x) { SEXP result; int i, length = x->n; if (scalar(x)) { result = PROTECT(allocVector(REALSXP, 1)); REAL(result)[0] = (kF(x)[0] + 10957) * 86400; } else { result = PROTECT(allocVector(REALSXP, length)); for(i = 0; i < length; i++) { REAL(result)[i] = (kF(x)[i] + 10957) * 86400; } } SEXP datetimeclass = PROTECT(allocVector(STRSXP,2)); SET_STRING_ELT(datetimeclass, 0, mkChar("POSIXt")); SET_STRING_ELT(datetimeclass, 1, mkChar("POSIXct")); setAttrib(result, R_ClassSymbol, datetimeclass); UNPROTECT(2); return result; }

`POSIXt POSIXct`

as needed by R. With
that, a simple `select max datetime from table`

does just that,
and vectors of timestamped records of trades or quotes or whatever also
come with proper `POSIXct`

behaviour into R. Note that it needs TZ to be set to UTC, though,
or you get a timezone offset you may not want.
To

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