Matching matrices by time array

I have two matrices, one with trade prices and one with bid and offers.

They both have the same first column which is time in seconds (starting at 0.00 UTC time).

What i'd like is to create a new matrix where it gathers these two matrices as [time,price,bid,offer] The two matrices aren't the same size and only a few observations share the same timestamp across both matrices.

So if for example only the price matrix has an observation at a given time i just want the bid and offer cells at that row to be zero or empty. And vice versa.

Hope you understand!

Answer 1

[Kirby Fears]

What you're describing is an outer join. Try working with tables in Matlab to make this kind of operation easier.

Here is an example with some random data:

prices = rand(100,2); % Time in col 1, price in col 2
bidask = rand(90,3); % Time in col 1, bid col 2, ask col 3

% Convert from arrays to tables
pTab = array2table(prices,'VariableNames',{'Time','Price'});
baTab = array2table(bidask,'VariableNames',{'Time','Bid','Ask'});

% Merge tables together using Time as key
newTab = outerjoin(pTab,baTab,'Key','Time','MergeKeys',true);

Hope this helps.

[Rasmus Larsen]

Hi Kirby.

Thanks for your answer, it worked perfectly!