Hello Monks, I am trying to build a time series for a particular stock from data that exist in dated flat files for many stocks. I will try to illustrate a simple example, to be clear. 
File1 - Data20100131.csv
stock1,10.2
stock2,9.5
stock3,34.7

File2 - Data20100228.csv
stock1,10.5
stock2,13.5
stock3,23.1

File3 - Data20100331.csv
stock1,11.1
stock2,9.2
stock3,44.6

[download]
Currently, I am specifying a date range and stock and get a time series. For example: timeseries("stock2", [20100228,20100331]) returns 
{
  20100228 => 13.5,
  20100331 => 9.2,
}

[download]
The way I do this is to loop through each dated file line by line looking for my stock identifier, grabbing my data and moving on to the next file. Is there a more efficient/clever way of doing this? Thanks in advance, Sean

In reply to building a time series form dated flat files by sean.snv

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