I want to download 13 years daily data (returns, prices and volumes) of the entire dataset from CRSP (Center for Research in Security Prices). The csv file that I download is approximately 1.5GB. The data looks as follow: id date ret prc vol 1 1/1/1990 0.1 10 50 1 1/2/1990 0.1 10 50 1 1/3/1990 0.1 10 50 1 1/4/1990 0.1 10 50 2 1/1/1990 0.1 10 50 2 1/2/1990 0.1 10 50 2 1/3/1990 0.1 10 50 2 1/4/1990 0.1 10 50 The total length of the data is more than 33 million. Now I have two questions: 1) Does some of you have any advice or suggestion to import such a large dataset? 2) How can I convert this dataset to a matrix one?

Import a large dataset (CRSP)

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Jimmy le 20 Oct 2014

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I want to download 13 years daily data (returns, prices and volumes) of the entire dataset from CRSP (Center for Research in Security Prices). The csv file that I download is approximately 1.5GB.

The data looks as follow:

id date ret prc vol
1/1/1990 0.1 10 50
1/2/1990 0.1 10 50
1/3/1990 0.1 10 50
1/4/1990 0.1 10 50
1/1/1990 0.1 10 50
1/2/1990 0.1 10 50
1/3/1990 0.1 10 50
1/4/1990 0.1 10 50

The total length of the data is more than 33 million.

Now I have two questions: 1) Does some of you have any advice or suggestion to import such a large dataset? 2) How can I convert this dataset to a matrix one?