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SQL Databases

The SQL variants (TSPostgreSQL, TSMySQL, TSSQLite, TSodbc, and untested TSOracle) include table structure definitions for the database. The database does not need to be built with R, but the table structure needs to be respected for the TS* SQL variants to work. Most of the underlying SQL is standard and thus the same for all packages. This is implemented in the package TSsql, which they all use.

With the SQL tables I believe series of daily frequency and lower are handled fairly well. (I work mostly with monthly and quarterly data, but also use daily and weekly data.) In theory, tick data (time stamped series) are also handled, but I have never work with that kind of data, so it is not well tested.

The tables also provide a mechanism for storing meta data descriptions of series, so you can store company descriptions, but there is no SQL structure within the description. That is, you could not do a SQL query to select certain types of businesses based on the description. (This would probably not be too difficult to implement, but it is not in the structure provided.)

There is a not very well tested mechanism for handling series name changes (by an alias).

TSMySQL is a wrapper for package RMySQL. TSPostgreSQL is a wrapper for package RPostgreSQL. TSSQLite is a wrapper for package RSQLite. TSodbc is a wrapper for package RODBC. TSOracle is a wrapper for package ROracle.