[R-SIG-Finance] quantmod Charting

Thu Jul 23 17:53:42 CEST 2009

You haven't sent us a data series that we can reproduce your problem 
with.  Maybe grab one from an instrument that you don't trade, or 
simulate a series that has some of the same properties that you use to 
trade.

I typically have no problem using chartSeries on a day of tick data 
(millions of points) or 15-sec OHLC bars (hundreds of thousands of 
points) beyond the time it takes to actually display/render the chart.  
This includes calling addTA to add extra things to the charts in question.

One thing that comes immediately to mind is that I would probably 
separate the process of creating the indicators from the process of 
charting.  Run through your data series and generate your indicators, 
then again to generate your signals, and *then* chart it from the 
aligned time series.

There have been multiple previous posts to this list regarding calls to 
chartSeries and addTA from within custom functions, perhaps a review of 
the list archives is in order as well.

Regards,

  - Brian

James Klingsporn wrote:
> Hello,
>
> I am using quantmod to create charts that have buy/sell date times
> with a window 40 minutes before and after the buy/sell date time.  I
> want to create ps charts and ultimately pdf charts of the trades.  I'm
> not concerned with the exit right now.  The number of buy/sell date
> times can range between 150 – 3000+, so I'd clearly like to automate
> the process.  The code I’ve been using is attached below.  I've tried
> putting the below into a function so I call the function with the
> trade number, but this does not produce the full chart (and a similar
> problem with 'if' and thus the multipe 'if's below for the same
> condition).  If I run the below as Source R code it also doesn't
> produce the full chart.  Also, because the code is so long for each
> chart, I can't just run the code for all the trades at 1 time; I have
> to cut and paste the script for about 75 trades/time.  The code has
> run time of about 5-6 trade charts/min which clearly takes a while for
> the 3000+ trades and then considering I have also to cut and paste the
> code.
>
> Is there any way to speed up or otherwise improve the script/charting?
>
> Thanks,
> Jim
>
>
> R code for charts -
>
>  require(quantmod)
>
> 	file = 'C:/Consulting/chart.txt'
> 	chart_data <- read.zoo(file, header = FALSE, col.names = c("Date",
> "Open", "High", "Low", "Close", "MACD1min", "MACD5min", "MACD10min",
> "Hist1min", "Hist5min", "Hist10min"), sep = ",", dec = ".", tz = "",
> format = "%Y-%m-%d %H:%M:%S")
>     ES <- cbind(chart_data$Open, chart_data$High, chart_data$Low,
> chart_data$Close)
> 	ES <- as.quantmod.OHLC(ES, col.names = c("Open", "High", "Low", "Close"))
>
>     time_before = 40
>     time_after = 40
>     time_before <- time_before * 60
>     time_after <- time_after * 60
>
>     enter_times_path = 'C:/Consulting/ES_trades_with_slope_rule.txt'
>     enter_times <- read.zoo(enter_times_path, header = FALSE,
> col.names = c("Date", "Position"), sep = ",", dec = ".", tz = "",
> format = "%Y-%m-%d %H:%M:%S")
> 	
> 	ctheme <- chartTheme(theme = 'white', area = 'white', up.col =
> '#0C481A', dn.col = '#B12525')
>
> i = 1
> # Trade number repeats for number of trades
>
> display_range <- window(ES, start = time(enter_times[i]) - time_before
> , end = time(enter_times[i]) + time_after)
> m <- window(chart_data, start = time(enter_times[i]) - time_before ,
> end = time(enter_times[i]) + time_after)
> MACD <- cbind(m$MACD1min, m$MACD5min, m$MACD10min)
>
> chartSeries(display_range, theme = ctheme)
>
> Hist_range_5 = c(min(range(m$Hist5min)[1], - 0.2),
> max(range(m$Hist5min)[2], 0.2))
> Hist_range_10 = c(min(range(m$Hist10min)[1], - 0.2),
> max(range(m$Hist10min)[2], 0.2))
>
> h_steep_slope_1min <- m[abs(diff(m$Hist1min)) >= 0.1]
> h_slope_1min <- m[abs(diff(m$Hist1min)) >= 0.05 & abs(diff(m$Hist1min)) < 0.1]
> h_no_slope_1min <- m[abs(diff(m$Hist1min)) < 0.05]
> h_slope_macd_above_1min <- h_slope_1min[abs(h_slope_1min$Hist1min) > 0.2,]
> h_slope_macd_below_1min <- h_slope_1min[abs(h_slope_1min$Hist1min) <= 0.2,]
> h_no_slope_above_1min <- h_no_slope_1min[abs(h_no_slope_1min$Hist1min) > 0.2,]
> h_no_slope_below_1min <- h_no_slope_1min[abs(h_no_slope_1min$Hist1min) <= 0.2,]
> h_steep_slope_above_1min <-
> h_steep_slope_1min[abs(h_steep_slope_1min$Hist1min) > 0.2,]
> h_steep_slope_below_1min <-
> h_steep_slope_1min[abs(h_steep_slope_1min$Hist1min) <= 0.2,]
>
> a = h_slope_macd_below_1min$Hist1min
> b = h_no_slope_below_1min$Hist1min
> f =	h_steep_slope_below_1min$Hist1min
>
> c = h_steep_slope_above_1min$Hist1min
> d = h_no_slope_above_1min$Hist1min
> e = h_slope_macd_above_1min$Hist1min
>
> zero_times = time(m)
> zero = zoo(0, order.by = zero_times)
>
> addTA(a, on = NA, col = '#C03E15' , type = 'h', lwd = 3, yrange =
> range(m$Hist1min))
> addTA(b, on = 2, col = '#C03E15', type = 'h', lwd = 1)
> addTA(f, on = 2, col = '#C03E15', type = 'h', lwd = 6)
> addTA(c, on = 2, col = '#060440', type = 'h', lwd = 3)
> addTA(d, on = 2, col = '#060440', type = 'h', lwd = 1)
> addTA(e, on = 2, col = '#060440', type = 'h', lwd = 6)
> addTA(zero, on = 2, col = 'black', type = 'l', lwd = 1)
>
> h_steep_slope_5min <- m[abs(diff(m$Hist5min)) >= 0.1]
> h_slope_5min <- m[abs(diff(m$Hist5min)) >= 0.05 & abs(diff(m$Hist5min)) < 0.1]
> h_no_slope_5min <- m[abs(diff(m$Hist5min)) < 0.05]
>
> h_slope_macd_above_5min <- h_slope_5min[abs(h_slope_5min$Hist5min) > 0.7,]
> h_slope_macd_below_5min <- h_slope_5min[abs(h_slope_5min$Hist5min) <= 0.7,]
>
> h_no_slope_above_5min <- h_no_slope_5min[abs(h_no_slope_5min$Hist5min) > 0.7,]
> h_no_slope_below_5min <- h_no_slope_5min[abs(h_no_slope_5min$Hist5min) <= 0.7,]
>
> h_steep_slope_above_5min <-
> h_steep_slope_5min[abs(h_steep_slope_5min$Hist5min) > 0.7,]
> h_steep_slope_below_5min <-
> h_steep_slope_5min[abs(h_steep_slope_5min$Hist5min) <= 0.7,]
>
> a5 = h_slope_macd_below_5min$Hist5min
> b5 = h_no_slope_below_5min$Hist5min
> f5 = h_steep_slope_below_5min$Hist5min
>
> c5 = h_steep_slope_above_5min$Hist5min
> d5 = h_no_slope_above_5min$Hist5min
> e5 = h_slope_macd_above_5min$Hist5min
>
> addTA(a5, on = NA, col = '#C03E15' , type = 'h', lwd = 3, yrange =
> range(Hist_range_5))
> addTA(b5, on = 3, col = '#C03E15', type = 'h', lwd = 1)
> addTA(f5, on = 3, col = '#C03E15', type = 'h', lwd = 6)
> addTA(c5, on = 3, col = '#060440', type = 'h', lwd = 3)
> addTA(d5, on = 3, col = '#060440', type = 'h', lwd = 1)
> addTA(e5, on = 3, col = '#060440', type = 'h', lwd = 6)
> addTA(zero, on = 3, col = 'black', type = 'l', lwd = 1)
>
> h_steep_slope_10min <- m[abs(diff(m$Hist10min)) >= 0.1]
> h_slope_10min <- m[abs(diff(m$Hist10min)) >= 0.05 &
> abs(diff(m$Hist10min)) < 0.1]
> h_no_slope_10min <- m[abs(diff(m$Hist10min)) < 0.05]
>
> h_slope_macd_above_10min <- h_slope_10min[abs(h_slope_10min$Hist10min) > 0.7,]
> h_slope_macd_below_10min <- h_slope_10min[abs(h_slope_10min$Hist10min) <= 0.7,]
>
> h_no_slope_above_10min <-
> h_no_slope_10min[abs(h_no_slope_10min$Hist10min) > 0.7,]
> h_no_slope_below_10min <-
> h_no_slope_10min[abs(h_no_slope_10min$Hist10min) <= 0.7,]
>
> h_steep_slope_above_10min <-
> h_steep_slope_10min[abs(h_steep_slope_10min$Hist10min) > 0.7,]
> h_steep_slope_below_10min <-
> h_steep_slope_10min[abs(h_steep_slope_10min$Hist10min) <= 0.7,]
>
> a10 = h_slope_macd_below_10min$Hist10min
> b10 = h_no_slope_below_10min$Hist10min
> f10 = h_steep_slope_below_10min$Hist10min
>
> c10 = h_steep_slope_above_10min$Hist10min
> d10 = h_no_slope_above_10min$Hist10min
> e10 = h_slope_macd_above_10min$Hist10min
>
> addTA(d10, on = NA, col = '#060440', type = 'h', lwd = 1)
> addTA(a10, on = 4, col = '#C03E15' , type = 'h', lwd = 3, yrange =
> range(Hist_range_10))
> addTA(b10, on = 4, col = '#C03E15', type = 'h', lwd = 1)
> addTA(f10, on = 4, col = '#C03E15', type = 'h', lwd = 6)
> addTA(c10, on = 4, col = '#060440', type = 'h', lwd = 3)
>
> addTA(e10, on = 4, col = '#060440', type = 'h', lwd = 6)
> addTA(zero, on = 4, col = 'black', type = 'l', lwd = 1)
>
> addTA(MACD, on = NA, col = c('blue', 'red', 'green'), type = c('l',
> 'l', 'l'), lwd = c(4, 2, 1))
> addTA(zero, on = 5, col = 'black', type = 'l', lwd = 1)
>
> if (as.character(enter_times[i]) == "Long")	Buy <- ES[time(ES) ==
> time(enter_times[i]) + 60]$ES.Open
> if (as.character(enter_times[i]) == "Long")	addTA(Buy, on = 1, col =
> 'red', type = 'p', pch = 6, lwd = 2)
> if (as.character(enter_times[i]) == "Long")	addTA(Buy > 0, on =
> -(1:5), col = '#FFCAFD', border = NA)
>
> if (as.character(enter_times[i]) == "Short")	Short <- ES[time(ES) ==
> time(enter_times[i]) + 60]$ES.Open
> if (as.character(enter_times[i]) == "Short")    addTA(Short, on = 1,
> col = 'blue', type = 'p', pch = 2, lwd = 2)
> if (as.character(enter_times[i]) == "Short")	addTA(Short > 0, on =
> -(1:5), col = '#FF7878', border = NA)
>
> # Repeats with i = 2...
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>   

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock