[R-SIG-Finance] adapting quantstrat/demo/luxor code

Sun Jul 1 17:51:02 CEST 2012

I think that the problem is in the following line in Luxor:

> updatePortf(p, Symbols='GBPUSD', 
> ,Dates=paste('::',as.Date(Sys.time()),sep=''), Prices=GBPUSD)

Can you try and omit the prices parameter?

> updatePortf(p, Symbols='GBPUSD', 
> ,Dates=paste('::',as.Date(Sys.time()),sep=''))

On 01-07-12 15:05, Heling Yao wrote:
> Before applying to.hourly() and align.time():
>
>> class(AUDUSD)
> [1] "xts" "zoo"
>> head(AUDUSD)
>                        Open   High    Low  Close Volume
> 2004-10-25 00:00:00 0.7429 0.7446 0.7426 0.7438   1445
> 2004-10-25 01:00:00 0.7436 0.7447 0.7430 0.7436   1209
> 2004-10-25 02:00:00 0.7436 0.7444 0.7431 0.7440   1011
> 2004-10-25 03:00:00 0.7438 0.7448 0.7433 0.7444   1078
> 2004-10-25 04:00:00 0.7444 0.7449 0.7436 0.7442    838
> 2004-10-25 05:00:00 0.7443 0.7454 0.7431 0.7444   1126
>
> and after:                    AUDUSD.Open AUDUSD.High AUDUSD.Low AUDUSD.Close
> 2004-10-25 01:00:00      0.7429      0.7446     0.7426       0.7438
> 2004-10-25 02:00:00      0.7436      0.7447     0.7430       0.7436
> 2004-10-25 03:00:00      0.7436      0.7444     0.7431       0.7440
> 2004-10-25 04:00:00      0.7438      0.7448     0.7433       0.7444
> 2004-10-25 05:00:00      0.7444      0.7449     0.7436       0.7442
> 2004-10-25 06:00:00      0.7443      0.7454     0.7431       0.7444
>
> AUDUSD.Volume
> 2004-10-25 01:00:00          1445
> 2004-10-25 02:00:00          1209
> 2004-10-25 03:00:00          1011
> 2004-10-25 04:00:00          1078
> 2004-10-25 05:00:00           838
> 2004-10-25 06:00:00          1126
>
> Length of AUDUSD's the same. So I changed the following line:
> col_names = c('Open','High','Low','Close','Volume')
>
> to:
> colnames(data.xts) <-
> c('AUDUSD.Open','AUDUSD.High','AUDUSD.Low','AUDUSD.Close','AUDUSD.Volume')
>
> and viola, it works now without using to.hourly() and align.time()!
>
> I don't know if this is the correct way though.
>
>
> Thanks for your help,
>
>
> On Sun, Jul 1, 2012 at 7:31 PM, OpenTrades <jan at opentrades.nl> wrote:
>> Did you compare AUDUSD before and after applying to.hourly() and
>> align.time() ?
>>
>> After reading from csv, try:
>>
>>> head(AUDUSD)
>>>
>>> AUDUSD=to.hourly(AUDUSD)
>>> AUDUSD=align.time(AUDUSD, 60*60)
>>>
>>> head(AUDUSD)
>>
>> HTH,
>>
>> Jan Humme.
>>
>>
>>
>>
>> On 01-07-12 11:40, Heling Yao wrote:
>>> Hi,
>>>
>>> I'm trying to adapt luxor to load audusd H1 data, and changed the
>>> symbol loading code to the following:
>>>
>>> fx_str = 'AUDUSD'
>>> exchange_rate(c(fx_str), tick_size=0.0001)
>>>
>>> #getSymbols('AUDUSD', from=.from, to=.to, verbose=FALSE)
>>> data.csv = read.csv('/opt/data/H1/tp/AUDUSD.csv', sep=',', header=TRUE)
>>> data.xts = as.xts(data.csv[,2:6], as.POSIXct(strptime(data.csv[,1],
>>> '%Y-%m-%d %H:%M:%S')))
>>> colnames(data.xts) <- c('Open','High','Low','Close','Volume')
>>> assign(fx_str, data.xts)
>>>
>>>
>>> When I ran the code, I get:
>>>
>>> [1] "AUD" "USD"
>>> [1] "AUDUSD"
>>> [1] "forex"
>>> [1] "IB1"
>>> [1] "2004-11-02 07:00:00 AUDUSD -1e+05 @ 0.7434"
>>> [1] "2004-11-03 13:00:00 AUDUSD 1e+05 @ 0.7556"
>>> [1] "2004-11-03 13:00:00 AUDUSD 1e+05 @ 0.754"
>>> [1] "2004-11-08 23:00:00 AUDUSD -1e+05 @ 0.757"
>>> [1] "2004-11-10 10:00:00 AUDUSD 1e+05 @ 0.7612"
>>> [1] "2004-11-11 11:00:00 AUDUSD -1e+05 @ 0.7583"
>>> [1] "2004-11-11 15:00:00 AUDUSD 1e+05 @ 0.7617"
>>> [1] "2004-11-23 05:00:00 AUDUSD -1e+05 @ 0.7795"
>>> [1] "2004-11-24 08:00:00 AUDUSD 1e+05 @ 0.7883"
>>> [1] "2004-11-29 04:00:00 AUDUSD -1e+05 @ 0.7865"
>>> [1] "2004-11-29 09:00:00 AUDUSD -1e+05 @ 0.7837"
>>> [1] "2004-12-04 04:00:00 AUDUSD 1e+05 @ 0.7818"
>>> Error in getPrice(Prices, Symbol) :
>>>    subscript out of bounds: no column name containing AUDUSD
>>> Calls: updatePortf -> .updatePosPL -> getPrice
>>> Execution halted
>>>
>>> But when I add:
>>> AUDUSD = to.hourly(AUDUSD)
>>> AUDUSD = align.time(to.hourly(AUDUSD), 60*60)
>>>
>>> It runs fine. But I guess the above is not necessary for H1 data?
>>>
>>> sample data:
>>> Time,Open,High,Low,Close,Volume
>>> 2004-10-25 00:00:00,0.7429,0.7446,0.7426,0.7438,1445.0
>>> 2004-10-25 01:00:00,0.7436,0.7447,0.743,0.7436,1209.0
>>> 2004-10-25 02:00:00,0.7436,0.7444,0.7431,0.744,1011.0
>>> 2004-10-25 03:00:00,0.7438,0.7448,0.7433,0.7444,1078.0
>>> 2004-10-25 04:00:00,0.7444,0.7449,0.7436,0.7442,838.0
>>> 2004-10-25 05:00:00,0.7443,0.7454,0.7431,0.7444,1126.0
>>> 2004-10-25 06:00:00,0.7445,0.7456,0.7437,0.7443,1542.0
>>> 2004-10-25 07:00:00,0.7443,0.7469,0.7433,0.7468,1834.0
>>> 2004-10-25 08:00:00,0.7469,0.7486,0.7466,0.7483,2098.0
>>>
>>>
>>> After googling, I guess it could be timezone related. But still could
>>> not solve the problem.
>>>
>>>
>>> Thanks in advance,
>>>
>>> Heling
>>>
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>>
>> --
>> Jan Humme - OpenTrades
>>
>> WWW:     http://www.opentrades.nl
>> Email:   jan at opentrades.nl
>> Twitter: @opentrades
>>

-- 
Jan Humme - OpenTrades

WWW:     http://www.opentrades.nl
Email:   jan at opentrades.nl
Twitter: @opentrades