[R-SIG-Finance] Reading MetaStock data format in R

Mon Sep 30 17:30:55 CEST 2013

I think you can also achieve what you want (i.e. 3rd party calling R for
analysis without leaving the 3rd party environment) using
http://www.omegahat.org/RDCOMServer/

A similar 'plug-in' was developed for amibroker doing just that:
https://stat.ethz.ch/pipermail/r-sig-finance/2008q3/002859.html

-Alexios

On 30/09/2013 16:00, Peter Fertig wrote:
> Hi Alexios,
> 
> thank you for your answer. Converting the MetaStock data into a csv file
> is not a problem. I can do this with Visual Basic easily. I want to use
> R for some time series analysis and want to use the results for trading
> systems in MetaStock or TradeStation. Thus, I would have two conversions
> for each security. This could be time consuming. Therefore, I look for a
> way to read/write the data directly from R. The problem I run into is
> just the conversion of the binary formats. Here, the solutions I have
> for Visual Basic don't work in R.
> 
> Best regards
> 
> Peter
> 
> ------------------------------------------------------------------------
> *Von:* alexios ghalanos <alexios at 4dscape.com>
> *An:* Peter Fertig <pfertig at yahoo.de>
> *CC:* "R. Michael Weylandt <michael.weylandt at gmail.com>"
> <michael.weylandt at gmail.com>; "r-sig-finance at r-project.org"
> <r-sig-finance at r-project.org>
> *Gesendet:* 16:36 Montag, 30.September 2013
> *Betreff:* Re: [R-SIG-Finance] Reading MetaStock data format in R
> 
> The Metastock conversion topic was covered here before:
> 
> https://stat.ethz.ch/pipermail/r-sig-finance/2009q4/005368.html
> 
> Have a look at this open source C++ project for converting
> Metastock to csv, after which you can import into R.
> 
> https://bitbucket.org/rudimeier/atem/overview
> 
> 
> -Alexios
> 
> On 30/09/2013 14:55, Peter Fertig wrote:
>> Hi Michael,
>>
>> thank you for your comments. I have learnt now that using the DLL
> file, will not work as I can not modify the DLL.
>>
>> Creating csv or Excel files, another proposal I got, is what I have to
> do already for another commercial econometric software (RATS from
> Estima) I use now for a couple of years. Thus, I limited this to weekly
> data for only a few instruments. However, I would like to run the
> analysis on a daily basis for more instruments. Therefore, I still look
> for a solution in R by using C-code. Unfortunately, I have only
> experience in programming in Visual Basic and Pascal/Delphi. Maybe
> having only the code for the functions is not sufficient and the C-file
> needs a few more lines? Something, I still have to explore.
>>
>> Best regards
>> Peter
>>
>>
>> ________________________________
>>  Von: "R. Michael Weylandt <michael.weylandt at gmail.com
> <mailto:michael.weylandt at gmail.com>>" <michael.weylandt at gmail.com
> <mailto:michael.weylandt at gmail.com>>
>>
>> CC: "r-sig-finance at r-project.org <mailto:r-sig-finance at r-project.org>"
> <r-sig-finance at r-project.org <mailto:r-sig-finance at r-project.org>>
>> Gesendet: 14:45 Montag, 30.September 2013
>> Betreff: Re: [R-SIG-Finance] Reading MetaStock data format in R
>>
>>
>>
>>
>>
>>
>>> Hello,
>>>
>>> I am new at R and need some help because I am stuck in a project. I
> have financial data, which is stored in the MetaStock data format and is
> updated daily. For reading this data, I started to write a R-script. So
> far, I managed to read the Master file, which contains the information
> about the various securities in a directory, as well as reading the
> Fxxx.Dat data files. The data is stored in the Microsoft Binary Format,
> which was used for Basica under DOS. Thus, it has to be converted into
> the IEEE format for the floating point numbers. But here my problems start.
>>
>> Godspeed -- nothing quite like non-standard binary formats before the
> first morning coffee.
>>
>>
>>>
>>> I have a DLL-file with functions to convert the 4byte MBF format into
> IEEE format as well as from IEEE to MBF format. As recommended, this DLL
> is in the Windows/System32 directory. I use this DLL with Visual Basic
> and it works fine. In the R script, I included the following line
>>>
>>> dyn.load("MBFIEE32", DLLpath="C:/Windows/System32").
>>
>> Don't think it works like that -- anything you want exposed within R
> will need to return R objects or wrapper classes (SEXP's generally) --
> if your DLL works for / was written for VB, it won't work un-modified in R.
>>
>>>
>>> However, testing if the DLL had been loaded with
> is.loaded("MBFIEE32") returns FALSE. I have read the manual, but have
> not figured out what went wrong. Thus, my question is, what might I have
> overlooked, which could cause this error?
>>>
>>> I also have a file with the functions for the format conversions in
> C. After making slight modifications to ensure that the functions return
> void as requested, I wanted to compile the file with the command (using
> the shell feature of RStudio) R CMD SHLIB [-d] -o MBF2IEEE.DLL
> MBF2IEEE.c. I called this command from the directory where the C-file is
> stored. However, the file was not compiled. Does the C-file has to be
> stored in a particular directory? After reading the online help, I can
> not figure out, what went wrong.
>>>
>>
>> Is your R development environment set up properly? R is not officially
> supported to build under VS and I'd imagine the same applies to packages.
>>
>> To test that, I'd try building the 'xts' package locally -- it's an
> easy (enough) build and relevant for finance work anyways.
>>
>> Depending on the scale of your data and the frequency you'll be doing
> this, it might be worth writing a standalone program which makes a csv
> file (or similar) and then just reading that into R so you can get on
> with your work.
>>
>> Cheers,
>> Michael
>>
>>
>>> Thanks for any help
>>>
>>> Peter 
>>>    [[alternative HTML version deleted]]
>>>
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>>     [[alternative HTML version deleted]]
>>
>>
>>
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