[R-SIG-Finance] segfault while running quantstrat

[Tsvetan Stoyanov]

Just before I run applyStrategy(), I have

> sessionInfo()
R version 3.2.2 (2015-08-14)
Platform: x86_64-apple-darwin13.4.0 (64-bit)
Running under: OS X 10.11 (El Capitan)

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] quantstrat_0.9.1687           foreach_1.4.2                
[3] blotter_0.9.1695              PerformanceAnalytics_1.4.3541
[5] FinancialInstrument_1.2.0     quantmod_0.4-5               
[7] TTR_0.23-0                    xts_0.9-7                    
[9] zoo_1.7-12                   

loaded via a namespace (and not attached):
[1] compiler_3.2.2   tools_3.2.2      codetools_0.2-14 grid_3.2.2      
[5] iterators_1.0.7  lattice_0.20-33 

> On Oct 9, 2015, at 4:33 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> 
> On Fri, Oct 9, 2015 at 6:29 PM, Tsvetan Stoyanov <tstoyc at gmail.com <mailto:tstoyc at gmail.com>> wrote:
>> Hi,
>> 
>> While running a simple strategy on 5min data I got a segfault after about 2 years and 7 months, or
>> 200,000 bars. Is this expected, are these the limits or quantstrat/R?
>> 
> Segfaults are always bugs, never "expected".  In this case, the
> problem is in the compiled code in xts:::rbind.xts.  Please provide
> the output of sessionInfo().
> 
>> Tsvetan
>> 
>> *** caught segfault ***
>> address 0x119b32000, cause 'memory not mapped'
>> 
>> Traceback:
>> 1: .External("rbindXts", dup = FALSE, ..., PACKAGE = "xts")
>> 2: rbind(deparse.level, ...)
>> 3: rbind(Portfolio$symbols[[Symbol]]$txn, NewTxn)
>> 4: addTxn(Portfolio = portfolio, Symbol = symbol, TxnDate = txntime,     TxnQty = orderQty, TxnPrice = txnprice, ... = ..., TxnFees = txnfees)
>> 5: ruleOrderProc(portfolio = portfolio, symbol = symbol, mktdata = mktdata,     timestamp = timestamp, periodicity = freq, curIndex = curIndex,     ...)
>> 6: applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy,     mktdata = mktdata, Dates = NULL, indicators = sret$indicators,     signals = sret$signals, parameters = parameters, ..., path.dep = TRUE,     debug = debug)
>> 7: applyStrategy(strategy.st, portfolio.st)
>> 
>> Possible actions:
>> 1: abort (with core dump, if enabled)
>> 2: normal R exit
>> 3: exit R without saving workspace
>> 4: exit R saving workspace
>> Selection:
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> 
> 
> 
> -- 
> Joshua Ulrich  |  about.me/joshuaulrich <http://about.me/joshuaulrich>
> FOSS Trading  |  www.fosstrading.com <http://www.fosstrading.com/>

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