[R-SIG-Finance] segfault while running quantstrat

[Joshua Ulrich]

Thank you. You're running the latest xts on CRAN, and the rbind C code
hasn't been touched in years... so this is likely still an issue in
the development version of xts.

Unfortunately, this is going to be very hard for me to reproduce
without your strategy and data.  Would it be possible for you to
provide it (off-list, if you prefer)?

On Fri, Oct 9, 2015 at 6:46 PM, Tsvetan Stoyanov <tstoyc at gmail.com> wrote:
> 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> 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
> FOSS Trading  |  www.fosstrading.com
>
>



-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com