Re: [R-SIG-Finance] java.lang.OutOfMemoryError: unable to create new native thread
Hi Gordon,
I a sure John Laing will answer this much better than me, but have you looked
at this solution:
http://grokbase.com/t/r/r-help/1279ge1zxs/r-problem-to-establish-bloomberg-connection-package-rbloomberg-function-blpconnect
I have the same settings that you but Java 1.6.0_26 it is working fine on my
side
Best rgds,
Julien
From: gordon.morri...@ftse.com
To: r-sig-finance@r-project.org
Date: Wed, 28 Nov 2012 14:39:29 +
Subject: [R-SIG-Finance] java.lang.OutOfMemoryError: unable to create new
native thread
Hi
I am having a problem connecting to Bloomberg.
Here are the symptoms
library(Rbbg)
Loading required package: rJava
conName - blpConnect()
R version 2.15.0 (2012-03-30)
rJava Version 0.9-3
Rbbg Version 0.4-153
Java environment initialized successfully.
Looking for most recent blpapi3.jar file...
Adding C:\blp\API\APIv3\JavaAPI\v3.4.8.1\lib\blpapi3.jar to Java classpath
Error in .jnew(org/findata/blpwrapper/Connection, java.log.level) :
java.lang.OutOfMemoryError: unable to create new native thread
sessionInfo()
R version 2.15.0 (2012-03-30)
Platform: i386-pc-mingw32/i386 (32-bit)
locale:
[1] LC_COLLATE=English_United Kingdom.1252 LC_CTYPE=English_United
Kingdom.1252
[3] LC_MONETARY=English_United Kingdom.1252 LC_NUMERIC=C
[5] LC_TIME=English_United Kingdom.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] gdata_2.12.0 Rbbg_0.4-153 rJava_0.9-3
loaded via a namespace (and not attached):
[1] gtools_2.7.0 tools_2.15.0
I am running Java version 1.6.0_16
I can connect to Bloomberg via the API
Does anyone have any ideas?
Gordon Morrison
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Re: [R-SIG-Finance] MACD crash problem
Reproductible on Windows 7 OS, R 2.15.0, TTR 0.21-1 Date: Wed, 10 Oct 2012 12:47:24 -0500 From: br...@braverock.com To: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] MACD crash problem On 10/10/2012 12:38 PM, Bos, Roger wrote: Here is some reproducible code that causes R to crash while running the MACD function in the TTR library. The problem seems to be when the nSlow and nSig parameters are so large that the function is not able to calculate the moving average length denoted by nSig. Now that I know what the problem is I can avoid it, but it would be nice if the MACD function returned an error instead of crashing R (unless its just my setup-R 2.15.1 64-bit win7). Maybe someone can confirm for me by testing out the code below. The first call to MACD should work as many times as you call it, as expected. However the second one causes problems because the data in temp is too short to product a moving average over 22 data points. This crashes R almost always, but occasionally it does work once or twice. That's why I used for loops to make my point. First lets see if other people have the same results that I do. If so, it would be nice if MACD produced an error instead of crashing R. Thanks, Roger library(TTR) temp - 1:60 for (i in 1:10) x - MACD(temp, nFast=15, nSlow=40, nSig=21) # Works fine print(okay so far) for (i in 1:10) x - MACD(temp, nFast=15, nSlow=40, nSig=22) # Crashes R print(bet you don't see this) This is reproducible for me with TTR-0.21-1 on 64 bit linux, and with svn r135 from R-Forge. Regards, - Brian ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Equities Data
Hi Ralph, You question does not have much to do with R... BUT your question must be much more specific than that to have meaningful replies: (1) what data are you after (prices? intraday or end of day?, fundamentals?,, etc.) (2) what is your budget if any if unlimited buddget just get a Factset or bloomberg license (the ones I know best) and you are covered. If you are after free data, well look at quantmod its API to yahoo finance (which does split adjustment), google finance etc., if personal use kind of budget only looking for end of day prices ( may be some fundamentals) I had a look at eoddata.com some time ago found it good value for money (never compared to BBG / Factset like though) and I believe they do provide corporate action info HTH, Julien Date: Wed, 5 Sep 2012 23:17:28 -0700 From: junzh...@yahoo.com To: r-sig-finance@r-project.org; rvinc...@gmail.com Subject: Re: [R-SIG-Finance] Equities Data For US market, a good source of equity data is from CRSP of University of Chicago. The data is historical only and well cleaned. It costs about 20-30k per year. For global equity data, bloomberg and reuters are two good sources. J. Zhu --- On Wed, 9/5/12, Ralph Vince rvinc...@gmail.com wrote: From: Ralph Vince rvinc...@gmail.com Subject: [R-SIG-Finance] Equities Data To: r-sig-finance@r-project.org Date: Wednesday, September 5, 2012, 8:39 PM I'm looking for a reliable vendor of equity data, one that also provides information regarding corporate actions (dividends, splits, ex-dates, etc). Anyone know of any good sources? R. Vince ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Rbbg - curious performance of bdh?
Have the same in Rbbg, but when trying in XL:
=BDH(FP FP Equity,ENERGY_CONSUMPTION,-4FY)
I am getting:
#N/A N/A
???
From: gordon.morri...@ftse.com
To: R-SIG-Finance@r-project.org
Date: Tue, 3 Jul 2012 15:00:23 +0100
Subject: [R-SIG-Finance] Rbbg - curious performance of bdh?
I seem to be getting some surprising results when I run the function bdh.
The code I am running is as follows
library(RBloomberg)
Loading required package: rJava
conn - blpConnect()
R version 2.15.0 (2012-03-30)
rJava Version 0.9-3
RBloomberg Version 0.4-151
Java environment initialized successfully.
Looking for most recent blpapi3.jar file...
Adding C:\blp\API\APIv3\JavaAPI\v3.4.8.1\lib\blpapi3.jar to Java classpath
Bloomberg API Version 3.4.8.1
The connection seems to work OK
bdp(conn, AMZN US Equity, NAME)
NAME
AMZN US Equity AMAZON.COM INC
And I can download a time series of sales/revenue - as shown below
bdh(conn, FP FP Equity, SALES_REV_TURN, start_date = 20080101)
date SALES_REV_TURN
2008-03-31 2008-03-31 39287
2008-06-30 2008-06-30 43300
2008-09-30 2008-09-30 44039
2008-12-31 2008-12-31 33705
2009-03-31 2009-03-31 25468
2009-06-30 2009-06-30 26574
2009-09-30 2009-09-30 28816
2009-12-31 2009-12-31 31295
2010-03-31 2010-03-31 33161
2010-06-30 2010-06-30 36327
2010-09-30 2010-09-30 35228
2010-12-31 2010-12-31 35760
2011-03-31 2011-03-31 41602
2011-06-30 2011-06-30 40465
2011-09-30 2011-09-30 41525
2011-12-31 2011-12-31 42958
2012-03-31 2012-03-31 46775
... and even get the same data for historic fiscal years
bdh(conn, FP FP Equity, SALES_REV_TURN, start_date = -4fy)
date SALES_REV_TURN
2007-12-31 2007-12-31 37697
2008-03-31 2008-03-31 39287
2008-06-30 2008-06-30 43300
2008-09-30 2008-09-30 44039
2008-12-31 2008-12-31 33705
2009-03-31 2009-03-31 25468
2009-06-30 2009-06-30 26574
2009-09-30 2009-09-30 28816
2009-12-31 2009-12-31 31295
2010-03-31 2010-03-31 33161
2010-06-30 2010-06-30 36327
2010-09-30 2010-09-30 35228
2010-12-31 2010-12-31 35760
2011-03-31 2011-03-31 41602
2011-06-30 2011-06-30 40465
2011-09-30 2011-09-30 41525
2011-12-30 2011-12-30 42958
2012-03-30 2012-03-30 46775
But when I run the same function for ENERGY_CONSUMPTION it returns an empty
dataset
bdh(conn, FP FP Equity, ENERGY_CONSUMPTION, start_date = 20080101)
[1] date ENERGY_CONSUMPTION
0 rows (or 0-length row.names)
bdh(conn, FP FP Equity, ENERGY_CONSUMPTION, start_date = -4fy)
[1] date ENERGY_CONSUMPTION
0 rows (or 0-length row.names)
The data does exist in Bloomberg as I can use the same function to download
the data into Excel and even see it on the Bloomberg terminal.
Does anyone have any ideas?
Gordon Morrison
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Re: [R-SIG-Finance] RBloomberg package rename
Hi John / List, Many thanks for keeping us posted on the below. When trying to install Rbbg (Or RBloomberg before name switch) It does not find the blpapi3.jar file - which in my PC after the install of the BBG SDK I have in the folder C:\blp\API and not into C:\blp\API\APIv3\JavaAPI that the package is looking in...Probably me doing something? or any way to change the folder where it looks for the .jar file? Any feedback appreciated... Many thanks, Julien Below some session infos after running the BLPSDKInstaller.EXE downloaded from BBG desktop: sessionInfo() R version 2.15.0 (2012-03-30) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United Kingdom.1252 LC_CTYPE=English_United Kingdom.1252LC_MONETARY=English_United Kingdom.1252 [4] LC_NUMERIC=CLC_TIME=English_United Kingdom.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] Rbbg_0.4-153 RBloomberg_0.4-151 rJava_0.9-3 PerformanceAnalytics_1.0.4.4 [5] xts_0.8-6zoo_1.7-7 loaded via a namespace (and not attached): [1] grid_2.15.0lattice_0.20-6 tools_2.15.0 library(Rbbg) Attaching package: Rbbg The following object(s) are masked from package:RBloomberg: allBloombergTests, bar, bdh, bdp, bds, blp, blpConnect, blpConnect.Java, blpDisconnect, blpFieldInfo, blpGetData, convert.data.to.type, convert.to.type, field.description, process.result, runAllBloombergTests, tick conn - blpConnect() R version 2.15.0 (2012-03-30) rJava Version 0.9-3 Rbbg Version 0.4-153 Java environment initialized successfully. Looking for most recent blpapi3.jar file... Error in blpConnect.Java(warning, NULL, TRUE, NULL, TRUE) : Can't find C:\blp\API\APIv3\JavaAPI please confirm you have Bloomberg Version 3 Java API installed. If it's in a different location, please report this to Rbbg package maintainer. setwd(C:\\blp\\API) getwd() [1] C:/blp/API list.files() [1] activex ARDJFieldsMapping.xml bbapi.dll bbcomm.exe [5] bbconfig.exe Bbfields.ext Bbfields.ovr Bbfields.tbl [9] Bbfieldsj.tbl bbloaderv3.dllbbstop.exe bbtstapi.exe [13] blpapi3.jar blpapi3_32.dllblpapi32.dll blpapicom.dll [17] blpapicom2.dllblpdapisup.dllblpsend Bny3.ico [21] Bny4.ico Ccylist.tbl cdrlist.tbl dde [25] IBESFieldMapping.tbl MeterTrayTool.exe Office Tools Date: Mon, 21 May 2012 11:08:00 -0400 From: john.la...@gmail.com To: r-sig-finance@r-project.org Subject: [R-SIG-Finance] RBloomberg package rename The package formerly known as RBloomberg has been renamed Rbbg. As this package is not formally affiliated with or endorsed by Bloomberg, their lawyers have requested that we not reference the company by name. The existing package will continue to work, but its binaries are no longer publicly available and all updates/bug fixes/new features will be rolled into the new package. The new Rbbg can be installed like this: install.packages(Rbbg, repos = http://r.findata.org;) Apologies for any inconvenience. -John ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] RBloomberg package rename
Hi John, Yes I used the latest exe from WAPI running latest R 2.15 weird, will do a full re-install see how it goes - will keep you posted Many thanks, Julien Date: Wed, 6 Jun 2012 07:10:16 -0400 Subject: Re: [R-SIG-Finance] RBloomberg package rename From: john.la...@gmail.com To: j_cuisin...@hotmail.com CC: n-...@qtradr.net; r-sig-finance@r-project.org Hi Julien, This behavior can happen if you do not have an up-to-date version of the Java v3 API. Did you download the Java version of the SDK from the WAPI function? -John On Wed, Jun 6, 2012 at 4:37 AM, julien cuisinier j_cuisin...@hotmail.com wrote: Thanks Nick, does not change a thing unfortunately. Trying to specify the location of the jar file does not work either: conn - blpConnect(blpapi.jar.file=C:\\blp\\API\\blpapi3.jar) R stop responding I need to kill the process everytime... any idea most welcome Thanks, Julien Date: Wed, 6 Jun 2012 18:06:39 +1000 From: n-...@qtradr.net To: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] RBloomberg package rename Julien, Perhaps try uninstalling RBloomberg now that you have Rbbg installed. That *might* cause a conflict. I haven't tried this though. Just seems like a good first step before diving into the filesystem / debugging the Java issue (if there is one) On 06/06/2012 06:01 PM, julien cuisinier wrote: Hi John / List, Many thanks for keeping us posted on the below. When trying to install Rbbg (Or RBloomberg before name switch) It does not find the blpapi3.jar file - which in my PC after the install of the BBG SDK I have in the folder C:\blp\API and not into C:\blp\API\APIv3\JavaAPI that the package is looking in...Probably me doing something? or any way to change the folder where it looks for the .jar file? Any feedback appreciated... Many thanks, Julien Below some session infos after running the BLPSDKInstaller.EXE downloaded from BBG desktop: sessionInfo() R version 2.15.0 (2012-03-30) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United Kingdom.1252 LC_CTYPE=English_United Kingdom.1252LC_MONETARY=English_United Kingdom.1252 [4] LC_NUMERIC=CLC_TIME=English_United Kingdom.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] Rbbg_0.4-153 RBloomberg_0.4-151 rJava_0.9-3 PerformanceAnalytics_1.0.4.4 [5] xts_0.8-6zoo_1.7-7 loaded via a namespace (and not attached): [1] grid_2.15.0lattice_0.20-6 tools_2.15.0 library(Rbbg) Attaching package: 'Rbbg' The following object(s) are masked from 'package:RBloomberg': allBloombergTests, bar, bdh, bdp, bds, blp, blpConnect, blpConnect.Java, blpDisconnect, blpFieldInfo, blpGetData, convert.data.to.type, convert.to.type, field.description, process.result, runAllBloombergTests, tick conn - blpConnect() R version 2.15.0 (2012-03-30) rJava Version 0.9-3 Rbbg Version 0.4-153 Java environment initialized successfully. Looking for most recent blpapi3.jar file... Error in blpConnect.Java(warning, NULL, TRUE, NULL, TRUE) : Can't find C:\blp\API\APIv3\JavaAPI please confirm you have Bloomberg Version 3 Java API installed. If it's in a different location, please report this to Rbbg package maintainer. setwd(C:\\blp\\API) getwd() [1] C:/blp/API list.files() [1] activex ARDJFieldsMapping.xml bbapi.dll bbcomm.exe [5] bbconfig.exe Bbfields.ext Bbfields.ovr Bbfields.tbl [9] Bbfieldsj.tbl bbloaderv3.dllbbstop.exe bbtstapi.exe [13] blpapi3.jar blpapi3_32.dllblpapi32.dll blpapicom.dll [17] blpapicom2.dllblpdapisup.dllblpsend Bny3.ico [21] Bny4.ico Ccylist.tbl cdrlist.tbl dde [25] IBESFieldMapping.tbl MeterTrayTool.exe Office Tools Date: Mon, 21 May 2012 11:08:00 -0400 From: john.la...@gmail.com To: r-sig-finance@r-project.org Subject: [R-SIG-Finance] RBloomberg package rename The package formerly known as RBloomberg has been renamed Rbbg. As this package is not formally affiliated with or endorsed by Bloomberg, their lawyers have requested that we not reference the company by name. The existing package will continue to work, but its binaries are no longer publicly available and all updates/bug fixes/new features will be rolled into the new package. The new Rbbg can be installed like this: install.packages(Rbbg, repos = http://r.findata.org;) Apologies for any
Re: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS
Juan, The RBloomberg with COM interface is an old one only Java is now supported. The reason it works on colleague computers is that they did not update their RBloomberg package (as you pointed out 0.1 Vs 0.4 now) are still running the old version The periodicity of your download is not defined when establishing the connection (why would it be?) but when using one of the BBG function (probably bdh in your case) - Just look at the RBloomberg manual for more info HTH, Julien From: jjfgar...@renta4.es To: n-...@qtradr.net; r-sig-finance@r-project.org Date: Thu, 31 May 2012 12:22:15 + Subject: Re: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Hi Nick Sorry, i have been out of office for two days I tried what you suggested conn - blpConnect() bdp(conn,ES1 Index,PX_LAST) Everything works fine and R downloaded the last price I don't have any particular preference for the CONN interface, it is just that this code is working fine in another computer. Also I need to set up two parameters (daily data for open market days), parameters that I can set up using the function as defined in http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=RBloomberg:blpConnect but parameters that I cant use using the Java configuration One stupid question The functions I used in the link above require Package RBloomberg version 0.1-10 But I downloaded the RBloomberg Version 0.4-151 Could this be the problem? Thanks for your patience and help JJ -Mensaje original- De: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] En nombre de Nick Enviado el: Tuesday, May 29, 2012 1:15 AM Para: r-sig-finance@r-project.org Asunto: Re: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS You can't simultaneously use COM and Java. Rbbg only supports Java (as has been noted). Why do you want to use the COM interface? Make sure you have correctly installed RBloomberg / Rbbg from findata.org Once it is installed, make sure you have your session correctly initialized: conn - blpConnect() then try a request: bdp(conn,ES1 Index,PX_LAST) if that doesn't work, can you please paste any error messages? thanks On 05/29/2012 01:32 AM, julien cuisinier wrote: Juan, No problem, I thik my point is that the blpConnect function does accept only iface=Java as argument, hhence trying iface=COM you get the error msge Weird the help() does not work - did you have the RBloomberg package loaded when trying the help(blpConnect)? May be you did not install the help file alongside R? If so I would recomment to do so. I found this which might help, google is your friend ;-): http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=RBloomberg:blpConnect HTH, Julien From: jjfgar...@renta4.es To: j_cuisin...@hotmail.com; r-sig-finance@r-project.org Subject: RE: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Date: Mon, 28 May 2012 14:47:34 + Julien Thnkx very much. Actually the full code is this blpConnect(iface=COM, na.action=na, periodicity=daily) I think this is the proper way to use the function (I am a R beginner), that's why I used it When I type help(blpConnect) I get this: No documentation for 'blpConnect' in specified packages and libraries: you could try '??blpConnect' I followed the manual instructions and installed Java Version 3 API, rJava package and I also downloaded Jave from the Java website. Thanks again JJ De: julien cuisinier [mailto:j_cuisin...@hotmail.com] Enviado el: Monday, May 28, 2012 4:17 PM Para: Juan José Fernández García; r-sig-finance@r-project.org Asunto: RE: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Hi, when I type help(blpConnect) in R, I read this: Arguments iface character. Which Bloomberg interface? (only Java currently supported). why do you try to give the COM value to iface argument? after the : conn - blpConnect() you are connected as far as I know? If I said something stupid, sure the package owner will contradict me Rgds, Julien From: jjfgar...@renta4.es To: r-sig-finance@r-project.org Date: Mon, 28 May 2012 13:56:04 + Subject: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Dear All, In the first place I would like to thank you for your contribution to R. I am having this problem with Rbloomberg. I followed the manual and downloaded the API from bloomberg. However, when I run conn=blpConnect(iface=COM) I got the error message below . ¿do you know why this might happen? Thanks very much library(RBloomberg) Loading required package
Re: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS
Hi, when I type help(blpConnect) in R, I read this: Arguments iface character. Which Bloomberg interface? (only Java currently supported). why do you try to give the COM value to iface argument? after the : conn - blpConnect() you are connected as far as I know? If I said something stupid, sure the package owner will contradict me Rgds, Julien From: jjfgar...@renta4.es To: r-sig-finance@r-project.org Date: Mon, 28 May 2012 13:56:04 + Subject: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Dear All, In the first place I would like to thank you for your contribution to R. I am having this problem with Rbloomberg. I followed the manual and downloaded the API from bloomberg. However, when I run conn=blpConnect(iface=COM) I got the error message below . ¿do you know why this might happen? Thanks very much library(RBloomberg) Loading required package: rJava conn - blpConnect() R version 2.15.0 (2012-03-30) rJava Version 0.9-3 RBloomberg Version 0.4-151 Java environment initialized successfully. Looking for most recent blpapi3.jar file... Adding C:\blp\API\APIv3\JavaAPI\v3.4.6.6\lib\blpapi3.jar to Java classpath Bloomberg API Version 3.4.6.6 conn=blpConnect(iface=COM) Error en blpConnect(iface = COM) : Requsted interface COM is not valid! Valid interfaces are Java SessionInfo R version 2.15.0 (2012-03-30) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=Spanish_Spain.1252 LC_CTYPE=Spanish_Spain.1252 [3] LC_MONETARY=Spanish_Spain.1252 LC_NUMERIC=C [5] LC_TIME=Spanish_Spain.1252 attached base packages: [1] stats graphics grDevices datasets utils methods base other attached packages: [1] RBloomberg_0.4-151 rJava_0.9-3rcom_2.2-5 rscproxy_2.0-5 loaded via a namespace (and not attached): [1] tools_2.15.0 [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS
Juan, No problem, I thik my point is that the blpConnect function does accept only iface=Java as argument, hhence trying iface=COM you get the error msge Weird the help() does not work - did you have the RBloomberg package loaded when trying the help(blpConnect)? May be you did not install the help file alongside R? If so I would recomment to do so. I found this which might help, google is your friend ;-): http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=RBloomberg:blpConnect HTH, Julien From: jjfgar...@renta4.es To: j_cuisin...@hotmail.com; r-sig-finance@r-project.org Subject: RE: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Date: Mon, 28 May 2012 14:47:34 + Julien Thnkx very much. Actually the full code is this blpConnect(iface=COM, na.action=na, periodicity=daily) I think this is the proper way to use the function (I am a R beginner), thats why I used it When I type help(blpConnect) I get this: No documentation for blpConnect in specified packages and libraries: you could try ??blpConnect I followed the manual instructions and installed Java Version 3 API, rJava package and I also downloaded Jave from the Java website. Thanks again JJ De: julien cuisinier [mailto:j_cuisin...@hotmail.com] Enviado el: Monday, May 28, 2012 4:17 PM Para: Juan José Fernández García; r-sig-finance@r-project.org Asunto: RE: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Hi, when I type help(blpConnect) in R, I read this: Arguments iface character. Which Bloomberg interface? (only Java currently supported). why do you try to give the COM value to iface argument? after the : conn - blpConnect() you are connected as far as I know? If I said something stupid, sure the package owner will contradict me Rgds, Julien From: jjfgar...@renta4.es To: r-sig-finance@r-project.org Date: Mon, 28 May 2012 13:56:04 + Subject: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS Dear All, In the first place I would like to thank you for your contribution to R. I am having this problem with Rbloomberg. I followed the manual and downloaded the API from bloomberg. However, when I run conn=blpConnect(iface=COM) I got the error message below . ¿do you know why this might happen? Thanks very much library(RBloomberg) Loading required package: rJava conn - blpConnect() R version 2.15.0 (2012-03-30) rJava Version 0.9-3 RBloomberg Version 0.4-151 Java environment initialized successfully. Looking for most recent blpapi3.jar file... Adding C:\blp\API\APIv3\JavaAPI\v3.4.6.6\lib\blpapi3.jar to Java classpath Bloomberg API Version 3.4.6.6 conn=blpConnect(iface=COM) Error en blpConnect(iface = COM) : Requsted interface COM is not valid! Valid interfaces are Java SessionInfo R version 2.15.0 (2012-03-30) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=Spanish_Spain.1252 LC_CTYPE=Spanish_Spain.1252 [3] LC_MONETARY=Spanish_Spain.1252 LC_NUMERIC=C [5] LC_TIME=Spanish_Spain.1252 attached base packages: [1] stats graphics grDevices datasets utils methods base other attached packages: [1] RBloomberg_0.4-151 rJava_0.9-3rcom_2.2-5 rscproxy_2.0-5 loaded via a namespace (and not attached): [1] tools_2.15.0 [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS
Juan,
something weird with your install / help, below what I get (R 2.15.0)
blpConnect {RBloomberg}R Documentation
Open or shut a connection to Bloomberg
Description
The function blpConnect returns a connection object to one of
the Bloomberg interfaces. Currently, only the Java Version 3 API is
supported.
Usage
blpConnect(iface = Java, log.level = warning, blpapi.jar.file = NULL,
throw.ticker.errors = TRUE, jvm.params = NULL, verbose = TRUE)
blpConnect.Java(log.level, blpapi.jar.file, throw.ticker.errors, jvm.params,
verbose)
blpDisconnect(conn)
Arguments
iface
character. Which Bloomberg interface? (only Java currently supported).
log.level
character. Level of logs to be generated by Java. Acceptable values: warning,
info, fine, finest.
blpapi.jar.file
character. Location of the Bloomberg API JAR file. If NULL (default), the
function looks in usual locations.
throw.ticker.errors
logical. Should errors be thrown for invalid tickers?
jvm.params = NULL
Parameters passed to the Java Virtual Machine
verbose = TRUE
logical. Should output be written to the console on connection?
conn
Connection object
Also, R tells you he cannot uses the arguments:
(na.action = na, periodicity = daily)
so you might (for next time) to look at the code of your function, you can look
at the code in a majority of R function is just type it in the console without
the brackets
You can see the function argument no na.action or periodicity (which are
pretty weird arguments for a connection function anyway!)
blpConnect
function (iface = Java, log.level = warning, blpapi.jar.file = NULL,
throw.ticker.errors = TRUE, jvm.params = NULL, verbose = TRUE)
{
valid.interfaces - c(Java)
future.interfaces - c(C)
if (iface %in% future.interfaces) {
stop(paste(Requested interface, iface, is not yet implemented.))
}
if (!(iface %in% valid.interfaces)) {
msg - paste(Requsted interface, iface, is not valid! Valid
interfaces are ,
do.call(paste, as.list(valid.interfaces)))
stop(msg)
}
fn.name - paste(blpConnect, iface, sep = .)
fn.call - call(fn.name, log.level, blpapi.jar.file, throw.ticker.errors,
jvm.params, verbose)
eval(fn.call)
}
environment: namespace:RBloomberg
May be a full re-install?
Good luck
HTH,
Julien
From: jjfgar...@renta4.es
To: j_cuisin...@hotmail.com; r-sig-finance@r-project.org
Subject: RE: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS
Date: Mon, 28 May 2012 15:57:43 +
Julien
Thanks again
When I run
blpConnect(iface=Java) it worked
But when I run blpConnect(iface=Java, timeout=12000, show.days=week,
na.action=na, periodicity=daily), I got an error message
conn=blpConnect(iface=Java,na.action=na,periodicity=daily)
Error en blpConnect(iface = Java, na.action = na, periodicity = daily) :
el argumento(s) no fue utilizado(s) (na.action = na, periodicity = daily)
conn=blpConnect(iface=Java)
R version 2.15.0 (2012-03-30)
rJava Version 0.9-3
RBloomberg Version 0.4-151
Java environment initialized successfully.
Looking for most recent blpapi3.jar file...
Adding C:\blp\API\APIv3\JavaAPI\v3.4.6.6\lib\blpapi3.jar to Java classpath
Bloomberg API Version 3.4.6.6
I also found that website, but in that website it refers to iface=COM, which
confuses me
Open or shut a connection to Bloomberg
Description
The function blpConnect returns a connection object to one of the Bloomberg
interfaces. Currently, only the COM Desktop API is supported.
Usage
blpConnect(iface=COM, timeout=12000, show.days=week,
na.action=na, periodicity=daily)
blpDisconnect(conn)
Finally, you were right, I didnt load the library before y type help. Help
function took me to
http://127.0.0.1:22382/library/RBloomberg/html/blpConnect.html
The thing that confuses me now is how to set up blpConnect to stablish the
conection and also set up the parameters
na.action = na, periodicity = daily
that I need for my work
Thanks a lot
JJ
De: julien cuisinier [mailto:j_cuisin...@hotmail.com]
Enviado el: Monday, May 28, 2012 5:30 PM
Para: Juan José Fernández García; r-sig-finance@r-project.org
Asunto: RE: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS
Juan,
No problem, I thik my point is that the blpConnect function does accept only
iface=Java as argument, hhence trying iface=COM you get the error msge
Weird the help() does not work - did you have the RBloomberg package loaded
when trying the help(blpConnect)?
May be you did not install the help file alongside R? If so I would recomment
to do so.
I found this which might help, google is your friend ;-):
http://rgm2.lab.nig.ac.jp/RGM2/func.php?rd_id=RBloomberg:blpConnect
HTH,
Julien
From: jjfgar...@renta4.es
To: j_cuisin...@hotmail.com; r-sig-finance@r-project.org
Subject: RE: [R-SIG-Finance] RBLOOMBERG--conn=blpConnect(iface=COM) PROBLEMS
Date: Mon, 28
Re: [R-SIG-Finance] Anyone can help with backtesting?
I do not know this package (so it could be brilliant) but I would go for quantstrat instead, seems more used / followed and hence less bug prone I guess Date: Fri, 9 Mar 2012 15:38:02 +0100 From: sebastian.ste...@gmail.com To: r-sig-finance@r-project.org Subject: [R-SIG-Finance] Anyone can help with backtesting? Hi, I am currently trying to think about some investment strategies which I want to backtest in R. So I found this toolbox as a great tool for doing so: http://systematicinvestor.wordpress.com/2011/11/25/introduction-to-backtesting-library-in-the-systematic-investor-toolbox/ However, since I am not that familiar with R and the way you create the strategies in code, I am a bit confused on how to implement my idea. The idea is the following: There are two basis modules of the portfolio, which should be weighted about 40:60. To keep things simple at first, think of those modules as of two strategies, the first one is the rotational trading strategy (ranked by low volatility)[A], the second one is basically the same strategy, but ranked by high performance[B]. After one year there should be done something specifically. At the first day in any new year: - if the overall profit of module A and B is greater than 0, positions should be sold until the initial 4:6 ratio is reached again. The free capital should then be invested in an fixed income ETF. - if the overall profit of module A and B is less than 0, nothing should be done. - If there is any profit in the fixed income ETF, at the first day in any year positions in the ETF should be closed, the free capital should then be invested again in modules A, B according to their 4:6 weights. Can you give me any hints on how to implement such a thing, with the toolbox mentioned above or in any other way? At the moment I do not even know how to start. Thank you for your kind support! Sebastian ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] correlation based time series clustering?
Hi Michael, A very general question here with little input from you...I am not surprised to see little feedback I have been looking for something similar same result so I do not think it exist yet. I am a complete newbie in clustering but looking around there are plenty of R function available, nothing that I could find as simple as using correlation per se. Thinking about it Im not sure how it would work anything I can think of would be quite sensitive to the starting point (e.g. calculate pair-wise correls within a market, then start by one stock cluster with it all other stocks with corrells higher than a certain threshold?) May be some recursive function trying many different starting points? But then what to do with the resulting different cluster structure? Could you share with the list what reference (not in R) you found on the topic? That would be great if you could share / bring something to the list as well then see if we can build that in? (very very ambitious of me here =) Thanks regards, Julien Date: Tue, 21 Feb 2012 15:05:59 -0600 From: comtech@gmail.com To: r-sig-fina...@stat.math.ethz.ch Subject: [R-SIG-Finance] correlation based time series clustering? Hi all, I am looking for a function for correlation based time-series clustering in R... I have googled for quite a while and couldn't find any in R... Could you please help me? Thanks a lot! [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] correlation based time series clustering?
That is very useful, many thanks Murali! Rgds, Julien From: murali.me...@avivainvestors.com To: j_cuisin...@hotmail.com; comtech@gmail.com; r-sig-fina...@stat.math.ethz.ch Date: Thu, 23 Feb 2012 09:47:52 + Subject: RE: [R-SIG-Finance] correlation based time series clustering? Folks, There's been quite a bit of work on clustering in finance: http://www.mendeley.com/research/correlation-based-hierarchical-clustering-in-financial-time-series/ I think many of Mantegna's works are available for download. Very simply, though, you can calculate a correlation matrix given your time series of returns, and then apply, say, a medoid-clustering scheme (e.g. the pam function in package 'cluster') and see what happens. According to Mantegna, if you do this on the components of the Dow Jones, the various industrial types very naturally form individual clusters. Hope this helps. Murali -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of julien cuisinier Sent: 23 February 2012 09:29 To: comtech@gmail.com; r-sig-fina...@stat.math.ethz.ch Subject: Re: [R-SIG-Finance] correlation based time series clustering? Hi Michael, A very general question here with little input from you...I am not surprised to see little feedback I have been looking for something similar same result so I do not think it exist yet. I am a complete newbie in clustering but looking around there are plenty of R function available, nothing that I could find as simple as using correlation per se. Thinking about it Im not sure how it would work anything I can think of would be quite sensitive to the starting point (e.g. calculate pair-wise correls within a market, then start by one stock cluster with it all other stocks with corrells higher than a certain threshold?) May be some recursive function trying many different starting points? But then what to do with the resulting different cluster structure? Could you share with the list what reference (not in R) you found on the topic? That would be great if you could share / bring something to the list as well then see if we can build that in? (very very ambitious of me here =) Thanks regards, Julien Date: Tue, 21 Feb 2012 15:05:59 -0600 From: comtech@gmail.com To: r-sig-fina...@stat.math.ethz.ch Subject: [R-SIG-Finance] correlation based time series clustering? Hi all, I am looking for a function for correlation based time-series clustering in R... I have googled for quite a while and couldn't find any in R... Could you please help me? Thanks a lot! [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] data manipulation to for quantmod function
Hi, As you can see from latest quantmod package doc there is no such function, up to the developer to say if they intend to do one. RBloomberg will be your way to access BBG data from R... Then convert the data object is uses (I am not familiar with it) into an xts object quantmod ( the subsequent tools such as quantstrat) can read / use Thanks to update the list with your findings - especially if I am wrong Rgds, Julien From: yuanhangw...@gmail.com Date: Wed, 11 Jan 2012 22:48:59 +0800 To: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] data manipulation to for quantmod function Hi, Not sure if this is the right way to seek assistance, but I'm looking for an implementation of getSymbols.bloomberg , could anyone direct me to the right place? Regards, Yuanhang On Wed, Jan 11, 2012 at 5:22 PM, julien cuisinier j_cuisin...@hotmail.comwrote: Hi, Always nice to have a name on those email. quantmod format is xts format, you might try as.xts but i guess you will need to give it all the needed columns to fit the XTS object OR use quantmod getSymbols function to download the data straight into the right format if possible HTH, Julien From: ktdservice...@gmail.com To: r-sig-finance@r-project.org Date: Tue, 10 Jan 2012 22:30:33 -0600 Subject: [R-SIG-Finance] data manipulation to for quantmod function I need some help with data manipulation so I can use quantmod. I have a data frame with three columns: time, price, volume. This data frame is all the trades of a product for about 15 days. What I want to do is modify the data so that it is in a format that quantmod can read. Quantmod needs data to be in columns: Open, High, Low, Close, and Volume. I wanted to see if anyone had some suggestions to easily modify the data into the quantmod format. Quantmod: http://www.quantmod.com/ Data (.csv, 21.67KB) can be downloaded at http://www.mediafire.com/?fyunce685ekuyo3 [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- ¨Æ¦b¤H¬°¡C [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[R-SIG-Finance] List index constituents of an index in R? quantmod?
Hi List, I know, I know not really following the posting guidelines...Is anyone aware of an existing function to download from yahoo finance the list of an index constituents? Could not find anything googling, hope I haven't missed an obvious thread... I am still on R 2.13 but I guess that would not really matter here, Windows 7 I am learning quantstrat package like many of us hoping to use that list of constituents to calculate cross sectional volatility use it as a signal as exercise (some way between the list of constituent this but I hope you get the point) Any hint / redirection appreciated - if my take is that it should not be too hard it could be a great addition to quantmod Rgds, Julien Many thanks [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] List index constituents of an index in R? quantmod?
Many thanks Vincent. It does run on several pages and layout seems to be constant so your route might be very useful.. I was hoping it should be possible to request that data using http get method as for historical prices, I will also try to look down that route If / when I get around this I will keep the list posted Rgds, Julien Date: Wed, 4 Jan 2012 21:47:31 +0900 Subject: Re: [R-SIG-Finance] List index constituents of an index in R? quantmod? From: zoo...@gmail.com To: r-sig-finance@r-project.org CC: j_cuisin...@hotmail.com You can use the XML package to parse the page and extract the contents of the table: library(XML) index - ^DJI url - paste(http://uk.finance.yahoo.com/q/cp?s=;, index, sep=) symbols - readHTMLTable(url, as.data.frame=FALSE)[[10]]$Symbol You should check the size of the result: large indices may be split across several pages, and the layout of the page may change. -- Vincent On 4 January 2012 21:24, julien cuisinier j_cuisin...@hotmail.com wrote: Is anyone aware of an existing function to download from yahoo finance the list of an index constituents? [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Connection failure
Hi, Always nice to put some details down (version R, OS on which you are running, from home or the office, etc...) always nice to put down a name if possible ;-) looks like a firewall issue when trying to installl it from the office (where R does not have the right proxy to access internet), have you been able to installl other packages directly from the console? or download market data using the quantmod package? On my install, works fine R2.12 on windows XP BUT I know I can access internet directly from within R Good luck Julien Date: Mon, 11 Jul 2011 02:37:34 -0700 From: krisanha...@gmail.com To: r-sig-finance@r-project.org Subject: [R-SIG-Finance] Connection failure Im trying to install the R metrics files source(http://www.rmetrics.org/Rmetrics.R;) The error I get is , r, encoding = encoding) : unable to open connection In addition: Warning message: unable to resolve 'www.rmetrics.org'. in: file(file, r, encoding = encoding) Can someone help? -- View this message in context: http://r.789695.n4.nabble.com/Connection-failure-tp3659077p3659077.html Sent from the Rmetrics mailing list archive at Nabble.com. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Quotes yahoo fin - db R results
quantmod to get data from yahoo into R RMySQL to put data into a DB from R retrieve data from DB but if aim is to get data into a DB in an automated fashion to have them at hand when needed (for R or other packages), I would probably seperate the two - something (e.g. shell) to download your data into a DB say every morning and RMySQL to retrieve data into R easily for the automation I guess it is more related to your OS, e.g. Crontab on Unix sorry if answer not the right one, question quite vague Rgds, Julien Date: Wed, 29 Jun 2011 16:45:43 +0200 From: fabian.lor...@gmail.com To: r-sig-finance@r-project.org Subject: [R-SIG-Finance] Quotes yahoo fin - db R results Dear... All, I'm trying to collect data automatically from yahoo finance to a mysql or postgresql for further R data process. Anybody knows how about? Thanks in advance! Fabian [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] New to R and Finance, backtest etc.
Hi Alex, www.rinfinance.com/agenda/2011/BrianPeterson.pdf reference main packages you will ever need I think... as mentioned in previous feedback quantmod is excellent think quantstrat better (i,e, more widely used) than the backtest package that I personally do not know and in general RFinance conference papers, could be good to throw a glance at them... http://www.statmethods.net/ very well done (in my humble opinion) website for intro into R, its main data type etc.. HTH, Julien On Jun 18, 2011, at 5:16 PM, Alex Grund wrote: Hi there, I am new to R and want to perform a few experiments with trading strategies with R. However, I have experience in programming, but not in R (it's very similar to what a programmer would expect). For now, I've parsed some data (Open, High, Low, Close) of a security via read.table, which works fine. What I want to do now, is to perform a backtest of a simple trading strategy with R. Say, for example buy on cross of MA(200) and MA(100). Of course I could write the backtest routine by myself, but I saw a package called backtest. However, I do not really get the point how this may work. How could I use backtest package to analyse a simple strategy as above? Additionally, I would like to know, if there are some websites, wikis etc. which give a basic introduction to R in Finance for dummies? Anything I've seen so far was more or less for professionals. Thank you in advance Alex [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] RQuantLib install error
Hi there, On a MAC OSX I get the same response when trying install.packages(RQuantLib) I am not a user of this package, but looking on the CRAN link (http://cran.r-project.org/web/packages/RQuantLib/index.html ) it seems there are no Windows binary available, which would be an easy way to work around I suppose I guess it means that you need to compile it yourself (if possible, apologies if I am saying an obvious stupidity here), but the author (Dirk Eddelbuettel) would probably be the best person to tell you that Rgds, Julien PS: always nice to have a name in the email ;-) On Dec 12, 2010, at 8:59 AM, ì´ìì¬ wrote: Hi, there OS: Windows XP R version 2.12.0 (2010-10-15) I had problems with installing RQuantLib. Below are the message I got. Please help me. install.packages(RQuantLib) Warning message: In getDependencies(pkgs, dependencies, available, lib) : package ¡®RQuantLib¡¯ is not available [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
