adapting quantstrat/demo/luxor code

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

--
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