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How to change the way R format his output ?

2 messages · pierre8r-list at yahoo.fr, Pierre8rou

Original
pierre8r-list at yahoo.fr
# 
Hi,

I try to :
Load 1 minute quotes from http://www.metaquotes.net/ into R.
Compute 15 mns quotes, 1 hour, daily quotes, etc. with R from 1 mn quotes.
Write to files these quotes.
Compare quotes from http://www.metaquotes.net/  with quotes from R, with Winmerge ( http://winmerge.org/ ), I compare directories.

How to change the way R format his output, and than Winmerge will not show any difference between the two files ?


Datas 15 minutes from  http://www.metaquotes.net/ :
-------------------------------------------------- 
2008.07.01,00:00,1.5754,1.5757,1.5753,1.5757,23
2008.07.01,00:15,1.5756,1.5758,1.5753,1.5758,48
2008.07.01,00:30,1.5757,1.5758,1.5752,1.5754,32
2008.07.01,00:45,1.5755,1.5755,1.5747,1.5748,29
2008.07.01,01:00,1.5747,1.5758,1.5747,1.5757,66
2008.07.01,01:15,1.5756,1.5757,1.5752,1.5755,46
2008.07.01,01:30,1.5754,1.5756,1.5751,1.5754,65


Output 15 minutes datas from the R code :
----------------------------------------
2008.07.01,00:14,  1.5754,  1.5757,  1.5753,  1.5757, 23.0000
2008.07.01,00:29,  1.5756,  1.5758,  1.5753,  1.5758, 48.0000
2008.07.01,00:44,  1.5757,  1.5758,  1.5752,  1.5754, 32.0000
2008.07.01,00:59,  1.5755,  1.5755,  1.5747,  1.5748, 29.0000
2008.07.01,01:14,  1.5747,  1.5758,  1.5747,  1.5757, 66.0000
2008.07.01,01:29,  1.5756,  1.5757,  1.5752,  1.5755, 46.0000
2008.07.01,01:44,  1.5754,  1.5756,  1.5751,  1.5754, 65.0000



My R code :
----------
#-------------------------------------------------------------------------#

"InputQuotesMT4" <-
function( FicIn = "ErrorFicIn", RepIn = "ErrorRepIn" ){

  InputFile <- paste(collapse="", c(RepIn, FicIn))

  quotes <- read.csv(InputFile, header=FALSE)
  IQuotes <- as.xts(quotes[,-(1:2)],
  as.POSIXct(paste(quotes[,1],quotes[,2]),format='%Y.%m.%d %H:%M'))
  colnames(IQuotes) <- c('Open','High','Low','Close','Volume')

  return( IQuotes )
}

#-------------------------------------------------------------------------#

"OutputToCSV" <-
function(xFile = xFil , OD = OutputDirectory , OF = OutputFile ) {
  nameFile <- paste(collapse="", c(OD, OF,".csv"))

  write.table(format(xFile,nsmall=4, justify = "left"),
    file = nameFile, quote=FALSE,  col.names=FALSE,
  row.names=format(index(xFile),"%Y.%m.%d,%H:%M"),  sep=",") 

}

#-------------------------------------------------------------------------#
                                                       
library(xts)
library(quantmod)

InputDir <- "K:\\MT4Input\\"
InputFile <- "EURUSD1.csv"

OutputDir <- "K:\\MT4Output\\"

Quotes1MN <- InputQuotesMT4( FicIn = InputFile, RepIn = InputDir ) 
OutputToCSV(xFile = Quotes1MN, OD = OutputDir, OF = "EURUSD1")

Quotes5MNS <- to.minutes5(Quotes1MN)
OutputToCSV(xFile = Quotes5MNS, OD = OutputDir, OF = "EURUSD5")

Quotes15MNS <- to.minutes15(Quotes5MNS)
OutputToCSV(Quotes15MNS, OD = OutputDir, OF = "EURUSD15")

Quotes1H <- to.hourly(Quotes5MNS)
OutputToCSV(xFile = Quotes1H,OD = OutputDir, OF = "EURUSD60")

Quotes4H <- to.hourly(Quotes5MNS, k=4, indexAt='startof')
OutputToCSV(xFile = Quotes4H,OD = OutputDir, OF = "EURUSD240")

QuotesDay <- to.daily (Quotes1H)
OutputToCSV(xFile = QuotesDay,OD = OutputDir, OF = "EURUSD1440")

QuotesWeek <- to.weekly(QuotesDay)
OutputToCSV(xFile = QuotesWeek,OD = OutputDir, OF = "EURUSD10080")





      ____________________________________________________________
3 days later
Pierre8rou
# 
I answer to myself.

Pierre8r

#-------------------------------------------------------------------------#

"InputQuotesMT4" <-
function( FicIn = "ErrorFicIn", RepIn = "ErrorRepIn" ){

  InputFile <- paste(collapse="", c(RepIn, FicIn))

  quotes <- read.csv(InputFile, header=FALSE)
  IQuotes <- as.xts(quotes[,-(1:2)],
  as.POSIXct(paste(quotes[,1],quotes[,2]),format='%Y.%m.%d %H:%M'))
  colnames(IQuotes) <- c('Open','High','Low','Close','Volume')

  return( IQuotes )
}

#-------------------------------------------------------------------------#

"OutputToCSV" <-
function(xFile = xFil , OD = OutputDirectory , OF = OutputFile ) {
  nameFile <- paste(collapse="", c(OD, OF,".csv"))
  
  colnames(xFile) <- c('Open','High','Low','Close','Volume')

  xFile$Open <- sprintf("%5.04f", xFile$Open)
  xFile$High <- sprintf("%5.04f", xFile$High)
  xFile$Low <- sprintf("%5.04f", xFile$Low)
  xFile$Close <- sprintf("%5.04f", xFile$Close)
  
  xFile$Volume <- sprintf("%.0f", xFile$Volume)
  
  write.table(xFile,file = nameFile, quote=FALSE,  col.names=FALSE,
  row.names=format(index(xFile),"%Y.%m.%d,%H:%M"),  sep=",") 

}

#-------------------------------------------------------------------------#
                                                       
library(xts)
library(quantmod)

InputDir <- "K:\\MT4Input\\"
InputFile <- "EURUSD1.csv"

OutputDir <- "K:\\MT4Output\\"

Quotes1MN <- InputQuotesMT4( FicIn = InputFile, RepIn = InputDir ) 
OutputToCSV(xFile = Quotes1MN, OD = OutputDir, OF = "EURUSD1")

Quotes5MNS <- to.minutes5(Quotes1MN)
OutputToCSV(xFile = Quotes5MNS, OD = OutputDir, OF = "EURUSD5")

Quotes15MNS <- to.minutes15(Quotes5MNS)
OutputToCSV(Quotes15MNS, OD = OutputDir, OF = "EURUSD15")

Quotes1H <- to.hourly(Quotes5MNS)
OutputToCSV(xFile = Quotes1H,OD = OutputDir, OF = "EURUSD60")

Quotes4H <- to.hourly(Quotes5MNS, k=4, indexAt='startof')
OutputToCSV(xFile = Quotes4H,OD = OutputDir, OF = "EURUSD240")

QuotesDay <- to.daily (Quotes1H)
OutputToCSV(xFile = QuotesDay,OD = OutputDir, OF = "EURUSD1440")

QuotesWeek <- to.weekly(QuotesDay)
OutputToCSV(xFile = QuotesWeek,OD = OutputDir, OF = "EURUSD10080")