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Webinar: An Introduction To R for Trading w/Ilya Kipnis
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Webinar: An Introduction To R for Trading w/Ilya Kipnis

  #121 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
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giladbi View Post
Ilya
i fixed my code and downgraded to 3.0.3 and yet ,
when using install_github(repo="IKTrading", username="IlyaKipnis") i get a Warning message:
Username parameter is deprecated. Please use IlyaKipnis/IKTrading

and when using install_github(repo="DSTrading", username="IlyaKipnis”) i am getting a + sign

i will appriciate your kind help as a newbee with R
thanks!

First one is telling you to use repo="IlyaKipnis/IKTrading".

Second one is indicating a formatting error, like you forgot to close the quote or parenthesis.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #122 (permalink)
Elite Member
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BTW, I found out what was wrong with the people who were getting 0 trades.

Make sure your blotter, TTR, and FinancialInstrument libraries are at their current versions. Install all of them from R-forge, as the default installation settings will install old versions that don't play well with the current functionality.

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  #123 (permalink)
Elite Member
Chicago, IL
 
Futures Experience: Beginner
Platform: Ninja Trader, Sierra Chart
Favorite Futures: ES, CL
 
Posts: 35 since Oct 2012
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Thank you for the great webinar, Ilya!

I know you've been hassled a lot with debugging, so I'd appreciate it if anyone else could help me out. When trying to apply the strategy, I'm getting the following error:

> t1 <- Sys.time()
> out <- applyStrategy(strategy=strategy.st, portfolios=portfolio.st)
Error in `colnames<-`(`*tmp*`, value = label) :
attempt to set 'colnames' on an object with less than two dimensions
> t2 <- Sys.time()
> print(t1-t2)
Time difference of -0.1120069 secs

Been scouring through the code for typos and such, but can't find anything. Any pointers are appreciated. Thanks.

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  #124 (permalink)
Elite Member
Philadelphia + NJ/US
 
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Platform: quantstrat
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Genshin View Post
Thank you for the great webinar, Ilya!

I know you've been hassled a lot with debugging, so I'd appreciate it if anyone else could help me out. When trying to apply the strategy, I'm getting the following error:

> t1 <- Sys.time()
> out <- applyStrategy(strategy=strategy.st, portfolios=portfolio.st)
Error in `colnames<-`(`*tmp*`, value = label) :
attempt to set 'colnames' on an object with less than two dimensions
> t2 <- Sys.time()
> print(t1-t2)
Time difference of -0.1120069 secs

Been scouring through the code for typos and such, but can't find anything. Any pointers are appreciated. Thanks.

Nuts and Bolts of Quantstrat, Part II | QuantStrat TradeR

You need the R-forge version of TTR.

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  #125 (permalink)
Elite Member
Chicago, IL
 
Futures Experience: Beginner
Platform: Ninja Trader, Sierra Chart
Favorite Futures: ES, CL
 
Posts: 35 since Oct 2012
Thanks: 498 given, 12 received

Thank you for the reply. I have the R-Forge version, re-installed TTR from R-Forge like your wrote earlier. Same error. I actually installed the CRAN version just to test it out and got a different error, but still an error regarding 'colnames<-'. Reinstalled the R-Forge version and getting the same error message I wrote in the above post.

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  #126 (permalink)
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tel aviv
 
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IQfeed & R

does anyone know about a packge or any exmple of downloading intraday data from IQfeed?
thanks

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  #127 (permalink)
Site Administrator
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giladbi View Post
does anyone know about a packge or any exmple of downloading intraday data from IQfeed?
thanks

Discussed in detail in my custom platform thread, I also posted it in the R section, just search IQFeed.

Sent from my LG Optimus G Pro

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #128 (permalink)
Elite Member
tel aviv
 
Futures Experience: Advanced
Platform: Multicharts, SC
Favorite Futures: es
 
Posts: 34 since Jun 2009
Thanks: 4 given, 1 received

i found it, but couldn't make it work on R, and posted on that thread but with no response.
is there any detailed explanation?

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  #129 (permalink)
Trading Apprentice
Nashville TN/USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: Currency
 
Posts: 2 since Oct 2014
Thanks: 2 given, 0 received

Great webinar and package add-ons Ilya! Recently switch to using quantstrat from my own crude form of back testing in R, and this video has really helped clarify some of the questions I had.

Ilya, I do have a question: You mentioned quantstrat is used by some high level quants for HFT of which the time lapse in data is typically not uniform. Does quantstrat handle non-uniform time series? For example I am using 250 tick bar data (bar = 250 changes in the order book), which has non-uniform time periods and I keep getting the following error message.

out <- applyStrategy(strategy.st, portfolio.st)
Error in hasTsp(x) : invalid time series parameters specified

Thanks again Ilya and Big Mike for the fantastic webinar!

May I also add, in addition to Ilya’s fantastic video, Guy Yollin from the University of Washington has posted some lecture slides and sample code from his lectures on quantstrat that may be additional help to those interested in learning more about quantstrat.

Reply With Quote
 
  #130 (permalink)
Elite Member
Philadelphia + NJ/US
 
Futures Experience: Beginner
Platform: quantstrat
Favorite Futures: ETFs
 
Posts: 52 since Aug 2014
Thanks: 4 given, 39 received



robbitt View Post
Great webinar and package add-ons Ilya! Recently switch to using quantstrat from my own crude form of back testing in R, and this video has really helped clarify some of the questions I had.

Ilya, I do have a question: You mentioned quantstrat is used by some high level quants for HFT of which the time lapse in data is typically not uniform. Does quantstrat handle non-uniform time series? For example I am using 250 tick bar data (bar = 250 changes in the order book), which has non-uniform time periods and I keep getting the following error message.

out <- applyStrategy(strategy.st, portfolio.st)
Error in hasTsp(x) : invalid time series parameters specified

Thanks again Ilya and Big Mike for the fantastic webinar!

May I also add, in addition to Ilya’s fantastic video, Guy Yollin from the University of Washington has posted some lecture slides and sample code from his lectures on quantstrat that may be additional help to those interested in learning more about quantstrat.

I have not seen that error message before. You may want to check if your data is an xts/zoo type object.

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