Mechanical Trading System using R (prototype for fun and learning purposes)
- R (quantmod, RSQLite)
- SQLite3
- Node.js (sqlite3, node-static)
- jqPlot
- JQuery UI
From inside R-trader/data directory, create sample data base typing:
[irocha@napoleon data (master)]$ ./createsqlitedb.sh Cleaning up... Extracting SQL file... Generating csv from SQL file... Creating SQLite3 database... Removing temporary files... Done.
IMPORTANT: real (swing) data from BOVESPA since 1994-01-03 (until 2011-06-17)
After installing R packages (command: install.packages(c("RSQLite", "quantmod"))), from inside R-trader base directory type:
[irocha@napoleon R-trader (master)]$ R
R version 2.12.1 (2010-12-16)
Copyright (C) 2010 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
Platform: i686-pc-linux-gnu (32-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.
Natural language support but running in an English locale
R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.
Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.
Loading required package: quantmod
Loading required package: Defaults
Loading required package: xts
Loading required package: zoo
Loading required package: stats
Attaching package: 'zoo'
The following object(s) are masked from 'package:base':
as.Date
Loading required package: TTR
Loading required package: RSQLite
Loading required package: DBI
To view all technical analisys charts, type inside R:
> test()
IMPORTANT: remember to change your project directory inside files:
[irocha@napoleon R-trader (master)]$ more .Rprofile
options(papersize="a4")
options(editor="emacs")
options(pdfviewer="evince")
.First <- function() {
require(quantmod)
require(RSQLite)
setwd("/home/irocha/git/R-trader") <<< change this!
source("trader.r")
}
[irocha@napoleon R-trader (master)]$ more trader.r
t <- function() {
source("trader.r")
}
STK <- "PETR4"
# remember to change dbname! <<< SQLite sample database complete path
gs <- function(symbol, dbname="./data/symbols.db", limit=0, begin="", end="") {
conn <- dbConnect("SQLite", dbname)
...
After installing node.js, install node.js package manager npm typing:
[irocha@napoleon ~]$ curl http://npmjs.org/install.sh | sh
% Total % Received % Xferd Average Speed Time Time Time Current
Dload Upload Total Spent Left Speed
100 3927 100 3927 0 0 4773 0 --:--:-- --:--:-- --:--:-- 11252
fetching: http://registry.npmjs.org/npm/-/npm-1.0.27.tgz
0.4.11
1.0.27
cleanup prefix=/data/node
This script will find and eliminate any shims, symbolic
links, and other cruft that was installed by npm 0.x.
Is this OK? enter 'yes' or 'no'
yes
All clean!
! [ -d .git ] || git submodule update --init --recursive
node cli.js rm npm -g -f
node cli.js cache clean
node cli.js install -g -f
/data/node/bin/npm_g -> /data/node/lib/node_modules/npm/bin/npm.js
/data/node/bin/npm-g -> /data/node/lib/node_modules/npm/bin/npm.js
/data/node/bin/npm -> /data/node/lib/node_modules/npm/bin/npm.js
[email protected] /data/node/lib/node_modules/npm
It worked
Install node.js dependencies typing:
[irocha@napoleon ~]$ npm install sqlite3 node-static > [email protected] preinstall /home/irocha/node_modules/sqlite3 > node-waf clean || true; node-waf configure build Nothing to clean (project not configured) Setting srcdir to : /home/irocha/node_modules/sqlite3 Setting blddir to : /home/irocha/node_modules/sqlite3/build Checking for program g++ or c++ : /usr/bin/g++ Checking for program cpp : /usr/bin/cpp Checking for program ar : /usr/bin/ar Checking for program ranlib : /usr/bin/ranlib Checking for g++ : ok Checking for node path : not found Checking for node prefix : ok /data/node Checking for sqlite3 : yes 'configure' finished successfully (0.056s) Waf: Entering directory `/home/irocha/node_modules/sqlite3/build' [1/4] cxx: src/sqlite3.cc -> build/default/src/sqlite3_1.o [2/4] cxx: src/database.cc -> build/default/src/database_1.o [3/4] cxx: src/statement.cc -> build/default/src/statement_1.o [4/4] cxx_link: build/default/src/sqlite3_1.o build/default/src/database_1.o build/default/src/statement_1.o -> build/default/sqlite3_bindings.node Waf: Leaving directory `/home/irocha/node_modules/sqlite3/build' 'build' finished successfully (1.678s) [email protected] ./node_modules/node-static [email protected] ./node_modules/sqlite3
To plot Candlestick chart, from inside R-trader/js directory, type:
[irocha@napoleon js (master)]$ node server.js jstrader listening on 8080...
Point your browser to http://localhost:8080/stats.html, click Show... and have fun...
Ivan Ribeiro Rocha <[email protected]>
Copyright 2012 Ivan Ribeiro Rocha
Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at
http://www.apache.org/licenses/LICENSE-2.0
Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.