Financial Hacker - Algorithmic Options Trading 1

New to Zorro. Looks very exciting and jcl's informative blog Financial Hacker is where I found Zorro.

I'm having problem running the Options Trading scripts on the blog. Specially, I can't install RQuantLib.

Installed Zorro 1.74 and R successfully. No good instructions to install RQuantLib.

Any pointers would be helpful.

Thanks.

Here you go:
https://github.com/eddelbuettel/rquantlib/wiki/RQuantLib

Thanks. But I've been there.

Copy and pasted these commands in R:

*********************************************
if (!require("drat")) install.packages("drat")
drat::addRepo("ghrr")
install.packages("RQuantLib", type="binary")
*********************************************

A popup of showing various mirror sites. Tried Germany, USA, a few others and all got this message:

*********************************************
Warning: unable to access index for repository https://ghrr.github.io/drat/bin/windows/contrib/3.5:
cannot open URL 'https://ghrr.github.io/drat/bin/windows/contrib/3.5/PACKAGES'
Warning message:
package ‘RQuantLib’ is not available (as a binary package for R version 3.5.0)
>
*********************************************

Works for me. I ran those commands before I directed you there.

Reinstall R.

reinstalled and got the same message.

It looks the URLs that the script looks for doesn't exist anymore:

https://ghrr.github.io/drat/bin/windows/contrib/3.5
https://ghrr.github.io/drat/bin/windows/contrib/3.5/PACKAGES

Ah. You might need an older version of R until another RQuantlib build comes out.

https://github.com/ghrr/drat/tree/gh-pages/bin/windows/contrib/3.4

Turns out Zorro is hardcoded somewhere to use only R-3.4.3.

I ran the RTest script and found an error message that said it was looking for RTerm.exe in directory called ProgramFiles/R/R-3.4.3/.

Installed R3.4.3, ran the RQuantLib install script from the blog, downloaded Scripts 2017 from the blog, copied History files to the History folder, copied .c scripts to the Strategy folder, and viola things are working!

OptionsSimulate.C is now running, hopefully creating the 2011-2-17 options chain in SPY_SimOptions.t8.

Zorro is **not** hardcoded to use a certain version of R. You must set the path to Rterm in the Zorro.ini file.

The RQuantlib team has not updated its binaries. Thus the 3.4 constraint.

Ah I see it now.

oops, looks like i'm missing the Quandl Key as well.

The script ran anyways, but the .t8 file appears to be incorrect. my results were different when using the SPYa.t8 downloaded from archive.

There is a customized script "CSVtoHistory.c" for your reference. this is a customized script to import yahoo's CSV and to convert into .t6 file. However, I don't know how to retrieve the .t6 file for conversion. I would convert .t6 file into artificial option chains. There is a script "OptionSimulate.c" but this script import historical data from quandl. Is it possible to import SP500 historical data locally. Please feel free to comment.

////////////////////////////////////////////////
// Convert price history from .csv to .t6
// The Format string determines the CSV format (see examples)
////////////////////////////////////////////////

// #define SPLIT_YEARS // split into separate years
//#define FIX_ZONE -1 // add a time zone difference, f.i. for converting CST -> EST

//string InName = "DAT_ASCII_USDZAR_M1_2015.csv"; // name of a single year CSV file
//string OutName = "USDZAR_2015.t6";
//string InName = "D:HistoryVIX_2013_2016.stk";
//string OutName = "VIX"; // for separate years, f.i. VIX_2016.t6, VIX_2015.t6 etc.
string InName = "GSPC.CSV";
string OutName = "GSPC.t6"; // for separate years, f.i. VIX_2016.t6, VIX_2015.t6 etc.

// HISTDATA line format: "20100103 170000;1.430100;1.430400;1.430100;1.430400;0"
//string Format = "+%Y%m%d %H%M%S;f3;f1;f2;f4;f6;f";

// YAHOO line format "2015-05-29,43.45,43.59,42.81,42.94,10901500,42.94"
string Format = "%Y-%m-%d,f3,f1,f2,f4,f6,f5"; // unadjusted

// TRADESTATION line format "06/30/2016,17:00:00,2086.50,2086.50,2086.50,2086.50,319,0"
//string Format = "+%m/%d/%Y,%H:%M:%S,f3,f1,f2,f4,f6,f5";

// STK line format "12/23/2016,2300.00,SPY, 225.63, 225.68, 225.72, 225.62,1148991"
//string Format = "+-%m/%d/%Y,%H%M,,f3,f4,f1,f2,f6,f";

function main()
{
int Records = dataParse(1,Format,InName);
printf("n%d lines read",Records);
#ifdef FIX_ZONE
int i;
for(i=0; i<Records; i++)
dataSet(1,i,0,dataVar(1,i,0)+FIX_ZONE/24.);
#endif
#ifndef SPLIT_YEARS
if(Records) dataSave(1,OutName);
#else
int i, Start = 0, Year, LastYear = 0;
for(i=0; i<Records; i++) {
Year = atoi(strdate("%Y",dataVar(1,i,0)));
if(!LastYear) LastYear = Year;
if(i == Records-1) { // end of file
LastYear = Year; Year = 0;
}
if(Year != LastYear) {
string NewName = strf("%s_%4i.t6",strxc(OutName,'.',0),LastYear);
printf("n%s",NewName);
dataSave(1,NewName,Start,i-Start);
Start = i;
LastYear = Year;
}
}
#endif
}

Just an update... RQuantLib is back on CRAN, so you can now install this on newer versions of R.

This line works on 3.5.1.

Thanks, good to know!