Hi,
I work with SEXP C code and with xts and quantmod packages. I try to
touch how xts internal works.
So we have R session and:
ls()
character(0)
getSymbols('AAPL') # quantmod package
[1] "AAPL"
ls()
[1] "AAPL"
str(AAPL)
An ‘xts’ object from 2007-01-03 to 2010-09-09 containing:
Data: num [1:929, 1:6] 86.3 84 85.8 86 86.5 ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:6] "AAPL.Open" "AAPL.High" "AAPL.Low" "AAPL.Close" ...
Indexed by objects of class: [Date] TZ:
xts Attributes:
List of 2
$ src : chr "yahoo"
$ updated: POSIXct[1:1], format: "2010-09-10 18:42:10"
tail(AAPL,5)
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2010-09-02 251.26 252.17 248.57 252.17 14811900 252.17
2010-09-03 255.09 258.78 254.50 258.77 18580100 258.77
2010-09-07 256.64 259.53 256.25 257.81 12234200 257.81
2010-09-08 259.78 264.39 259.10 262.92 18777000 262.92
2010-09-09 265.04 266.52 262.92 263.07 15642700 263.07
q()
Save workspace image? [y/n/c]: y
[dan...@entropy ~]$
It's looks, that xts data in mamory looks like this (Open=o,High=h,Low=l etc):
ooooo(...)ohhhhh(...)hlllll(...)lccccc(...)cvvvvv(...)vaaaaa(...)a
So if I want to read Open price I need to read this array (from C
code) from x[0] to x[nrow(x)-1] where x is the pointer do AAPL.
I have to test functions - one based on memcpy and second based on for loop:
#include<R.h>
#include<Rinternals.h>
SEXP open(SEXP x) {
int nr=nrows(x);
SEXP r;
PROTECT(r=allocVector(REALSXP,nr));
memcpy(&REAL(r)[0],&REAL(x)[0],nr*sizeof(double));
UNPROTECT(1);
return(r);
}
SEXP open2(SEXP x) {
int P=0;
if (TYPEOF(x) != REALSXP) { PROTECT(x = coerceVector(x,REALSXP)); P++;
}
double *d_x = REAL(x);
int nr = nrows(x);
SEXP s;
PROTECT(s = allocVector(REALSXP,nr));
P++;
double *d_s = REAL(s);
int i;
for (i=0;i<nr;i++) d_s[i] = d_x[i];
UNPROTECT(P);
return(s);
}
We starts R session again and:
# we have AAPL data in memory
ls()
[1] "AAPL"
tail(AAPL)
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2010-09-02 251.26 252.17 248.57 252.17 14811900 252.17
2010-09-03 255.09 258.78 254.50 258.77 18580100 258.77
2010-09-07 256.64 259.53 256.25 257.81 12234200 257.81
2010-09-08 259.78 264.39 259.10 262.92 18777000 262.92
2010-09-09 265.04 266.52 262.92 263.07 15642700 263.07
# now we call do open2 function
.Call('open2',AAPL)
[1] 86.29 84.05 85.77 85.96 86.45 94.75 95.94 94.59 95.68
97.56 92.10 88.63 89.14 85.73 86.68 87.11 87.11 86.30 86.43
84.86 86.23 84.12
(...)
# and now call to open based on memcpy
.Call('open',AAPL)
[1] 86.29 84.05 85.77 85.96 86.45 94.75 95.94 94.59 95.68
97.56 92.10 88.63 89.14 85.73 86.68 87.11 87.11 86.30 86.43
84.86 86.23 84.12
(...)
AND HERE IS MY PROBLEM:
We download new data:
getSymbols('IBM')
[1] "IBM"
#### WE DOWNLOAD NEW DATA
getSymbols('IBM')
[1] "IBM"
# and try open2 function (based on for loop)
.Call('open2',AAPL)
[1] 86.29 84.05 85.77 85.96 86.45 94.75 95.94 94.59 95.68
97.56 92.10 88.63 89.14
(...)
# now we try open function based on memcpy
# ... and we will have a segfault
.Call('open',AAPL)
*** caught segfault ***
address 0x2, cause 'memory not mapped'
Possible actions:
1: abort (with core dump, if enabled)
2: normal R exit
3: exit R without saving workspace
4: exit R saving workspace
Selection: 3
I have this problem only if I download new data...
Do someone know how can I solve this memcpy problem? memcpy should be
much faster in this kind of area... and I want to write some C based
extensions for xts package.
Best regards,
daniel
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