Cross-posted on Stack Overflow:
http://stackoverflow.com/q/11596747/271616
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
On Sun, Jul 22, 2012 at 2:54 PM, David Terk <david.t...@gmail.com> wrote:
> I am reading several hundred files. Anywhere from 50k-400k in size. It
> appears that when I read these files with R 2.15.1 the process will hang or
> seg fault on the scan() call. This does not happen on R 2.14.1.
>
>
>
> This is happening on the precise build of Ubuntu.
>
>
>
> I have included everything, but the issue appears to be when performing the
> scan in the method parseTickData.
>
>
>
> Below is the code. Hopefully this is the right place to post.
>
>
>
> parseTickDataFromDir = function(tickerDir, per, subper, fun) {
>
> tickerAbsFilenames = list.files(tickerDir,full.names=T)
>
> tickerNames = list.files(tickerDir,full.names=F)
>
> tickerNames = gsub("_[a-zA-Z0-9].csv","",tickerNames)
>
> pb <- txtProgressBar(min = 0, max = length(tickerAbsFilenames), style = 3)
>
>
>
> for(i in 1:length(tickerAbsFilenames)) {
>
>
>
> # Grab Raw Tick Data
>
> dat.i = parseTickData(tickerAbsFilenames[i])
>
> #Sys.sleep(1)
>
> # Create Template
>
> dates <- unique(substr(as.character(index(dat.i)), 1,10))
>
> times <- rep("09:30:00", length(dates))
>
> openDateTimes <- strptime(paste(dates, times), "%F %H:%M:%S")
>
> templateTimes <- NULL
>
>
>
> for (j in 1:length(openDateTimes)) {
>
> if (is.null(templateTimes)) {
>
> templateTimes <- openDateTimes[j] + 0:23400
>
> } else {
>
> templateTimes <- c(templateTimes, openDateTimes[j] + 0:23400)
>
> }
>
> }
>
>
>
> # Convert templateTimes to XTS, merge with data and convert NA's
>
> templateTimes <- as.xts(templateTimes)
>
> dat.i <- merge(dat.i, templateTimes, all=T)
>
> # If there is no data in the first print, we will have leading NA's. So
> set them to -1.
>
> # Since we do not want these values removed by to.period
>
> if (is.na(dat.i[1])) {
>
> dat.i[1] <- -1
>
> }
>
> # Fix remaining NA's
>
> dat.i <- na.locf(dat.i)
>
> # Convert to desired bucket size
>
> dat.i <- to.period(dat.i, period=per, k=subper, name=NULL)
>
> # Always use templated index, otherwise merge fails with other symbols
>
> index(dat.i) <- index(to.period(templateTimes, period=per, k=subper))
>
> # If there was missing data at open, set close to NA
>
> valsToChange <- which(dat.i[,"Open"] == -1)
>
> if (length(valsToChange) != 0) {
>
> dat.i[valsToChange, "Close"] <- NA
>
> }
>
> if(i == 1) {
>
> DAT = fun(dat.i)
>
> } else {
>
> DAT = merge(DAT,fun(dat.i))
>
> }
>
> setTxtProgressBar(pb, i)
>
> }
>
> close(pb)
>
> colnames(DAT) = tickerNames
>
> return(DAT)
>
> }
>
>
>
> parseTickData <- function(inputFile) {
>
> DAT.list <- scan(file=inputFile,
> sep=",",skip=1,what=list(Date="",Time="",Close=0,Volume=0),quiet=T)
>
> index <- as.POSIXct(paste(DAT.list$Date,DAT.list$Time),format="%m/%d/%Y
> %H:%M:%S")
>
> DAT.xts <- xts(DAT.list$Close,index)
>
> DAT.xts <- make.index.unique(DAT.xts)
>
> return(DAT.xts)
>
> }
>
>
>
>
>
>
> [[alternative HTML version deleted]]
>
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