The goal of lazytrade is to keep all functions and scripts of the lazytrade educational project on UDEMY. Functions are providing an opportunity to learn Computer and Data Science using example of Algorithmic Trading
You can install the released version of lazytrade from CRAN with:
And the development version from GitHub with:
This is a basic example which shows you how to solve a common problem:
library(lazytrade)
library(tidyverse, warn.conflicts = FALSE)
#> -- Attaching packages -------------------------------------------------------------------------------- tidyverse 1.3.0 --
#> v ggplot2 3.3.0 v purrr 0.3.3
#> v tibble 2.1.3 v dplyr 0.8.5
#> v tidyr 1.0.2 v stringr 1.4.0
#> v readr 1.3.1 v forcats 0.5.0
#> -- Conflicts ----------------------------------------------------------------------------------- tidyverse_conflicts() --
#> x dplyr::filter() masks stats::filter()
#> x dplyr::lag() masks stats::lag()
## basic example code
# Convert a time series vector to matrix with 64 columns
macd_m <- seq(1:1000) %>% as.data.frame() %>% to_m(20)
head(macd_m, 2)
#> [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13] [,14]
#> [1,] 1 2 3 4 5 6 7 8 9 10 11 12 13 14
#> [2,] 21 22 23 24 25 26 27 28 29 30 31 32 33 34
#> [,15] [,16] [,17] [,18] [,19] [,20]
#> [1,] 15 16 17 18 19 20
#> [2,] 35 36 37 38 39 40Multiple log files could be joined into one data object
library(lazytrade)
library(readr)
library(dplyr)
library(magrittr)
#>
#> Attaching package: 'magrittr'
#> The following object is masked from 'package:purrr':
#>
#> set_names
#> The following object is masked from 'package:tidyr':
#>
#> extract
library(lubridate)
#>
#> Attaching package: 'lubridate'
#> The following object is masked from 'package:base':
#>
#> date
# files are located in the sample folders
DFOLDER <- system.file("extdata/RES", package = "lazytrade")
DFR <- opt_aggregate_results(fold_path = DFOLDER)This data object can be visualized
Or just visualize results with time-series plot
Example below would generate RL policy based on the trade results achieved so far
library(dplyr)
library(ReinforcementLearning)
library(magrittr)
data(data_trades)
states <- c("tradewin", "tradeloss")
actions <- c("ON", "OFF")
control <- list(alpha = 0.7, gamma = 0.3, epsilon = 0.1)
generate_RL_policy(data_trades, states, actions, control)
#> TradeState Policy
#> 1 tradeloss ON
#> 2 tradewin OFFMultiple trading accounts require passwords, package contains function that may easily generate random passwords:
library(lazytrade)
library(stringr)
library(magrittr)
library(openssl)
library(readr)
#generate 8digit password for trading platform
util_generate_password(salt = 'random text')Facilitate generation of initialisation files:
library(lazytrade)
dir <- normalizePath(tempdir(),winslash = "/")
# test file to launch MT4 terminal with parameters
write_ini_file(mt4_Profile = "Default",
mt4_Login = "12345678",
mt4_Password = "password",
mt4_Server = "BrokerServerName",
dss_inifilepath = dir,
dss_inifilename = "prod_T1.ini",
dss_mode = "prod")What is special about using README.Rmd instead of just README.md? You can include R chunks like so:
summary(cars)
#> speed dist
#> Min. : 4.0 Min. : 2.00
#> 1st Qu.:12.0 1st Qu.: 26.00
#> Median :15.0 Median : 36.00
#> Mean :15.4 Mean : 42.98
#> 3rd Qu.:19.0 3rd Qu.: 56.00
#> Max. :25.0 Max. :120.00You’ll still need to render README.Rmd regularly, to keep README.md up-to-date.
taken from http://r-pkgs.had.co.nz and https://r-pkgs.org/intro.html
Create right title case for the title of the package By running this command… tools::toTitleCase("Learn computer and data science using algorithmic trading") the Title will become: “Learn Computer and Data Science using Algorithmic Trading”
Run this code to re-generate documentation devtools::document()
Run this code to fix license: usethis::use_mit_license(name = "Vladimir Zhbanko")
Run this code to add data to the folder data/ x <- sample(1000) usethis::use_data(x)
To update this data: x <- sample(2000) usethis::use_data(x, overwrite = T)
Note: use option ’LazyLoad` to make data available only when user wants it always include LazyData: true in your DESCRIPTION. Note: to document dataset see https://stackoverflow.com/questions/2310409/how-can-i-document-data-sets-with-roxygen
Document dataset using the R script R/datasets.R
Use data in the function with data(x)
Run this command to setup tests ‘usethis::use_testthat()’
This will create a folder with the name tests
Inside this folder there will be another folder testthat.
@examples …
code to execute during package checks
@examples
/donttest{
code to NOT execute during package checks
}
Run this command to create a new script with the test skeleton:
usethis::use_test("profit_factor.R")
Details:
context("profit_factor")data(named_data_object)Example:
library(testthat)
#>
#> Attaching package: 'testthat'
#> The following objects are masked from 'package:magrittr':
#>
#> equals, is_less_than, not
#> The following object is masked from 'package:dplyr':
#>
#> matches
#> The following object is masked from 'package:purrr':
#>
#> is_null
#> The following object is masked from 'package:tidyr':
#>
#> matches
library(dplyr)
library(magrittr)
context("profit_factor")
test_that("test value of the calculation", {
data(profit_factor_data)
DF_Stats <- profit_factor_data %>%
group_by(X1) %>%
summarise(PnL = sum(X5),
NumTrades = n(),
PrFact = profit_factor(X5)) %>%
select(PrFact) %>%
head(1) %>%
as.vector() %>%
round(3)
expect_equal(DF_Stats$PrFact, 0.68)
})Test coverage shows you what you’ve tested devtools::test_coverage_file()
devtools::test_coverage_file()
This will add automatic test coverage badge to the readme file on github usethis::use_coverage()
Step 1. devtools::document() Step 2. devtools::run_examples() Step 3. Menu ‘Build’ Clean and Rebuild Step 4. ‘Check’ devtools::check()
Whenever examples construct is used author of the package must insure that those examples are running. Such examples are those that would require longer test execution. To perform this test package needs to be checked with the following command:
devtools::check(run_dont_test = TRUE)
In case functions are writing files there are few considerations to take into account:
tempdir() functiondevtools::check() there should nothing remain in the ‘tmp/’ directoryFile names defined by function tempdir() would look like this:
File names defined by function tempfile() would look like this:
This is example of how function write_csv example works:
results of this code are correctly stored to the temporary file
however this example from readr package function write_csv is showing that file will be written to the ‘/tmp/’ directory
We use function unlink() to do this:
and we check that there is nothing more remained:
see https://stackoverflow.com/questions/9439256/how-can-i-handle-r-cmd-check-no-visible-binding-for-global-variable-notes-when see https://github.com/HughParsonage/grattan/blob/master/R/zzz.R
After first submission there are some notes on specific R flavors
This question was addressed here but yet it’s not answered: https://stackoverflow.com/questions/48487541/r-cmd-check-note-namespace-in-imports-field-not-imported
It’s important to avoid that function write to the directory other then tempdir() Construct file name must be done using file.name() function as follow:
dir_name <- normalizePath(tempdir(),winslash = "/")
file_name <- paste0('my_file', 1, '.csv')
# this needs to be used in the function
full_path <- file.path(dir_name, file_name)http://r-pkgs.had.co.nz/description.html#version
Clone package from GitHub and test check it in Docker Container
devtools::build()
usethis::use_readme_rmd()
usethis::use_travis()
Setup the new version of the package:
usethis::use_release_issue()
Follow checklist before upload to CRAN:
devtools::release_checks()
then:
devtools::release()
spelling devtools::spell_check()
checking on R hub devtools::check_rhub(interactive = F)
checking with release devtools::check_win_release()
checking win devel devtools::check_win_devel()
checking win old devel devtools::check_win_oldrelease()
check with rocker R in container - use docker image with R Studio, - clone repo, build, check package…
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