Python rpy2和Quantmod示例

Question

Python programming language has helped me a lot in developing financial data analysis applications. Alternatively, there is the R for data analysis too, which has dedicated financial data analysis packages, for example: quantmod .

Now, that there is rpy2 to interface between both these languages(ie Python & R). I would like to prototype some financial data analysis applications using the power of python with the quantmod package.

By now, I have spent several hours searching the internet for some quick starter code examples in python programming language that uses rpy2(python package) and calls quantmod functions. So far, I have not been successful in finding any suitable material... apart from the rpy2 & quantmod documentations.

Therefore the question is as follows =>

1. Does any one know of a suitable resource/s to get me started with python & quantmod using rpy2?
2. Alternatively, can some one post simple example/s of pythonic code that calls quantmod functions using rpy2?

Here is an attempt of mine in implementing a prototype using rpy2 & quantmod:

from rpy2.robjects.packages import importr

sta = {"skeleton.TA": "skeleton_dot_TA", "skeleton_TA": "skeleton_uscore_TA"}
quantmod = importr('quantmod', robject_translations = sta)

IBM = quantmod.getSymbols("IBM")

Problem with the above code(quantmodplot.py) is that it produces "RuntimeError" as follows:

 As of 0.4-0, ‘getSymbols’ uses env=parent.frame() and
 auto.assign=TRUE by default.

 This  behavior  will be  phased out in 0.5-0  when the call  will
 default to use auto.assign=FALSE. getOption("getSymbols.env") and 
 getOptions("getSymbols.auto.assign") are now checked for alternate defaults

 This message is shown once per session and may be disabled by setting 
 options("getSymbols.warning4.0"=FALSE). See ?getSymbol for more details
Error in as.character(sc[[1]]) : 
  cannot coerce type 'closure' to vector of type 'character'
Traceback (most recent call last):
  File "quantmodplot.py", line 6, in <module>
    IBM = quantmod.getSymbols("IBM")
  File "/usr/local/lib/python2.7/dist-packages/rpy2-2.3.6-py2.7-linux-i686.egg/rpy2/robjects/functions.py", line 86, in __call__
    return super(SignatureTranslatedFunction, self).__call__(*args, **kwargs)
  File "/usr/local/lib/python2.7/dist-packages/rpy2-2.3.6-py2.7-linux-i686.egg/rpy2/robjects/functions.py", line 35, in __call__
    res = super(Function, self).__call__(*new_args, **new_kwargs)
rpy2.rinterface.RRuntimeError: Error in as.character(sc[[1]]) : 
  cannot coerce type 'closure' to vector of type 'character'

Your help will be greatly appreciated...

Answer 1

The getSymbols() bit seems a little unconventional (R already has the functions get() and mget() ).

The problem occurs in importDefaults() (package Defaults ), itself a strange beast: it goes back 2 calling frames up the stack, in order to fetch the name of the function calling (so here "getSymbols").

The function getSymbols() in quantmod contains the code:

function (Symbols = NULL, env = parent.frame(), reload.Symbols = FALSE, 
    verbose = FALSE, warnings = TRUE, src = "yahoo", symbol.lookup = TRUE, 
    auto.assign = getOption("getSymbols.auto.assign", TRUE), 
    ...) 
{
    # (...code cut out...)
    importDefaults("getSymbols")

The call importDefaults("getSymbols) goes up the calling stack in order to get the symbol of the calling function, that is "getSymbols".

In rpy2, an R function called (from Python) does not have a symbol in an R enclosing frame (since the enclosing frame is Python). In a way it is like an anonymous function for R. This could probably be improved in the high-level interface rpy2.robjects , but I never found the time to work on it.

A workaround is to make sure that the function has a calling frame and a symbol:

from rpy2.robjects.vectors import ListVector
base = importr("base")
base.do_call("getSymbols", ListVector({'Symbols':"IBM"}))

Answer 2

Today, I have also tested the following approach... ie explicitly calling rpy2.robjects in-order to call R script within python. Example of such an approach are lines In [5]: In [6]: in the below python script. Interestingly, this approach seems to work:

In [1]: from rpy2.robjects import r
In [2]: from rpy2.robjects.packages import importr
In [3]: sta = {"skeleton.TA": "skeleton_dot_TA", "skeleton_TA": "skeleton_uscore_TA"}
In [4]: quantmod = importr('quantmod', robject_translations = sta)
In [5]: IBM = r("getSymbols('IBM', src='google', from='2013-01-01')")
 As of 0.4-0, ‘getSymbols’ uses env=parent.frame() and
 auto.assign=TRUE by default.

 This  behavior  will be  phased out in 0.5-0  when the call  will
 default to use auto.assign=FALSE. getOption("getSymbols.env") and 
 getOptions("getSymbols.auto.assign") are now checked for alternate defaults

 This message is shown once per session and may be disabled by setting 
 options("getSymbols.warning4.0"=FALSE). See ?getSymbol for more details

In [6]: r("candleChart(IBM, TA=NULL)")
Out[6]: <RS4 - Python:0xae3a14c / R:0xaae455c>

However, running such a python script => quantmod.getSymbols("IBM") produces RRuntimeError !
Hence, the primary problem still remains unresolved!

Well, here are some environmental details regarding my development machine:

OS: Ubuntu Linux 12.04
Python version: '2.7.3'
Python package: rpy2-2.3.6
R version: 3.0.0 (2013-04-03)
R package: quantmod_0.4-0