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#472859 - 05/27/18 00:26 Financial Hacker - Algorithmic Options Trading 1
SBGuy Offline
Junior Member

Registered: 05/27/18
Posts: 54
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.

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#472860 - 05/27/18 02:42 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: SBGuy]
AndrewAMD Online
User

Registered: 02/21/17
Posts: 542
Loc: Chicago

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#472865 - 05/27/18 05:29 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: AndrewAMD]
SBGuy Offline
Junior Member

Registered: 05/27/18
Posts: 54
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)
>
*********************************************

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#472868 - 05/27/18 06:24 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: SBGuy]
AndrewAMD Online
User

Registered: 02/21/17
Posts: 542
Loc: Chicago
Works for me. I ran those commands before I directed you there.

Reinstall R.

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#472870 - 05/27/18 06:50 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: AndrewAMD]
SBGuy Offline
Junior Member

Registered: 05/27/18
Posts: 54
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

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#472876 - 05/27/18 16:42 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: SBGuy]
AndrewAMD Online
User

Registered: 02/21/17
Posts: 542
Loc: Chicago
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


Edited by AndrewAMD (05/29/18 20:06)
Edit Reason: clarity

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#472918 - 05/29/18 19:50 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: AndrewAMD]
SBGuy Offline
Junior Member

Registered: 05/27/18
Posts: 54
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.

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#472919 - 05/29/18 20:00 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: SBGuy]
AndrewAMD Online
User

Registered: 02/21/17
Posts: 542
Loc: Chicago
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.

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#472921 - 05/29/18 20:19 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: AndrewAMD]
SBGuy Offline
Junior Member

Registered: 05/27/18
Posts: 54
Ah I see it now.

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#472990 - 06/06/18 01:32 Re: Financial Hacker - Algorithmic Options Trading 1 [Re: SBGuy]
SBGuy Offline
Junior Member

Registered: 05/27/18
Posts: 54
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.

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