I have been asked couple of times about how to install latest version of quantstrat after my talk, so I decided put up detailed instructions for those who are new to R and quantstrat.
The following assumes you have R installed. If not, please install R first.
You will need to install Rtools to build package from source as well. You can download latest version of Rtools from http://cran.r-project.org/bin/windows/Rtools/
You will also need svn installed. You can download simple SVN client from
Once R, RTools, SVN are installed on your windows system, you will need to make sure that your Environment PATH variable has all the following directories included.
- full path\Rtools\bin
- full path\Rtools\gcc-4.6.3\bin
- full path\R\bin
- full path\SlikSvn\bin
See example below
PATH=c:\Rtools\bin;c:\Rtools\gcc-4.6.3\bin;C:\Program Files (x86)\AMD APP\bin\x86_64;C:\Program Files (x86)\AMD APP\bin\x86;C:\Windows\system32;C:\Windows;C:\Windows\System32\Wbem;C:\Windows\System32\WindowsPowerShell\v1.0\;C:\Program Files (x86)\ATI Technologies\ATI.ACE\Core-Static;C:\Program Files (x86)\Java\jre7\bin;C:\curl;E:\R\bin;C:\Program Files\SlikSvn\bin
Now time to install quanstrat.
Note that these packages have several dependencies (other packages including
you may or may not have already installed. The best way to install these packages is through the R console.
There are two methods to install ‘blotter’ family of packages
Using pre-built binaries from R-Forge.
You can install
quantstrat by specifying their repository, like this:
R> install.packages("FinancialInstrument",repos="http://r-forge.r-project.org") R> install.packages("blotter",repos="http://r-forge.r-project.org") R> install.packages("quantstrat",repos="http://r-forge.r-project.org")
This is unreliable though and doesn’t work for every package, including
R> install.packages("RTAQ", repos="http://r-forge.r-project.org") Warning message: package ‘RTAQ’ is not available (for R version 2.15.1)
A more reliable way to install this bleeding-edge code is to get it onto your computer.
Using latest source code from SVN repository
Open a console prompt and navigate to directory where you would like to download the source code. Then execute following command
(Note: in example below E:\R-Package is directory where source code will be downloaded)
E:\R-Package>svn checkout svn://svn.r-forge.r-project.org/svnroot/blotter/
cd to what you just downloaded and see what you got.
E:\R-Package>cd blotter/pkg/ E:\R-Package\blotter\pkg>dir Directory of E:\R-Package\blotter\pkg 12/08/2012 01:12 AM <DIR> . 12/08/2012 01:12 AM <DIR> .. 12/08/2012 01:12 AM <DIR> blotter 12/08/2012 01:13 AM <DIR> FinancialInstrument 12/08/2012 01:11 AM <DIR> quantstrat 12/08/2012 01:12 AM <DIR> RTAQ
Now you can install FinancialInstrument package first using following command
E:\R-Package\blotter\pkg>R CMD INSTALL FinancialInstrument
You should see following messages on successful installation
* installing to library 'E:/R/library' * installing *source* package 'FinancialInstrument' ... ** R ** data ** demo ** inst ** preparing package for lazy loading ** help *** installing help indices ** building package indices ** testing if installed package can be loaded *** arch - i386 *** arch - x64 * DONE (FinancialInstrument)
Similarly you can install rest of packages with following commands
E:\R-Package\blotter\pkg>R CMD INSTALL blotter E:\R-Package\blotter\pkg>R CMD INSTALL quantstrat
You should now have the code to begin implementing your trading strategy in R.