MQL4 -> R-Project - Interface Library

Quoting FXEZ

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I guess I'm on the help desk today...

Croupier, see this post

Edit .mqh file with your R installation path

and then scroll up to post #9 and see if any of that gives you some ideas to debug your problems.

FYI IIRC I don't think it works with 64 bit in MT4. Use 32 bit R with 32 bit MT4

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Quoting croupier

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Thanks, FXEZ.
This is what I set for Trend-O-mat,
-------
#define RPATH "C:/Program Files/R/R-2.15.2/bin/i386/Rterm.exe --no-save"
#define RDEBUG 1

#define SNAPSHOTS "D:/plots/"

#include <mt4R.mqh>
#include <common_functions.mqh>
--------
the error log message from MT4: "trendomat USDJPY,H4: Version mismatch mt4R.dll: expected version 1.4 - found dll version 1.3", I seem to be unable to just reproduce what's been posted as demo, is there actually a version 1.4 mt4R.dll?

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#define MT4R_VERSION_MINOR 3  // must change to 4

Quoting FXEZ

Disliked

Two options:

1) Re-download the files from the website just to make sure you're all on the same version if you got them from the first post.

2) Edit the version number in MT4R.mqh. It says:

Inserted Code

#define MT4R_VERSION_MINOR 3  // must change to 4

But I've not had a problem using it with version 3.

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Quoting johnde

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Does this tool require a 4 digit broker? I see a post stating this but I don't see this in any instruction set. Is 4 digit a requirement or can I use a 5 digit broker. The reason I ask is that I keep receiving the error:

[2948] exception 80000003 at 017003E2 in Crogram FilesMetaTrader 4aterminal.exe -> EXCEPTION_CONTINUE_SEARCH
[2948] exception 80000003 at 017003E2 in Crogram FilesMetaTrader 4aterminal.exe -> EXCEPTION_CONTINUE_SEARCH

I have R installed in --> C:RR-2.15.2bin

and the EA is pointing to --> #define RPATH "C:/R/R-2.15.2/bin/i386/Rterm.exe...

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Quoting johnde

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croupier..... can you tell me the setup you are using (os/version of R....)? I'll build a vitual machine to match and see if I can get it to work correctly.

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Quote

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#define RPATH "C:/Program Files/R/R-2.14.0/bin/x64/Rterm.exe --no-save"
#define RPATH "C:/Program Files/R/R-2.14.0/bin/i386/Rterm.exe --no-save"

Quoting adamfx.888

Disliked

I think your work is really amazing. Congratulations on your excellent work.I was looking at the arima indicator.I changed a few lines of code to try to use the auto.arima function in R.It compiled OK but when I tried to use it I did not get anything on the chart.I checked the code but I cannot figure out what I am doing wrong.Is it possible to post a few more indicator examples using R functions. That would be really helpful.

Ignored

RExecute(R.ProcHandle, 
          "d <- head(tail(hist_r, sampleCount+pOffs), sampleCount - pOffs + 2)" + LineEnding
        + "d <- as.xts(d, order.by=as.POSIXct(d[['Timestamp']], origin='1970-01-01 00:00', tz='UTC'))" + LineEnding
        // + "z <- head(zoo(d[,2:6]), sampleCount) " + LineEnding
        // + "z <- zoo(d[,2:6]) " + LineEnding
        + "z <- as.xts(d[,2:6])" + LineEnding
        + "if (priceModel==PM_OPEN) { hist <- z$Open } " + LineEnding
        + "if (priceModel==PM_HIGH) { hist <- z$High } " + LineEnding
        + "if (priceModel==PM_LOW) { hist <- z$Low } " + LineEnding
        + "if (priceModel==PM_CLOSE) { hist <- z$Close } " + LineEnding
        + "if (priceModel==PM_TYPICAL) { hist <- (z$High + z$Low + z$Close) / 3 } " + LineEnding
        + "if (priceModel==PM_MEDIAN) { hist <- (z$High + z$Low + z$Close) / 3 } " + LineEnding
        + "if (priceModel==PM_WEIGHTED) { hist <- (z$High + z$Low + 2*z$Close) / 4 } " + LineEnding
        + "logRets <- tail(diff(pipFactor*log(hist)), sampleCount - pOffs - 1)"
    ;);

// Calculate the fulfillment or the miss of the prediction
    RExecute(R.ProcHandle,
          "if (fGarchPredHist$pred[pred_row]<0) {" + LineEnding
        + "   if (fGarchPredHist$oc[pred_row]<0) {" + LineEnding
        + "      fGarchPredHist$fulfillment[pred_row] <- 1" + LineEnding
        + "   } else {" + LineEnding
        + "      fGarchPredHist$fulfillment[pred_row] <- 0" + LineEnding
        + "   }" + LineEnding
        + "}" + LineEnding
        + "if (fGarchPredHist$pred[pred_row]>0) {" + LineEnding
        + "   if (fGarchPredHist$oc[pred_row]>0) {" + LineEnding
        + "      fGarchPredHist$fulfillment[pred_row] <- 1" + LineEnding
        + "   } else {" + LineEnding
        + "      fGarchPredHist$fulfillment[pred_row] <- 0" + LineEnding
        + "   }" + LineEnding
        + "}"
    );

    ArrayCopyRates(hist_r, gSymbol, iRTimeFrame);
    while (GetLastError()==4066) {
        Print("CalculateOneFGARCHPrediction: ArrayCopyRates barfed... retrying");
        Sleep(1000);
        ArrayCopyRates(hist_r, gSymbol, iRTimeFrame);
    }

    RAssignOHLC(R.ProcHandle, "hist_r", hist_r, iBars(gSymbol, iRTimeFrame));

#property copyright "� Bernd Kreuss" 
#property indicator_chart_window 

#property indicator_buffers 3
#property indicator_color1 Red
#property indicator_width1 1 
#property indicator_color2 Yellow
#property indicator_width2 1
#property indicator_color3 Yellow
#property indicator_width3 1 

#include <common_functions.mqh>
#include <mt4R.mqh>
// Eventhandler
#include <eventhandler.mqh>

extern string RTermPath_desc="Commandline to call RTERM.EXE";
extern string RTermPath="C:AppsRR-2.15.3bini386Rterm.exe --no-save";
//
extern bool saveWS=false;
extern string RWorkPath_desc="Where are the R-Snapshots to be saved?";
extern string RWorkPath="C:/RData";
//
extern string retro_desc="How many bars into the past to begin a prediction";
extern int retro=0;
//
#define PM_OPEN 0
#define PM_HIGH 1
#define PM_LOW 2
#define PM_CLOSE 3
#define PM_TYPICAL 4
#define PM_MEDIAN 5
#define PM_WEIGHTED 6
extern string priceModel_desc1="Open=0, High=1, Low=2, Close=3,";
extern string priceModel_desc2="Typical=4, Median=5, Weighted=6";
extern string priceModel_desc3="Default: 4 (Close)";
extern int priceModel=4;
//
extern string back_desc = "How many bars into the past from retro to sample the data";
extern int back = 1000;
//
extern string ahead_desc="How many bars to predict";
extern int ahead = 150;
//
extern string Rmethod_desc="Allowed: yule-walker, burg, ols, mle, yw";
extern string Rmethod="ols";
static int curPeriod=0;
//
extern string order_desc="Filter order of the autoregression";
extern int order = 200;

int R;
double buf_prediction[];
double buf_upper[];
double buf_lower[];
double hist_r[][6];

int init(){
        SetIndexBuffer(0, buf_prediction);
        SetIndexStyle(0, DRAW_LINE);
        SetIndexShift(0, ahead-retro);
        //
        SetIndexBuffer(1, buf_upper);
        SetIndexStyle(1, DRAW_LINE);
        SetIndexShift(1, ahead-retro);
        //
        SetIndexBuffer(2, buf_lower);
        SetIndexStyle(2, DRAW_LINE);
        SetIndexShift(2, ahead-retro);
        curPeriod=Period();
        R = RInit(RTermPath, 2);
        RExecute(R, "pkgs <- c('zoo', 'xts', 'fBasics', 'MASS', 'quantmod', 'fGarch')");
        RExecute(R, "lapply(pkgs, require, character.only=T)");
        Comment("$Rev: 595 $ Retrace " + retro + " bars, history: " + back + " bars, method: " + Rmethod + " , order: " + order + 
        ", Datapath: " + RWorkPath);
        // Initialize Eventhandler to provide onBar and onTick Events.
        events.initEvents();
        doRDraw();
        if (saveWS) {
                RExecute(R, "setwd('" + RWorkPath + "')");
                RExecute(R,"save.image(file='"+ createFileName() + "')");
        }

}

int deinit(){
        Comment("");
        RDeinit(R);
}

int start(){
        // Perform eventhandler calls.
        events.doEvents();
        return(0);   
}

void events.onBar(int pPeriod) {
        switch (pPeriod) {
        case PERIOD_M1:
                // Print("onBar: working on M1...");
                doRDraw();
                break;
        case PERIOD_M5:
                // Print("onBar: working on M5...");
                if (saveWS) {
                        RExecute(R,"save.image(file='"+ createFileName() + "')");
                }
                break;
        case PERIOD_M15:
                break;
        case PERIOD_M30:
                break;
        case PERIOD_H1:
                break;
        case PERIOD_H4:
                break;
        case PERIOD_D1:
                break;
        case PERIOD_W1:
                break;
        default:
                break;
        }
        return;
}

void events.onTick() {
        return;
}

void doRDraw() {
        static int curPeriod=0;
        // Hier stehen die Vorhersagen...
        double pred[];
        double ub[];
        double lb[];
        int i;
        // Switching of timeframes does funny things :-)
        if (Period()!=curPeriod) {
                curPeriod=Period();
                doRDraw();
        }
        // make a (new) prediction
        // Return buffers
        ArrayResize(pred, ahead);
        ArrayResize(ub, ahead);
        ArrayResize(lb, ahead);
        // 
        int cnt=ArrayCopyRates(hist_r, NULL, 0);
        while (GetLastError()==4066) {
                Print("init: ArrayCopyRates barfed... retrying");
                Sleep(1000);
                cnt=ArrayCopyRates(hist_r, NULL, 0);
        }
        log("doRDraw: Bars=", DoubleToStr( iBars(NULL,0), 0), " vs. cnt=", DoubleToStr(cnt, 0) );
        RAssignOHLC(R, "hist_r", hist_r,  iBars(NULL,0));
        RAssignInteger(R, "ord", order);
        RAssignInteger(R, "ahead", ahead);
        RAssignInteger(R, "retro", retro);
        RAssignInteger(R, "samples", back);
        RExecute(R, "data <- head(tail(hist_r, samples+retro), samples)");
        RExecute(R, "z <- zoo(data[,2:6], order.by=as.POSIXct(data[["Timestamp"]], origin="1970-01-01 00:00", tz="UTC"))");
        switch (priceModel) {
                case PM_OPEN:
                        RExecute(R, "hist <- z$Open");
                        break;
                case PM_HIGH:
                        RExecute(R, "hist <- z$High");
                        break;
                case PM_LOW:
                        RExecute(R, "hist <- z$Low");
                        break;
                case PM_CLOSE:
                        RExecute(R, "hist <- z$Close");
                        break;
                case PM_TYPICAL:
                        RExecute(R, "hist <- (z$High + z$Low + z$Close) / 3");
                        break;
                case PM_MEDIAN:
                        RExecute(R, "hist <- (z$High + z$Low) / 2");
                        break;
                case PM_WEIGHTED:
                        RExecute(R, "hist <- (z$High + z$Low + 2*z$Close) / 4");
                        break;
                default:
                        RExecute(R, "hist <- z$Close");
                        break;
        }
        RExecute(R, "h <- as.xts(hist)");
        string arArguments="model <- ar(h, aic=FALSE, order=ord, method='" + Rmethod  + "')";
        RExecute(R, arArguments);
        RExecute(R, "p <- predict(model, n.ahead=ahead)");
        RExecute(R, "pred <- p$pred");
        RExecute(R, "ub <- last(z$Close) + p$se");
        RExecute(R, "lb <- last(z$Close) - p$se");
        //
        RGetVector(R, "pred", pred, ahead);
        RGetVector(R, "ub", ub, ahead);
        RGetVector(R, "lb", lb, ahead);
        int j;
        for (i=0; i<ahead; i++){
                j=ahead - i - 1;
                buf_prediction = pred[j];
                buf_upper = ub[j];
                buf_lower = lb[j];
        }
}


/**
creates a filename for the RData export file.
*/
string createFileName() {
        string name=
                WindowExpertName() + "_" + 
                Symbol() + "_" + 
                Period() + 
                ".RData";
        return(name);
}

#property copyright "� Bernd Kreuss"
#include <mt4R.mqh> 
#include <common_functions.mqh>
extern int back = 500;
extern int order = 200;
extern int ahead = 20;

extern string R_command = "C:RR-3.0.1bini386Rterm.exe --no-save";
   extern int R_debuglevel = 2;
   int rhandle;
   int init() {
      rhandle = RInit(R_command, R_debuglevel);
   }
   int deinit() {
      RDeinit(rhandle);
   }
   int start() {
     double hist[];
     double pred[];
     double buf_prediction[];
     int i;
 
     ArrayResize(hist, back);  
     for (i=0; i<back; i++){
      hist = Close;
          }   //fill up the hist array with Close price
     RAssignVector(rhandle, "hist", hist, ArraySize(hist)); //Do I still need this?
     RExecute(rhandle, "hist <- rev(hist)"); //get into the right order in time
     RAssignInteger(rhandle, "ord", order);
     RExecuteAsync(rhandle, "model <- ar(hist, aic=FALSE, order=ord, method='ols')"); //construct the ols model
         
     if (RGetInteger(rhandle, "as.integer(exists('model'))") == 1){ 
      // there exists a model (the variable is set). 
      // This means a previously started RExecuteAsync() has finished. 
      // we can now predict from this model and plot it.
      RAssignInteger(rhandle, "ahead", ahead);
      RExecute(rhandle, "pred <- predict(model, n.ahead=ahead)$pred"); // if there is a model, predict a "ahead" value ahead
      ArrayResize(pred, ahead);
      RGetVector(rhandle, "rev(pred)", pred, ahead);
      for (i=0; i<ahead; i++){
         buf_prediction = pred;  //buffer of predict ahead value
      }
         Print(hist[1]);
         Print (Close);
         Print (buf_prediction[1]);
         RExecute(rhandle, "save.image()");
   return(0);
      }
       }