I am getting confused in how to use R effectively. Below is the example that I
would like to optimize, which is basically a loop. In its current version it
takes about 20 seconds to run. I have looked at the apply function and but
didn't seem to get it to work. I am sure this is relatively easy to show me
a
better version for someone who has done this before. For some reason I seem to
have trouble getting my head around this.
#----------------------------------
#Create the example data
dDates <- seq(from=as.Date("1990-01-01"), by="day",
length.out=10000);
xtsHold <- xts(rep(0, times=10000), order.by=dDates);
xtsBuy <- xts(sample(0:1,10000,replace=T), order.by=dDates);
xtsSell <- xts(sample(0:1,10000,replace=T), order.by=dDates);
print(Sys.time())
#Run the inefficient calculation
for (i in 2:length(xtsHold)){
xtsHold[i] <- xtsHold[i-1] + xtsBuy[i-1] - xtsSell[i-1];
}
print(Sys.time())#----------------------------------
Thank you very much in advance!
Best regards,
Wolfgang Wu
What is xts? What package? --- On Fri, 5/13/11, Wolfgang Wu <wobwu22 at yahoo.de> wrote:> From: Wolfgang Wu <wobwu22 at yahoo.de> > Subject: [R] More effective calculation for loop > To: R-help at r-project.org > Received: Friday, May 13, 2011, 5:32 AM > I am getting confused in how to use R > effectively. Below is the example that I > would like to optimize, which is basically a loop. In its > current version it > takes? about 20 seconds to run. I have looked at the > apply function and but > didn't seem to get it to work. I am sure this is relatively > easy to show me a > better version for someone who has done this before. For > some reason I seem to > have trouble getting my head around this. > > #---------------------------------- > #Create the example data > dDates <- seq(from=as.Date("1990-01-01"), by="day", > length.out=10000); > xtsHold <- xts(rep(0, times=10000), order.by=dDates); > xtsBuy <- xts(sample(0:1,10000,replace=T), > order.by=dDates); > xtsSell <- xts(sample(0:1,10000,replace=T), > order.by=dDates); > print(Sys.time()) > > #Run the inefficient calculation > for (i in 2:length(xtsHold)){ > xtsHold[i] <- xtsHold[i-1] + xtsBuy[i-1] - > xtsSell[i-1]; > } > > print(Sys.time())#---------------------------------- > > > Thank you very much in advance! > > Best regards, > > Wolfgang Wu > > > ______________________________________________ > R-help at r-project.org > mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, > reproducible code. >
On Fri, May 13, 2011 at 4:32 AM, Wolfgang Wu <wobwu22 at yahoo.de> wrote:> I am getting confused in how to use R effectively. Below is the example that I > would like to optimize, which is basically a loop. In its current version it > takes ?about 20 seconds to run. I have looked at the apply function and but > didn't seem to get it to work. I am sure this is relatively easy to show me a > better version for someone who has done this before. For some reason I seem to > have trouble getting my head around this. > > #---------------------------------- > #Create the example data > dDates <- seq(from=as.Date("1990-01-01"), by="day", length.out=10000); > xtsHold <- xts(rep(0, times=10000), order.by=dDates); > xtsBuy <- xts(sample(0:1,10000,replace=T), order.by=dDates); > xtsSell <- xts(sample(0:1,10000,replace=T), order.by=dDates); > print(Sys.time()) > > #Run the inefficient calculation > for (i in 2:length(xtsHold)){ > xtsHold[i] <- xtsHold[i-1] + xtsBuy[i-1] - xtsSell[i-1]; > } > > print(Sys.time())#---------------------------------- >Use a vectorized solution instead: xtsHold2 <- lag(xtsBuy)-lag(xtsSell) xtsHold2[1] <- 0 xtsHold2 <- cumsum(xtsHold2) identical(xtsHold, xtsHold2)> > Thank you very much in advance! > > Best regards, > > Wolfgang Wu > > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- Joshua Ulrich | FOSS Trading: www.fosstrading.com