From josh.m.ulrich at gmail.com  Mon Jul 23 15:17:26 2012
From: josh.m.ulrich at gmail.com (Joshua Ulrich)
Date: Mon, 23 Jul 2012 08:17:26 -0500
Subject: [Rd] Reading many large files causes R to crash - Possible Bug
 in R 2.15.1 64-bit Ubuntu
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Message-ID: <CAPPM_gQvV9ht-s_o-K=CazasTNFiT_+yRqnwzA1Wg=rYG+87Pw@mail.gmail.com>

Well, you still haven't convinced anyone but yourself that it's
definitely an xts problem, since you have not provided any
reproducible example...
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Mon, Jul 23, 2012 at 8:14 AM, David Terk <david.terk at gmail.com> wrote:
> Where should this be discussed since it is definitely XTS related?  I will
> gladly upload the simplified script + data files to whoever is maintaining
> this part of the code.  Fortunately there is a workaround here.
>
> -----Original Message-----
> From: Joshua Ulrich [mailto:josh.m.ulrich at gmail.com]
> Sent: Monday, July 23, 2012 8:15 AM
> To: David Terk
> Cc: Duncan Murdoch; r-devel at r-project.org
> Subject: Re: [Rd] Reading many large files causes R to crash - Possible Bug
> in R 2.15.1 64-bit Ubuntu
>
> David,
>
> You still haven't provided a reproducible example.  As Duncan already said,
> "if you don't post code that allows us to reproduce the crash, it's really
> unlikely that we'll be able to fix it."
>
> And R-devel is not the appropriate venue to discuss this if it's truly an
> issue with xts/zoo.
>
> Best,
> --
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com
>
>
> On Mon, Jul 23, 2012 at 12:41 AM, David Terk <david.terk at gmail.com> wrote:
>> Looks like the call to:
>>
>> dat.i <- to.period(dat.i, period=per, k=subper, name=NULL)
>>
>> If what is causing the issue.  If variable name is not set, or set to
>> any value other than NULL.  Than no hang occurs.
>>
>> -----Original Message-----
>> From: David Terk [mailto:david.terk at gmail.com]
>> Sent: Monday, July 23, 2012 1:25 AM
>> To: 'Duncan Murdoch'
>> Cc: 'r-devel at r-project.org'
>> Subject: RE: [Rd] Reading many large files causes R to crash -
>> Possible Bug in R 2.15.1 64-bit Ubuntu
>>
>> I've isolated the bug.  When the seg fault was produced there was an
>> error that memory had not been mapped.  Here is the odd part of the
>> bug.  If you comment out certain code and get a full run than comment in
> the code which
>> is causing the problem it will actually run.   So I think it is safe to
>> assume something wrong is taking place with memory allocation.  Example.
>> While testing, I have been able to get to a point where the code will run.
>> But if I reboot the machine and try again, the code will not run.
>>
>> The bug itself is happening somewhere in XTS or ZOO.  I will gladly
>> upload the data files.  It is happening on the 10th data file which is
>> only 225k lines in size.
>>
>> Below is the simplified code.  The call to either
>>
>> dat.i <- to.period(dat.i, period=per, k=subper, name=NULL)
>> index(dat.i) <- index(to.period(templateTimes, period=per, k=subper))
>>
>> is what is causing R to hang or crash.  I have been able to replicate
>> this on Windows 7 64 bit and Ubuntu 64 bit.  Seems easiest to
>> consistently replicate from R Studio.
>>
>> The code below will consistently replicate when the appropriate files
>> are used.
>>
>> parseTickDataFromDir = function(tickerDir, per, subper) {
>>   tickerAbsFilenames = list.files(tickerDir,full.names=T)
>>   tickerNames = list.files(tickerDir,full.names=F)
>>   tickerNames = gsub("_[a-zA-Z0-9].csv","",tickerNames)
>>   pb <- txtProgressBar(min = 0, max = length(tickerAbsFilenames),
>> style = 3)
>>
>>   for(i in 1:length(tickerAbsFilenames)) {
>>     dat.i = parseTickData(tickerAbsFilenames[i])
>>     dates <- unique(substr(as.character(index(dat.i)), 1,10))
>>     times <- rep("09:30:00", length(dates))
>>     openDateTimes <- strptime(paste(dates, times), "%F %H:%M:%S")
>>     templateTimes <- NULL
>>
>>     for (j in 1:length(openDateTimes)) {
>>       if (is.null(templateTimes)) {
>>         templateTimes <- openDateTimes[j] + 0:23400
>>       } else {
>>         templateTimes <- c(templateTimes, openDateTimes[j] + 0:23400)
>>       }
>>     }
>>
>>     templateTimes <- as.xts(templateTimes)
>>     dat.i <- merge(dat.i, templateTimes, all=T)
>>     if (is.na(dat.i[1])) {
>>       dat.i[1] <- -1
>>     }
>>     dat.i <- na.locf(dat.i)
>>         dat.i <- to.period(dat.i, period=per, k=subper, name=NULL)
>>         index(dat.i) <- index(to.period(templateTimes, period=per,
>> k=subper))
>>     setTxtProgressBar(pb, i)
>>   }
>>   close(pb)
>> }
>>
>> parseTickData <- function(inputFile) {
>>   DAT.list <- scan(file=inputFile,
>> sep=",",skip=1,what=list(Date="",Time="",Close=0,Volume=0),quiet=T)
>>   index <-
>> as.POSIXct(paste(DAT.list$Date,DAT.list$Time),format="%m/%d/%Y
>> %H:%M:%S")
>>   DAT.xts <- xts(DAT.list$Close,index)
>>   DAT.xts <- make.index.unique(DAT.xts)
>>   return(DAT.xts)
>> }
>>
>> DATTick <- parseTickDataFromDir(tickerDirSecond, "seconds",10)
>>
>> -----Original Message-----
>> From: Duncan Murdoch [mailto:murdoch.duncan at gmail.com]
>> Sent: Sunday, July 22, 2012 4:48 PM
>> To: David Terk
>> Cc: r-devel at r-project.org
>> Subject: Re: [Rd] Reading many large files causes R to crash -
>> Possible Bug in R 2.15.1 64-bit Ubuntu
>>
>> On 12-07-22 3:54 PM, David Terk wrote:
>>> I am reading several hundred files.  Anywhere from 50k-400k in size.
>>> It appears that when I read these files with R 2.15.1 the process
>>> will hang or seg fault on the scan() call.  This does not happen on R
> 2.14.1.
>>
>> The code below doesn't do anything other than define a couple of
> functions.
>> Please simplify it to code that creates a file (or multiple files),
>> reads it or them, and shows a bug.
>>
>> If you can't do that, then gradually add the rest of the stuff from
>> these functions into the mix until you figure out what is really causing
> the bug.
>>
>> If you don't post code that allows us to reproduce the crash, it's
>> really unlikely that we'll be able to fix it.
>>
>> Duncan Murdoch
>>
>>>
>>>
>>>
>>> This is happening on the precise build of Ubuntu.
>>>
>>>
>>>
>>> I have included everything, but the issue appears to be when
>>> performing the scan in the method parseTickData.
>>>
>>>
>>>
>>> Below is the code.  Hopefully this is the right place to post.
>>>
>>>
>>>
>>> parseTickDataFromDir = function(tickerDir, per, subper, fun) {
>>>
>>>    tickerAbsFilenames = list.files(tickerDir,full.names=T)
>>>
>>>    tickerNames = list.files(tickerDir,full.names=F)
>>>
>>>    tickerNames = gsub("_[a-zA-Z0-9].csv","",tickerNames)
>>>
>>>    pb <- txtProgressBar(min = 0, max = length(tickerAbsFilenames),
>>> style = 3)
>>>
>>>
>>>
>>>    for(i in 1:length(tickerAbsFilenames)) {
>>>
>>>
>>>
>>>      # Grab Raw Tick Data
>>>
>>>      dat.i = parseTickData(tickerAbsFilenames[i])
>>>
>>>      #Sys.sleep(1)
>>>
>>>      # Create Template
>>>
>>>      dates <- unique(substr(as.character(index(dat.i)), 1,10))
>>>
>>>      times <- rep("09:30:00", length(dates))
>>>
>>>      openDateTimes <- strptime(paste(dates, times), "%F %H:%M:%S")
>>>
>>>      templateTimes <- NULL
>>>
>>>
>>>
>>>      for (j in 1:length(openDateTimes)) {
>>>
>>>        if (is.null(templateTimes)) {
>>>
>>>          templateTimes <- openDateTimes[j] + 0:23400
>>>
>>>        } else {
>>>
>>>          templateTimes <- c(templateTimes, openDateTimes[j] +
>>> 0:23400)
>>>
>>>        }
>>>
>>>      }
>>>
>>>
>>>
>>>      # Convert templateTimes to XTS, merge with data and convert NA's
>>>
>>>      templateTimes <- as.xts(templateTimes)
>>>
>>>      dat.i <- merge(dat.i, templateTimes, all=T)
>>>
>>>      # If there is no data in the first print, we will have leading
>>> NA's.  So set them to -1.
>>>
>>>      # Since we do not want these values removed by to.period
>>>
>>>      if (is.na(dat.i[1])) {
>>>
>>>        dat.i[1] <- -1
>>>
>>>      }
>>>
>>>      # Fix remaining NA's
>>>
>>>      dat.i <- na.locf(dat.i)
>>>
>>>      # Convert to desired bucket size
>>>
>>>      dat.i <- to.period(dat.i, period=per, k=subper, name=NULL)
>>>
>>>      # Always use templated index, otherwise merge fails with other
>>> symbols
>>>
>>>      index(dat.i) <- index(to.period(templateTimes, period=per,
>>> k=subper))
>>>
>>>      # If there was missing data at open, set close to NA
>>>
>>>      valsToChange <- which(dat.i[,"Open"] == -1)
>>>
>>>      if (length(valsToChange) != 0) {
>>>
>>>        dat.i[valsToChange, "Close"] <- NA
>>>
>>>      }
>>>
>>>      if(i == 1) {
>>>
>>>        DAT = fun(dat.i)
>>>
>>>      } else {
>>>
>>>        DAT = merge(DAT,fun(dat.i))
>>>
>>>      }
>>>
>>>      setTxtProgressBar(pb, i)
>>>
>>>    }
>>>
>>>    close(pb)
>>>
>>>    colnames(DAT) = tickerNames
>>>
>>>    return(DAT)
>>>
>>> }
>>>
>>>
>>>
>>> parseTickData <- function(inputFile) {
>>>
>>>    DAT.list <- scan(file=inputFile,
>>> sep=",",skip=1,what=list(Date="",Time="",Close=0,Volume=0),quiet=T)
>>>
>>>    index <-
>>> as.POSIXct(paste(DAT.list$Date,DAT.list$Time),format="%m/%d/%Y
>>> %H:%M:%S")
>>>
>>>    DAT.xts <- xts(DAT.list$Close,index)
>>>
>>>    DAT.xts <- make.index.unique(DAT.xts)
>>>
>>>    return(DAT.xts)
>>>
>>> }
>>>
>>>
>>>
>>>
>>>
>>>
>>>       [[alternative HTML version deleted]]
>>>
>>> ______________________________________________
>>> R-devel at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-devel
>>>
>>
>> ______________________________________________
>> R-devel at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-devel
>



[Rd] Reading many large files causes R to crash - Possible Bug in R 2.15.1 64-bit Ubuntu
Joshua Ulrich