Installing quantstrat from R-forge and source

January 10, 2012

(This article was first published on ProgrammingR, and kindly contributed to R-bloggers)

R is used extensively in the financial industry; many of my recent clients have been working in or developing products for the financial sector. Some common applications are to use R to analyze market data and evaluate quantitative trading strategies. Custom solutions are almost always the best way to do this, but the quantstrat package can make it easy to quickly get a high-level understanding of a strategy’s potential. However, quantstrat is still under development, and this, combined with a lack of documentation and the complex nature of the tasks involved, make it difficult to work with. This article addresses one of the most basic issues with quantstrat – getting it installed. quantstrat and it’s required packages currently aren’t available on CRAN – you have to get them from R-forge. As a result, the installation is slightly less straightforward than other packages and provides an opportunity to discuss how to install packages from R-forge and locally from source. Although this article focuses on installing quantstrat, these instructions will help with any R-package that you need to build from source.

If you’re installing from R-forge, the process is only moderately different than installing from CRAN; simply change the install.packages command to point to the R-forge repository:

install.packages("FinancialInstrument", repos="")

install.packages("blotter", repos="")

install.packages("quantstrat", repos="")

Since the FinancialInstrument and blotter packages are dependencies for quantstrat, you can download and install all three at once with just the last line.

In some cases, you may need to build the packages yourself. You’ll need to set your system up to compile R source code if it isn’t already. To do so, follow steps 1-3 below. If your system is already set up to compile R source code, you can skip to step 4.

# 1) Install Rtools package (must be done manually from

# 2) Install LaTex from

# 3) Install InnoSetup

# 4) Download the three package source files available from R-forge

# 5) Install the packages using the commands below (substituting the appropriate version numbers):

install.packages("C:/yourpath/FinancialInstrument_0.9.18.tar.gz", repos = NULL, type="source")

install.packages("C:/yourpath/blotter_0.8.4.tar.gz", repos = NULL, type="source")

install.packages("C:/yourpath/quantstrat_0.6.1.tar.gz", repos = NULL, type="source")

Note that these directions are relevant until the packages are available on CRAN, after which, you’ll be able to download and install them like any other package (I’ll make a note on this post once that happens). Also note that since these packages are under heavy development, you’ll want to update them often.

ProgrammingR offers two ways for you to stay up to date. To be notified when new articles and book reviews are posted, subscribe to the ProgrammingR articles feed. To be notified when new R-based job listings are posted, subscribe to the ProgrammingR jobs feed. You may also want to post an R consultant listing, hire an R consultant, or ask a question in the forums.

The post Installing quantstrat from R-forge and source appeared first on ProgrammingR.

To leave a comment for the author, please follow the link and comment on their blog: ProgrammingR. offers daily e-mail updates about R news and tutorials on topics such as: Data science, Big Data, R jobs, visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.


Mango solutions

RStudio homepage

Zero Inflated Models and Generalized Linear Mixed Models with R

Dommino data lab

Quantide: statistical consulting and training



CRC R books series

Six Sigma Online Training

Contact us if you wish to help support R-bloggers, and place your banner here.

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)