[R] How do I make this faster?

From: Hasan Diwan <hasan.diwan_at_gmail.com>
Date: Sat, 09 Apr 2011 09:49:52 +0200


I was on vacation the last week and wrote some code to run a 500-day correlation between the Nasdaq tracking stock (QQQ) and 191 currency pairs for 500 days. The initial run took 9 hours(!) and I'd like to make it faster. So, I'm including my code below, in hopes that somebody will be able to figure out how to make it faster, either through parallelisation, or by making changes. I've marked the places where Rprof showed me it was slowing down:
currencyCorrelation <- function(lagtime = 1) {   require(quantmod)

  dataTrack <- getSymbols(commandArgs(trailingOnly=T)[1], from='2009-11-21', to='2011-04-03')
  stockData <- get(dataTrack)
  currencies <- row.names(oanda.currencies[grep(pattern='oz.', fixed=T, x =as.vector(oanda.currencies$oanda.df.1.length.oanda.df...2....1.)) == F])   correlations <- vector()
  values <- list()
# optimise these loops using the apply family
  for (i in currencies) {
    for (j in currencies) {

      if (i == j) next()
      fx <- getFX(paste(i, j, sep='/'), from='2009-11-20', to='2011-04-02')
      # Prepare data by getting rates for market days only
      fx <- get(fx)
      fx <- fx[which(index(fx) %in% index(QQQ$QQQ.Close))]
      correlation <- cor(fx, QQQ$QQQ.Close)
      correlations <- c(correlations, correlation)
      string <- paste(paste(i,j,sep='/'), correlation, sep=',')
      values <- c(values,paste(string,'\n', sep=''))
    }
  }
# TODO eliminate NA's

  values <- values[which(correlations[is.na(correlations) == F])]   correlations <- correlations[is.na(correlations) == F]   values <- values[order(correlations, decreasing=T)]   write.table(values, file=commandArgs(trailingOnly=T)[2], sep='', qmethod=NULL, quote = F, row.names=F, col.names=F)   rm('currencies', 'correlations', 'values', 'fx', 'string')   return()
}
lagtime <- as.integer(commandArgs(trailingOnly=T)[3]) if (is.na(lagtime)) lagtime <- 1
print(paste(Sys.time(), '<--- starting', lagtime, 'day lag currencies correlation with', commandArgs(trailingOnly=T)[1], 'from 2009-11-20 to 2011-04-03'))
currencyCorrelation(lagtime)
print(paste(Sys.time(), '<--- ended, results in', commandArgs(trailingOnly=T)[2]))
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Received on Sat 09 Apr 2011 - 10:32:46 GMT

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