[R-SIG-Finance] Blotter package - problem with example.
Jan Vandermeer
nordicgnome at gmail.com
Wed Oct 14 15:15:30 CEST 2009
Hi Jeff;
Thanks for your speedy reply. I thought that I had a relatively up to
date R repository, kind of just short of SVN but updating to the
packages on R-forge, xts_0.6.8 and quantmod_0.3-12 allowed a clean
run.
I guess I was not living as close to the bleeding edge as I thought.
Jan
On Tue, Oct 13, 2009 at 10:27 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
> Try installing the latest versions of xts and quantmod as well. As
> blotter is under development, it is best to update all the
> dependencies as well.
>
> In this case, I think that should solve your problem.
>
> Best,
> Jeff
>
> On Tue, Oct 13, 2009 at 9:22 PM, Jan Vandermeer <nordicgnome at gmail.com> wrote:
>> Hi all;
>>
>> I've been following the discussion here on backtesting
>> ([R-SIG-Finance] Backtesting framework package -
>> <https://stat.ethz.ch/pipermail/r-sig-finance/2009q2/004404.html> and
>> the discussion [R-SIG-Finance] QuantMod trading models docs?
>> initiated by Mark Knecht and decided to give the blotter package a
>> try.
>> I tried running through the example provided by the blotter package.
>> </usr/lib64/R/library/blotter/html/blotter-package.html>
>> I installed the latest version from R-forge. I am running R version
>> 2.9.1 (2009-06-26) on an AMD Turion 64 with a Gentoo 2.6.31 kernel.
>>
>> Things ran smoothly as shown below until I got to the "p =
>> updatePortf(p,'2007-01')" step, where R kicked out
>>
>> "Error in if (mid != 0 && key < vec[mid]) { :
>> missing value where TRUE/FALSE needed".
>>
>> So I went along and looked at the
>> "/usr/lib64/R/library/blotter/html/00Index.html", which sent me along
>> to "/usr/lib64/R/library/blotter/html/updatePosPL.html" and attempted
>> to adjust some of the values because the usage seems to indicate that
>> additional values may be required
>>
>> "Usage
>> updatePosPL(Portfolio, Symbol, StartDate, EndDate, Prices = Cl(get(Symbol)))
>> updatePortf(Portfolio, StartDate, EndDate)"
>>
>> I added an EndDate using the same format as in the getSymbols command.
>> and received the following error.
>>
>>> p = updatePortf(p,'2007-01-01`, '2007-01-31')
>> Error: unexpected numeric constant in "p = updatePortf(p,'2007-01-01`, '2007"
>>
>>
>> I tried a couple of variations on the updatePosPL()
>>
>>> updatePosPL(p, "IBM", '2007-01-01', '2007-01-31', Prices = Cl(get(Symbol)))
>> Error in updatePosPL(p, "IBM", "2007-01-01", "2007-01-31", Prices =
>> Cl(get(Symbol))) :
>> unused argument(s) ("2007-01-31")
>>> updatePosPL(p, "IBM", '2007-01-01', '2007-01-31', Prices = Cl(get(Symbol)))
>> Error in updatePosPL(p, "IBM", "2007-01-01", "2007-01-31", Prices =
>> Cl(get(Symbol))) :
>> unused argument(s) ("2007-01-31")
>>> updatePosPL(p, "IBM", '2007-01-01', Prices = Cl(get(Symbol)))
>> Error in get(Symbol) : object 'Symbol' not found
>>> updatePosPL(p, "IBM", '2007-01-01', Prices = Cl(get(symbol)))
>> Error in get(symbol) : object 'symbol' not found
>>
>> I also tried:
>>> updatePosPL(p, "IBM", '2007-01-01', Prices = Cl(IBM))
>> Error in if (any(i < 0)) { : missing value where TRUE/FALSE needed
>>
>>
>> At this point I am at a bit of a loss. I tried looking through some of
>> the stuff on R-Project to see if there are guidelines for code
>> examples and where and if they should work. I guess I would expect the
>> code examples include in the library or
>> "/usr/lib64/R/library/blotter/R-ex" to just work.
>>
>> So, I am I doing something glaringly wrong? Do I need to update my
>> version of R, xts, zoo or quantmod? I know I am on still on the steep
>> part of the learning curve as far as R in general is concerned and
>> specifically with time series and financial data with R but R texts
>> I've seen suggest that working through examples with real data and
>> known steps is a great way to learn. Successfully working through
>> examples allows one small sign posts of success along the way
>>
>> Any assistance would be appreciated.
>>
>> Jan
>>
>>
>>
>> Blotter example entered into R and responses after the first _________
>>
>> I tried looking at the output for "p", see below the second ______. It
>> appears to be included in the data.frame
>>
>> Values obtained through quantmod are below the third _______
>>
>> ________________________________
>>> library(blotter)
>> Loading required package: xts
>> Loading required package: zoo
>>
>> Attaching package: 'zoo'
>>
>>
>> The following object(s) are masked from package:base :
>>
>> as.Date.numeric
>>
>> xts now requires a valid TZ environment variable to be set
>> no TZ var is set, setting to TZ=GMT
>>> symbols = c("IBM","F","MMM")
>>> require(quantmod)
>> Loading required package: quantmod
>> Loading required package: Defaults
>> Loading required package: TTR
>>> getSymbols(symbols, from='2007-01-01', to='2007-01-31', index.class="POSIXct")
>> [1] "IBM" "F" "MMM"
>>> print('Creating portfolio \"p\"...')
>> [1] "Creating portfolio \"p\"..."
>>> p = initPortf(symbols=symbols)
>>> print('Adding trades to \"p\"...')
>> [1] "Adding trades to \"p\"..."
>>> # Make a couple of trades in IBM
>>> p = addTxn(p, "IBM", '2007-01-03', 50, 96.5, -0.05*50)
>> [1] "IBM 2007-01-03 50 @ 96.5"
>>> p = addTxn(p, "IBM", '2007-01-04', 50, 97.1, -0.05*50)
>> [1] "IBM 2007-01-04 50 @ 97.1"
>>> # ...a few in F.
>>> p = addTxn(p, "F", '2007-01-03', -100, 7.60, -0.05*100)
>> [1] "F 2007-01-03 -100 @ 7.6"
>>> p = addTxn(p, "F", '2007-01-04', 50, 7.70, -0.05*50)
>> [1] "F 2007-01-04 50 @ 7.7"
>>> p = addTxn(p, "F", '2007-01-10', 50, 7.78, -0.05*50)
>> [1] "F 2007-01-10 50 @ 7.78"
>>> # ...and some in MMM
>>> p = addTxn(p, "MMM", '2007-01-05', -50, 77.9, -0.05*50)
>> [1] "MMM 2007-01-05 -50 @ 77.9"
>>> p = addTxn(p, "MMM", '2007-01-08', 50, 77.6, -0.05*50)
>> [1] "MMM 2007-01-08 50 @ 77.6"
>>> p = addTxn(p, "MMM", '2007-01-09', 50, 77.6, -0.05*50)
>> [1] "MMM 2007-01-09 50 @ 77.6"
>> ___________
>>
>>
>> It appears that the transactions have been posted correctly
>>
>>> p
>> $IBM
>> $IBM$txn
>> Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Pos.Qty
>> 1950-01-01 0 0.0 0.0 0.0 0.00 0
>> 2007-01-03 50 96.5 -2.5 4827.5 96.55 50
>> 2007-01-04 50 97.1 -2.5 4857.5 97.15 100
>> Pos.Avg.Cost Realized.PL
>> 1950-01-01 0.00 0
>> 2007-01-03 96.55 0
>> 2007-01-04 96.85 0
>>
>> $IBM$posPL
>> Pos.Qty Pos.Value Txn.Value Txn.Fees Realized.PL Unrealized.PL
>> 1950-01-01 0 0 0 0 0 0
>> Trading.PL
>> 1950-01-01 0
>>
>>
>> $F
>> $F$txn
>> Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Pos.Qty
>> 1950-01-01 0 0.00 0.0 0.0 0.00 0
>> 2007-01-03 -100 7.60 -5.0 -755.0 7.55 -100
>> 2007-01-04 50 7.70 -2.5 387.5 7.75 -50
>> 2007-01-10 50 7.78 -2.5 391.5 7.83 0
>> Pos.Avg.Cost Realized.PL
>> 1950-01-01 0.00 0
>> 2007-01-03 7.55 0
>> 2007-01-04 7.35 -10
>> 2007-01-10 0.00 -24
>>
>> $F$posPL
>> Pos.Qty Pos.Value Txn.Value Txn.Fees Realized.PL Unrealized.PL
>> 1950-01-01 0 0 0 0 0 0
>> Trading.PL
>> 1950-01-01 0
>>
>>
>> $MMM
>> $MMM$txn
>> Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Pos.Qty
>> 1950-01-01 0 0.0 0.0 0.0 0.00 0
>> 2007-01-05 -50 77.9 -2.5 -3892.5 77.85 -50
>> 2007-01-08 50 77.6 -2.5 3882.5 77.65 0
>> 2007-01-09 50 77.6 -2.5 3882.5 77.65 50
>> Pos.Avg.Cost Realized.PL
>> 1950-01-01 0.00 0
>> 2007-01-05 77.85 0
>> 2007-01-08 0.00 10
>> 2007-01-09 77.65 0
>>
>> $MMM$posPL
>> Pos.Qty Pos.Value Txn.Value Txn.Fees Realized.PL Unrealized.PL
>> 1950-01-01 0 0 0 0 0 0
>> Trading.PL
>> 1950-01-01
>>
>> _________________________________________
>>
>>> IBM
>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>> 2007-01-03 97.18 98.40 96.26 97.27 9196800 92.84
>> 2007-01-04 97.25 98.79 96.88 98.31 10524500 93.83
>> 2007-01-05 97.60 97.95 96.91 97.42 7221300 92.98
>> 2007-01-08 98.50 99.50 98.35 98.90 10340000 94.40
>> 2007-01-09 99.08 100.33 99.07 100.07 11108200 95.51
>> 2007-01-10 98.50 99.05 97.93 98.89 8744800 94.39
>> 2007-01-11 99.00 99.90 98.50 98.65 8000700 94.16
>> 2007-01-12 98.99 99.69 98.50 99.34 6636500 94.82
>> 2007-01-16 99.40 100.84 99.30 100.82 9602200 96.23
>> 2007-01-17 100.69 100.90 99.90 100.02 8200700 95.47
>> 2007-01-18 99.80 99.95 98.91 99.45 14725000 94.92
>> 2007-01-19 95.00 96.85 94.55 96.17 26035800 91.79
>> 2007-01-22 96.42 97.23 96.12 97.11 13539300 92.69
>> 2007-01-23 96.91 97.38 96.20 97.08 10337400 92.66
>> 2007-01-24 97.08 97.58 96.58 97.40 5700000 92.96
>> 2007-01-25 97.22 97.92 97.22 97.51 6201300 93.07
>> 2007-01-26 97.52 97.83 96.84 97.45 5771100 93.01
>> 2007-01-29 97.70 98.66 97.45 98.54 7294800 94.05
>> 2007-01-30 98.57 99.45 98.50 99.37 7177900 94.84
>> 2007-01-31 98.80 99.48 98.35 99.15 6432600 94.63
>>> F
>> F.Open F.High F.Low F.Close F.Volume F.Adjusted
>> 2007-01-03 7.56 7.67 7.44 7.51 78652200 7.51
>> 2007-01-04 7.56 7.72 7.43 7.70 63454900 7.70
>> 2007-01-05 7.72 7.75 7.57 7.62 40562100 7.62
>> 2007-01-08 7.63 7.75 7.62 7.73 48938500 7.73
>> 2007-01-09 7.75 7.86 7.73 7.79 56732200 7.79
>> 2007-01-10 7.79 7.79 7.67 7.73 42397100 7.73
>> 2007-01-11 7.73 7.80 7.68 7.77 40020800 7.77
>> 2007-01-12 7.77 7.92 7.76 7.89 57053800 7.89
>> 2007-01-16 7.89 8.01 7.87 7.94 66699800 7.94
>> 2007-01-17 7.97 8.10 7.97 8.04 63728700 8.04
>> 2007-01-18 8.06 8.24 8.06 8.18 78375700 8.18
>> 2007-01-19 8.24 8.32 8.17 8.30 66023300 8.30
>> 2007-01-22 8.33 8.43 8.25 8.41 53554600 8.41
>> 2007-01-23 8.39 8.62 8.24 8.30 116406900 8.30
>> 2007-01-24 8.31 8.35 8.11 8.20 76821900 8.20
>> 2007-01-25 8.15 8.52 8.00 8.22 99688700 8.22
>> 2007-01-26 8.15 8.48 8.14 8.42 54421900 8.42
>> 2007-01-29 8.44 8.51 8.35 8.37 55791000 8.37
>> 2007-01-30 8.38 8.42 8.19 8.20 28763200 8.20
>> 2007-01-31 8.17 8.20 8.04 8.13 65038600 8.13
>>> MMM
>> MMM.Open MMM.High MMM.Low MMM.Close MMM.Volume MMM.Adjusted
>> 2007-01-03 77.53 78.85 77.38 78.26 3781500 72.40
>> 2007-01-04 78.40 78.41 77.45 77.95 2968400 72.11
>> 2007-01-05 77.89 77.90 77.01 77.42 2765200 71.62
>> 2007-01-08 77.42 78.04 76.97 77.59 2434500 71.78
>> 2007-01-09 78.00 78.23 77.44 77.68 1896800 71.86
>> 2007-01-10 77.31 77.96 77.04 77.85 1787500 72.02
>> 2007-01-11 78.05 79.03 77.88 78.65 2372500 72.76
>> 2007-01-12 78.41 79.50 78.22 79.36 2582200 73.42
>> 2007-01-16 79.48 79.62 78.92 79.56 2526600 73.60
>> 2007-01-17 79.33 79.51 78.75 78.91 2711300 73.00
>> 2007-01-18 78.71 79.70 78.60 78.81 1963000 72.91
>> 2007-01-19 79.09 79.88 78.82 79.25 2912100 73.32
>> 2007-01-22 79.25 79.29 78.13 78.49 2139300 72.61
>> 2007-01-23 78.71 79.15 78.33 78.85 1949500 72.95
>> 2007-01-24 78.85 79.66 78.85 79.49 1772700 73.54
>> 2007-01-25 79.56 79.75 78.83 79.01 2888700 73.09
>> 2007-01-26 78.97 79.19 78.23 78.69 1996300 72.80
>> 2007-01-29 78.54 79.20 78.25 78.96 3420300 73.05
>> 2007-01-30 74.92 76.18 74.24 74.70 15657900 69.11
>> 2007-01-31 74.21 74.68 73.09 74.30 9284500 68.74
>>
>> _______________________________________________
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>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan at insightalgo.com
>
> ia: insight algorithmics
> www.insightalgo.com
>
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