[R-SIG-Finance] Blotter package - problem with example.

[Brian G. Peterson]

Jan,

I believe that Josh has updated his example on the FOSStrading site.

demo('longtrend') should work as expected.
demo('turtles') is broken, I haven't gotten around to updating it yet
demo('amzn') is working

'blotter' is currently under very heavy development to integrate more 
complex instrument types and multiple currencies.

Last week, the interfaces of several of the core functions changed with 
the introduction of an environment to store trade, position, and P&L data.

As such, old examples will be broken until updated.

addTxn(), for example, no longer returns a portfolio object, but instead 
assigns the updated portfolio back into the environment.

Take a look at the two working examples (above) and then I'd be happy to 
help make your example work on the new code if you're still having trouble.

The good news is that much of the major surgury is completed, and the 
code is much faster than it was a couple weeks ago, and more flexible.

Regards,

    - Brian

Jan Vandermeer wrote:
> Hi Folks;
>
> Seems that dissimilar but related problems happen with blotter for me. See <
> https://stat.ethz.ch/pipermail/r-sig-finance/2009q4/005014.html>
>
> I was playing with the FOSS Trading blog example Tactical Asset Allocation
> Using Blotter <
> http://blog.fosstrading.com/2009/11/tactical-asset-allocation-using-blotter.html>
> and initially it ran faultlessly. I then updated my R packages, this this:
>
> update.packages() using a local mirror (University of Waterloo) and example
> no longer worked.
>
> When I reran the tactical example R spat out:
>
> "source("tactical.R") -  (This is a verbatim copy of Josh's code in the
> article)
> Loading required package: xts
> Loading required package: zoo
> Loading required package: Defaults
> Loading required package: TTR
> Loading required package: FinancialInstrument
>
> Package PerformanceAnalytics (1.0.0) loaded.
> Econometric tools for performance and risk analysis.
> (c) 2004-2009 Peter Carl, Brian G. Peterson. License: GPL
> http://braverock.com/R/
>
>
> Attaching package: 'PerformanceAnalytics'
>
>
>         The following object(s) are masked from package:graphics :
>
>          legend
>
> [1] "Loading data"
> [1] "Setting up indicators"
> [1] "Initializing portfolio and account structure"
> Error in vector("list", length = length(symbols)) : element 1 is empty;
>    the part of the args list of 'length' being evaluated was:
>    (symbols)
>
>
> I then went and tried the example in the blotter package. It did not work
> either and I then tried Jeff Ryan's suggestion and updated
> blotter, xts & quantmod and reran the example:
>
> # Construct a portfolio object and add some transactions
> library(blotter)
> # Download price data
> symbols = c("IBM","F","MMM")
> require(quantmod)
> getSymbols(symbols, from='2007-01-01', to='2007-01-31',
> index.class="POSIXct")
>
> # Initialize a portfolio object 'p'
> print('Creating portfolio \"p\"...')
> p = initPortf(symbols=symbols)
>
> ## Trades must be made in date order.
> print('Adding trades to \"p\"...')
> # Make a couple of trades in IBM
> p = addTxn(p, "IBM", '2007-01-03', 50, 96.5, -0.05*50)
> p = addTxn(p, "IBM", '2007-01-04', 50, 97.1, -0.05*50)
>
> # ...a few in F...
> p = addTxn(p, "F", '2007-01-03', -100, 7.60, -0.05*100)
> p = addTxn(p, "F", '2007-01-04', 50, 7.70, -0.05*50)
> p = addTxn(p, "F", '2007-01-10', 50, 7.78, -0.05*50)
>
> # ...and some in MMM
> p = addTxn(p, "MMM", '2007-01-05', -50, 77.9, -0.05*50)
> p = addTxn(p, "MMM", '2007-01-08', 50, 77.6, -0.05*50)
> p = addTxn(p, "MMM", '2007-01-09', 50, 77.6, -0.05*50)
>
> print('Updating portfolio \"p\"...')
> p = updatePortf(p,'2007-01')
> calcPortfSummary(p)
> getBySymbol(p,'Pos.Qty')
>
> print('Creating account \"a\" for portfolio \"p\"...')
> a = initAcct(portfolios="p")
> print('Updating account \"a\"...')
> a = updateAcct(a,'2007-01') # Check out the sweet date scoping. Thanks, xts.
> a = updateEndEq(a,'2007-01')
> print(a)
>
> which gave me:
>
> source("Blotter_ex.R")
> Loading required package: xts
> Loading required package: zoo
> Loading required package: quantmod
> Loading required package: Defaults
> Loading required package: TTR
> Loading required package: FinancialInstrument
> [1] "Creating portfolio \"p\"..."
> [1] "Adding trades to \"p\"..."
> [1] "2007-01-03 IBM 50 @ 96.5"
> Error in get(paste("portfolio", pname, sep = "."), envir = .blotter) :
>   object 'portfolio.list(txn = c(0, 50, 0, 96.5, 0, 0, 0, 4825, 0, 96.5, 0,
> 50, 0, 96.5, 0, 0, 0, 1), posPL = c(0, 1, 1, 0, 0, 0, 0, 0, 0))' not found
> In addition: Warning message:
> In addTxn(p, "IBM", "2007-01-03", 50, 96.5, -0.05 * 50) :
>   Instrument IBM  not found, using contract multiplier of 1
>
> I've tried to puzzle my way through this. I seems that there are updates
> that introduce these different errors. Are they related ?
>
> Any assistance would be appreciated.
>
> Jan Vandermeer
>
> 	[[alternative HTML version deleted]]
>
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock