[R-SIG-Finance] Blotter package - problem with example.
Robert Iquiapaza
rbali at ufmg.br
Mon Mar 1 20:24:04 CET 2010
Another problem:
It appears to be with index in quantmod
#In my case the result after running
getSymbols('^GSPC', src='yahoo',
index.class=c("POSIXt","POSIXct"),from='1998-01-01')
GSPC
#is problematic, the last observation has <NA> index!
....
2010-02-22 1110.00 1112.29 1105.38 1108.01 3814440000 1108.01
2010-02-23 1107.49 1108.58 1092.18 1094.60 4521050000 1094.60
2010-02-24 1095.89 1106.42 1095.50 1105.24 4168360000 1105.24
2010-02-25 1101.24 1103.50 1086.02 1102.94 4521130000 1102.94
2010-02-26 1103.10 1107.24 1097.56 1104.49 3945190000 1104.49
<NA> 1130.51 1140.48 1128.12 1130.56 1659000000 1130.56
GSPC=to.monthly(GSPC, indexAt='endof')
GSPC
...
2010-01-29 1116.56 1150.45 1071.59 1073.87 90947579600
1073.87
2010-02-26 1073.89 1112.42 1044.50 1104.49 84561340000
1104.49
<NA> 1130.51 1140.48 1128.12 1130.56 1659000000
1130.56
#So, the next sentence gives an error
> print("Setting up indicators")
[1] "Setting up indicators"
> GSPC$SMA10m <- SMA(GSPC[,grep('Adj',colnames(GSPC))], 10)
nan, nan
Error in merge.xts(..., all = all, fill = fill, suffixes = suffixes) :
'NA' not allowed in 'index'
#If I drop the last observation, inserting the following code after
to.monthly,
GSPC <- GSPC[1:(length(GSPC[,1])-1),]
#Then, everything goes well with the example.
Any ideas what could be wrong?
I have already reinstall some packages and the problem continues:
install.packages("TTR", repos="http://R-Forge.R-project.org")
install.packages("xts", repos="http://R-Forge.R-project.org")
install.packages("quantmod", repos="http://R-Forge.R-project.org")
install.packages("FinancialInstrument",
repos="http://R-Forge.R-project.org")
Here is my system information:
> R.version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 10.1
year 2009
month 12
day 14
svn rev 50720
language R
version.string R version 2.10.1 (2009-12-14)
> sessionInfo()
R version 2.10.1 (2009-12-14)
i386-pc-mingw32
locale:
[1] LC_COLLATE=Portuguese_Brazil.1252 LC_CTYPE=Portuguese_Brazil.1252
[3] LC_MONETARY=Portuguese_Brazil.1252 LC_NUMERIC=C
[5] LC_TIME=Portuguese_Brazil.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] blotter_0.4 FinancialInstrument_0.0.2 quantmod_0.3-14
[4] TTR_0.20-1 Defaults_1.1-1 xts_0.7-1
[7] zoo_1.6-2
loaded via a namespace (and not attached):
[1] grid_2.10.1 lattice_0.18-3
Regards,
Robert
--------------------------------------------------
From: "Brian G. Peterson" <brian at braverock.com>
Sent: Monday, March 01, 2010 1:14 PM
To: "Mark Breman" <breman.mark at gmail.com>
Cc: <r-sig-finance at stat.math.ethz.ch>; "kafkaz" <kafka at centras.lt>
Subject: Re: [R-SIG-Finance] Blotter package - problem with example.
> Mark Breman wrote:
>> Hi kafkaz,
>>
>> I also have this problem with the 0 size transactions if I run the
>> demo(longtrend).
>>
>> It looks like there is a small bug in the longtrend.R script in the demo
>> directory. The account is not initialized with a beginning equity.
>>
>> replace the line:
>> initAcct(ltaccount,portfolios='longtrend', initDate=initDate)
>>
>> with:
>> initAcct(ltaccount,portfolios='longtrend', initDate=initDate,
>> initEq=initEq)
>>
>> Save the modification and run "demo(longtrend) again. This solved it for
>> me.
>>
>
> Thanks Mark (and Daniel and kafkaz for the confirmation). I've updated
> the demo code and committed the changes to svn on R-Forge.
>
> Regards,
>
> - Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
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