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

[Robert Iquiapaza]

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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