[R-SIG-Finance] Error in Blotter's Longtrend Demo

[Wolfgang Wu]

It seems like the error happens in the first iteration of the loop with i=10 on the following statement:

> updatePortf(ltportfolio, Dates = CurrentDate)
Error: object 'ConMult' not found

> CurrentDate
[1] "1998-10-30 GMT"
> Port <- getPortfolio(ltportfolio)
> Port
$GSPC
$GSPC$txn
           Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Pos.Qty Pos.Avg.Cost Realized.PL Con.Mult
1997-12-31       0      0.00        0      0.00         0.00       0         0.00           0        0
1998-10-30      91   1098.67        0  99978.97      1098.67      91      1098.67           0        1

$GSPC$posPL
           Pos.Qty Con.Mult Ccy.Mult Pos.Value Txn.Value Txn.Fees Realized.PL Unrealized.PL Trading.PL
1997-12-31       0        1        1         0         0        0           0             0          0


attr(,"class")
[1] "blotter_portfolio" "portfolio"        


Thanks.

Regards,

 Wolfgang Wu





----- Ursprüngliche Mail ----
Von: Wob Wu <wobwu22 at yahoo.de>
An: r-sig-finance at stat.math.ethz.ch
Gesendet: Donnerstag, den 25. März 2010, 8:37:31 Uhr
Betreff: [R-SIG-Finance] Error in Blotter's Longtrend Demo

I am trying to reproduce the longtrend example in the current blotter package.

> require('blotter')
Loading required package: blotter
Loading required package: FinancialInstrument
> demo('longtrend')

The demo breaks after the for loop with the error: object 'ConMult' not found. 
Is this a known issue or am I doing something wrong?

I have compared my R settings with Brian's examples in http://ethos.braverock.com/brian/longtrend/sessioninfo.txt
My xts and zoo package seem to be newer than the ones in the example settings. Is this causing the problem? 

Maybe someone can point me to the right direction.

My current setup is the following:

> 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=English_United Kingdom.1252  LC_CTYPE=English_United Kingdom.1252    LC_MONETARY=English_United Kingdom.1252
[4] LC_NUMERIC=C                            LC_TIME=English_United Kingdom.1252    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base    

other attached packages:
[1] PerformanceAnalytics_1.0.2 blotter_0.4                FinancialInstrument_0.0.2  quantmod_0.3-14            TTR_0.20-1                
[6] Defaults_1.1-1             xts_0.7-1                  zoo_1.6-3                

loaded via a namespace (and not attached):
[1] grid_2.10.1    lattice_0.18-3 tools_2.10.1  



And here is the code snippet of the demo('longtrend') that is breaking:

> # Create trades
> for( i in 10:NROW(GSPC) ) { 
+     # browser()
+     CurrentDate=time(GSPC)[i]
+     cat(".")
+     equity = getEndEq(ltaccount, CurrentDate)
+ 
+     ClosePrice = as.numeric(Ad(GSPC[i,]))
+     Posn = getPosQty(ltportfolio, Symbol='GSPC', Date=CurrentDate)
+     UnitSize = as.numeric(trunc(equity/ClosePrice))
+ 
+     # Position Entry (assume fill at close)
+     if( Posn == 0 ) { 
+     # No position, so test to initiate Long position
+         if( as.numeric(Ad(GSPC[i,])) > as.numeric(GSPC[i,'SMA10m']) ) { 
+             cat('\n')
+             # Store trade with blotter
+             addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0, verbose=verbose)
+         } 
+     } else {
+     # Have a position, so check exit
+         if( as.numeric(Ad(GSPC[i,]))  <  as.numeric(GSPC[i,'SMA10m'])) { 
+             cat('\n')
+             # Store trade with blotter
+             addTxn(ltportfolio, Symbol='GSPC', TxnDate=CurrentDate, TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0, verbose=verbose)
+         } 
+     }
+ 
+     # Calculate P&L and resulting equity with blotter
+     updatePortf(ltportfolio, Dates = CurrentDate)
+     updateAcct(ltaccount, Dates = CurrentDate)
+     updateEndEq(ltaccount, Dates = CurrentDate)
+ } # End dates loop
.
[1] "1998-10-30 GSPC 91 @ 1098.67"
Error: object 'ConMult' not found
In addition: There were 15 warnings (use warnings() to see them)

Thanks for your help!

Regards,

Wolfgang Wu


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