[R-SIG-Finance] Question on blotter: AddTxn() and Txn.Fee

[Brian G. Peterson]

xts version 0.7-6.8 (svn r547) fixes the issue


Thanks due to Josh Ulrich chasing it down on the weekend.

Regards,

    - Brian

On 11/14/2010 04:08 PM, Lei Jin wrote:
> Thank you, I will wait for the resolution.
>
> Lei
>
> On Sun, Nov 14, 2010 at 1:19 PM, Brian G. Peterson<brian at braverock.com>  wrote:
>> On Sun, 14 Nov 2010 12:56:44 -0800, Lei Jin<leijin56 at gmail.com>  wrote:
>>> Thank you for the quick response.  I will give it a try.
>>
>>
>> We have discovered that a bug was introduced into xts.  SVN r532
>> works, and it breaks sometime after that.  The simplest thing, for now,
>> would be to either load an older version of xts, or to wait for us to sort
>> it out.
>>
>>
>>> BTW, where do I suppose to use round()?  I am still new to R.
>>
>> for example:
>>
>> round(getAccount("longtrend"),2)
>>
>>
>> We'll let you know once we chase down the bug.
>>
>>    - Brian
>>
>>> Lei
>>>
>>> On Sun, Nov 14, 2010 at 10:28 AM, Brian G. Peterson
>> <brian at braverock.com>
>>> wrote:
>>>> It would have been easier to read if you had used 'round()', but I get
>>>> zeros in the fees for the longtrend demo.
>>>>
>>>> Transaction P&L is reported by 'getTxns', not 'getAccount'
>>>>
>>>> It does appear that there may be a bug in the latest xts that may be
>>>> affecting blotter, though.  Jeff and Josh have been making subsetting
>>>> faster, and blotter relies heavily on xts subsetting.
>>>>
>>>> I'll investigate and let you know.
>>>>
>>>> Regards,
>>>>
>>>>   - Brian
>>>>
>>>> On 11/14/2010 11:13 AM, Lei Jin wrote:
>>>>>
>>>>> Hi,
>>>>>
>>>>> I am trying running the longtrend.r demo from blotter installed
>>>>> directory.  And I noticed something I don't understand.  After run the
>>>>> demo, I did
>>>>> print(getAccount("longtrend"))
>>>>>
>>>>> Txn.Fees is not 0 (note that the Txn.Fee is set to 0 in the addTxn()
>>>>> call in the demo script).
>>>>>
>>>>>                       Unrealized.PL Gross.Trading.PL      Txn.Fees
>>>>> Net.Trading.PL
>>>>> 1997-12-31  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1998-10-30  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1998-11-30  0.000000e+00     5.911360e+03  5.911360e+03   5.911360e+03
>>>>> 1998-12-31  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-01-29  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-02-26  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-03-31  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-04-30  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-05-28  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-06-30  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-07-30  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-08-31  0.000000e+00     0.000000e+00  0.000000e+00   0.000000e+00
>>>>> 1999-09-30  1.674764e+04     9.997897e+04  1.167266e+05   1.167266e+05
>>>>> 1999-10-29  0.000000e+00     1.497264e+08  1.497264e+08   1.497264e+08
>>>>> 1999-11-30  0.000000e+00     4.234740e+03  4.234740e+03   4.234740e+03
>>>>>
>>>>> Am I missing something?
>>>>>
>>>>> lji
>>>>>
>>>>> _______________________________________________
>>>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>>>> -- Also note that this is not the r-help list where general R
>> questions
>>>>> should go.
>>>>
>>>>
>>>> --
>>>> Brian G. Peterson
>>>> http://braverock.com/brian/
>>>> Ph: 773-459-4973
>>>> IM: bgpbraverock
>>>>
>>
>> --
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>>
>
>
>


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock