[R-SIG-Finance] adjustedPrice or raw Price in blotter
Lei Jin
leijin56 at gmail.com
Sat Dec 11 20:12:07 CET 2010
Hi,
I would like to get some advice on what Price should I use in
backtesting with blotter. For example, I just ran a script with
adjustedPrice. In my script, I have
symbol<-adjustOHLC(symbol,use.Adjusted=T)
But I noticed that blotter function updatePosPL() gets its price using
the rawPrice. Therefore, it seems to me that I can't use adjustOHLC
with blotter. But then, how do you adjust for event like split,
dividend, in the script.
=================================================================================
.updatePosPL <- function(Portfolio, Symbol, Dates=NULL, Prices=NULL,
ConMult=NULL, ...)
{ # @author Peter Carl, Brian Peterson
rmfirst=FALSE
pname<-Portfolio
Portfolio<-getPortfolio(pname)
p.ccy.str<-attr(Portfolio,'currency')
if(is.null(p.ccy.str)) p.ccy.str<-'NA'
tmp_instr<-try(getInstrument(Symbol))
if(inherits(tmp_instr,"try-error") | !is.instrument(tmp_instr)){
warning(paste("Instrument",Symbol," not found, things may break"))
}
if(is.null(Prices)){
prices=getPrice(get(Symbol, envir=as.environment(.GlobalEnv)))
<======= gets the raw price
}
=================================================================================
Thanks,
-lji
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