[R-SIG-Finance] quantstrat example stragey error

[Joshua Ulrich]

Have you tried converting the indexes of your xts objects to POSIXct?
You haven't provided any code, but my guess is that one of xts objects
you're using as input has a Date-classed index.
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Tue, Mar 1, 2011 at 6:52 AM, Immanuel <mane.desk at googlemail.com> wrote:
> Hello,
>
> what are the implications of this error, is there a workaround?
> I'm just starting with quantstrat and really like the idea to implement
> strategies not directly with blotter anymore.
>
> regards,
> Immanuel
>
> On 02/26/2011 09:48 PM, Jeffrey Ryan wrote:
>> Yes, that isn't an xts issue - just happens to be taking place during a
>> subset.
>>
>> The issue is somewhere else
>>
>> 3: In `[.xts`(PosData, index(PosData) < Date) :
>>  Incompatible methods ("Ops.POSIXt", "Ops.Date") for "<"
>> Time difference of 0.387223 secs
>>
>> The lhs [index(PosData)] is POSIX and the rhs is Date, which R can't compare
>> correctly.  The warning is happening - and probably resulting in all TRUE
>> values - which isn't likely the desired outcome.
>>
>> I'm not looking at the code at the moment, but you can rule out xts.  There
>> are likely better ways to do this with xts, and I'll see what I can do to
>> make the quantstrat code use more of the built-in xts functionality.
>>
>> Jeff
>>
>>
>> On Sat, Feb 26, 2011 at 12:34 PM, Immanuel <mane.desk at googlemail.com> wrote:
>>
>>> hello,
>>> seems to be already installed:
>>> ----------
>>> [1] "2001-06-26 AAPL 100 @ 11.88"
>>> Error in if (getPosQty(Portfolio = portfolio, Symbol = symbol, Date =
>>> timestamp) ==  :
>>>  argument is of length zero
>>> In addition: Warning messages:
>>> 1: In match.names(columns, colnames(data)) :
>>>  all columns not located in ma50 ma200 for AAPL.Open AAPL.High AAPL.Low
>>> AAPL.Close AAPL.Volume AAPL.Adjusted ma50 ma200 ma50.gt.ma200
>>> 2: In max(i) : no non-missing arguments to max; returning -Inf
>>> 3: In `[.xts`(PosData, index(PosData) < Date) :
>>>  Incompatible methods ("Ops.POSIXt", "Ops.Date") for "<"
>>> Time difference of 0.387223 secs
>>> [1] "trade blotter portfolio update:"
>>> Time difference of 0.7028229 secs
>>> Warning message:
>>> In max(i) : no non-missing arguments to max; returning -Inf
>>>> sessionInfo()
>>> R version 2.12.1 (2010-12-16)
>>> Platform: i486-pc-linux-gnu (32-bit)
>>>
>>> locale:
>>>  [1] LC_CTYPE=en_US.UTF-8          LC_NUMERIC=C
>>>  [3] LC_TIME=en_US.UTF-8           LC_COLLATE=en_US.UTF-8
>>>  [5] LC_MONETARY=en_US.UTF-8       LC_MESSAGES=en_US.UTF-8
>>>  [7] LC_PAPER=en_US.UTF-8          LC_NAME=en_US.UTF-8
>>>  [9] LC_ADDRESS=en_US.UTF-8        LC_TELEPHONE=en_US.UTF-8
>>> [11] LC_MEASUREMENT=en_US.UTF-8    LC_IDENTIFICATION=en_US.UTF-8
>>>
>>> attached base packages:
>>> [1] stats     graphics  grDevices utils     datasets  methods   base
>>>
>>> other attached packages:
>>> [1] quantstrat_0.4.0        blotter_0.8             FinancialInstrument_0.4
>>> [4] quantmod_0.3-15         Defaults_1.1-1          TTR_0.20-2
>>> [7] xts_0.8-0               zoo_1.6-4               rj_0.5.0-5
>>>
>>> loaded via a namespace (and not attached):
>>> [1] grid_2.12.1     lattice_0.19-17 rJava_0.8-7     tools_2.12.1
>>> ------------------
>>>
>>> On 02/26/2011 06:07 PM, Brian G. Peterson wrote:
>>>> On 02/26/2011 11:03 AM, Immanuel wrote:
>>>>> I just run the examples from the quantstrat package and
>>>>> received following error for every example:
>>>>> ----------
>>>> <...>
>>>>
>>>>> 2: In `[.xts`(PosData, index(PosData)<  Date) :
>>>>>    Incompatible methods ("Ops.POSIXt", "Ops.Date") for "<"
>>>>> any ideas?
>>>> Try upgrading xts to the latest version (0.8) from R-Forge or CRAN
>>>>
>>>> _______________________________________________
>>>> R-SIG-Finance at r-project.org mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>>> -- Also note that this is not the r-help list where general R
>>>> questions should go.
>>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>
>>
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>