[R-SIG-Finance] bug in updatePortf
kidA
jbherman at gmail.com
Sun Feb 5 16:57:06 CET 2012
ALSO: If I call updatePortf with "Dates=paste(startDate,endDate,"::"))" the
p$summary table has all the roles corresponding to intraday PnL, but those
rows have incorrect Long/Short/Net/Gross values which only account for the
exposure of the individual transactions. Note the Long.Value of 1020304 on
2008-09-30 11:27:38.586 that "skips a beat" on the next row (which comes
from a different symbols posPL table) only to return on the next common end
of day price stamp at 2008-10-01 1020648. *So PnLs are complete, while
exposures are not reliable.*
> p$summary['2008-09-28/2008-10-8']
Long.Value Short.Value Net.Value Gross.Value
Period.Realized.PL Period.Unrealized.PL Gross.Trading.PL Txn.Fees
Net.Trading.PL
2008-09-29 00:00:00.000 0 0 0 0
0.00 0 0.00 0.000 0.000
2008-09-30 00:00:00.000 0 0 0 0
0.00 0 0.00 0.000 0.000
2008-09-30 11:27:38.586 1020304 0 1020304 1020304
0.00 20984 20984.00 -1498.980 19485.020
2008-09-30 15:03:12.137 0 -1011574 -1011574 1011574
0.00 -14062 -14062.00 -1496.268 -15558.268
2008-10-01 00:00:00.000 1020648 -971168 49480 1991816
0.00 40750 40750.00 0.000 40750.000
2008-10-01 16:00:00.000 0 0 0 0
17471.59 -26344 -8872.41 -1470.061 -10342.471
2008-10-02 00:00:00.000 968016 0 968016 968016
0.00 -52632 -52632.00 0.000 -52632.000
2008-10-03 00:00:00.000 972832 0 972832 972832
0.00 4816 4816.00 0.000 4816.000
2008-10-06 00:00:00.000 928456 0 928456 928456
0.00 -44376 -44376.00 0.000 -44376.000
2008-10-06 16:00:00.000 0 0 0 0
-78081.12 70864 -7217.12 -1381.858 -8598.978
2008-10-07 00:00:00.000 0 0 0 0
0.00 0 0.00 0.000 0.000
2008-10-08 00:00:00.000 0 0 0 0
0.00 0 0.00 0.000 0.000
> p$symbols$`A-US`$txn
Txn.Qty Txn.Price Txn.Value Txn.Avg.Cost Pos.Qty
Pos.Avg.Cost Gross.Txn.Realized.PL Txn.Fees Net.Txn.Realized.PL Con.Mult
1950-01-01 00:00:00.000 0 0.0000 0.0 0.0000 0
0.00 0.00 0.000 0.00 0
2008-09-30 11:27:38.586 34400 29.0500 999320.0 29.0500 34400
29.05 0.00 -1498.980 -1498.98 1
2008-10-06 16:00:00.000 -34400 26.7802 -921238.9 26.7802 0
0.00 -78081.12 -1381.858 -79462.98 1
> p$symbols$`AAPL-US`$txn
Txn.Qty Txn.Price Txn.Value Txn.Avg.Cost Pos.Qty
Pos.Avg.Cost Gross.Txn.Realized.PL Txn.Fees Net.Txn.Realized.PL Con.Mult
1950-01-01 00:00:00.000 0 0.0000 0.0 0.0000 0
0.00 0.00 0.000 0.000 0
2008-09-30 15:03:12.137 -8900 112.0800 -997512.0 112.0800 -8900
112.08 0.00 -1496.268 -1496.268 1
2008-10-01 16:00:00.000 8900 110.1169 980040.4 110.1169 0
0.00 17471.59 -1470.061 16001.529 1
> p$symbols$`A-US`$posPL['2008-09-28/2008-10-8']
Pos.Qty Con.Mult Ccy.Mult Pos.Value Pos.Avg.Cost
Txn.Value Period.Realized.PL Period.Unrealized.PL Gross.Trading.PL Txn.Fees
Net.Trading.PL
2008-09-29 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.000
2008-09-30 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.000
2008-09-30 11:27:38.586 34400 1 1 1020304 29.05
999320.0 0.00 20984 20984.00 -1498.980
19485.020
2008-10-01 00:00:00.000 34400 1 1 1020648 0.00
0.0 0.00 344 344.00 0.000
344.000
2008-10-02 00:00:00.000 34400 1 1 968016 0.00
0.0 0.00 -52632 -52632.00 0.000
-52632.000
2008-10-03 00:00:00.000 34400 1 1 972832 0.00
0.0 0.00 4816 4816.00 0.000
4816.000
2008-10-06 00:00:00.000 34400 1 1 928456 0.00
0.0 0.00 -44376 -44376.00 0.000
-44376.000
2008-10-06 16:00:00.000 0 1 1 0 0.00
-921238.9 -78081.12 70864 -7217.12 -1381.858
-8598.978
2008-10-07 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.000
2008-10-08 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.000
> p$symbols$`AAPL-US`$posPL['2008-09-28/2008-10-8']
Pos.Qty Con.Mult Ccy.Mult Pos.Value Pos.Avg.Cost
Txn.Value Period.Realized.PL Period.Unrealized.PL Gross.Trading.PL Txn.Fees
Net.Trading.PL
2008-09-29 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.00
2008-09-30 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.00
2008-09-30 15:03:12.137 -8900 1 1 -1011574 112.08
-997512.0 0.00 -14062 -14062.00 -1496.268
-15558.27
2008-10-01 00:00:00.000 -8900 1 1 -971168 0.00
0.0 0.00 40406 40406.00 0.000
40406.00
2008-10-01 16:00:00.000 0 1 1 0 0.00
980040.4 17471.59 -26344 -8872.41 -1470.061
-10342.47
2008-10-02 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.00
2008-10-03 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.00
2008-10-06 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.00
2008-10-07 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.00
2008-10-08 00:00:00.000 0 1 1 0 0.00
0.0 0.00 0 0.00 0.000
0.00
>
--
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