[R-SIG-Finance] quantstrat: getting an error when using many symbols and %-based order sizing function

[Sergey Pisarenko]

Greetings to the R finance community,

I have written a sizing function (pretty much a slight modification of
a function from Guy Yollin's slides). The problem is that it fails
whenever I use many symbols. It works fine for one or few symbols.

The problem manifests itself inside of the sizing function, when
updatePortf is run. The error I get is:
> source('tainted_2.R')
Error in if (nzchar(intervals[1])) s <- as.POSIXlt(do.call(firstof,
parse.side(intervals[1]))) :
  argument is of length zero

Traceback:
> traceback()
13: xts:::.parseISO8601(Dates)
12: first(xts:::.parseISO8601(Dates))
11: .updatePosPL(Portfolio = pname, Symbol = as.character(symbol),
        Dates = Dates, Prices = Prices, ... = ...)
10: updatePortf(Portfolio = portfolio, Dates = paste("::", as.Date(timestamp),
        sep = "")) at tainted_2.R#100
9: osFUN(strategy = strategy, data = data, timestamp = timestamp,
       orderqty = orderqty, ordertype = ordertype, orderside = orderside,
       portfolio = portfolio, symbol = symbol, ... = ..., ruletype = ruletype,
       orderprice = as.numeric(orderprice))
8: function (data = mktdata, timestamp, sigcol, sigval, orderqty = 0,
       ordertype, orderside = NULL, threshold = NULL, tmult = FALSE,
       replace = TRUE, delay = 1e-04, osFUN = "osNoOp", pricemethod =
c("market",
           "opside", "active"), portfolio, symbol, ..., ruletype,
       TxnFees = 0, prefer = NULL, sethold = FALSE)
...
7: do.call(fun, .formals)
6: ruleProc(strategy$rules[[type]], timestamp = timestamp, path.dep = path.dep,
       mktdata = mktdata, portfolio = portfolio, symbol = symbol,
       ruletype = type, mktinstr = mktinstr, ...)
5: applyRules(portfolio = portfolio, symbol = symbol, strategy = strategy,
       mktdata = mktdata, Dates = NULL, indicators = sret$indicators,
       signals = sret$signals, parameters = parameters, ..., path.dep = TRUE)
4: applyStrategy(strategy = "s", portfolios = "p")
3: eval.with.vis(expr, envir, enclos)
2: eval.with.vis(ei, envir)
1: source("tainted_2.R")

The sizing function looks like:

osPercentEquity <- function(timestamp, orderqty, portfolio, symbol,
ruletype, ...) {
  posn <- getPosQty(portfolio, symbol, timestamp)
  if (posn == 0) {
    tempPortfolio <- getPortfolio(portfolio)
    dummy <- updatePortf(Portfolio=portfolio, Dates=paste('::',
as.Date(timestamp), sep=''))     # <<<<<< this is where it fails
    trading.pl <- sum(getPortfolio(portfolio)$summary$Net.Trading.PL)
    assign(paste("portfolio.", portfolio, sep=""), tempPortfolio, pos=.blotter)
    total.equity <- equity + trading.pl
    tradeSize <- total.equity * prcTrade
    ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
    orderqty <- sign(orderqty) * round(tradeSize / ClosePrice)
    return(orderqty)
  }
}

The add.rule looks like:
s <- add.rule(strategy=s, name='ruleSignal',
arguments=list(data=quote(mktdata), sigcol='buySig', sigval=TRUE,
orderqty=qtyDef, ordertype='market', orderside=NULL, threshold=NULL,
osFUN='osPercentEquity', ruletype='enter'), type='enter')

Traceback suggests that there is a problem with the date format. I
have inserted print statements and verified that the date itself is
fine. It is also weird that the issue does not occur when using few
symbols.

I have attached runnable code that reproduces the problem. Please
excuse any apparent inefficiencies you see. I would like to get
strategy working first and then optimize for performance.

Is there something wrong with the approach I have taken? Once the
number of symbols is reduced the problem does not trigger.

Truly appreciate your help.

--
Kind Regards,
Sergey Pisarenko.
-------------- next part --------------
A non-text attachment was scrubbed...
Name: tainted_2.R
Type: application/octet-stream
Size: 5148 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20120217/c842422f/attachment.obj>