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

[G See]

I've been having trouble with yahoo over the last 24 hours or so.
Sometimes, it returns data; sometimes it doesn't

> watched <- c("A", "AA", "AAN", "AAP", "AAT", "AAV")
> getSymbols(watched, src='yahoo', verbose=FALSE)
pausing 1 second between requests for more than 5 symbols
pausing 1 second between requests for more than 5 symbols
[1] "A"   "AA"  "AAN" "AAP" "AAT" "AAV"
> getSymbols(watched, src='yahoo', verbose=FALSE)
Error in download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,  :
  cannot open URL
'http://chart.yahoo.com/table.csv?s=AAT&a=0&b=01&c=2007&d=1&e=17&f=2012&g=d&q=q&y=0&z=AAT&x=.csv'
In addition: Warning message:
In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,  :
  cannot open: HTTP status was '404 Not Found'


HTH,
Garrett

On Fri, Feb 17, 2012 at 2:01 PM, Sergey Pisarenko <drseergio at gmail.com> wrote:
> 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.
>
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