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

[Sergey Pisarenko]

Garett,

Thank you for the response and looking into this. The same is observed
when I use MySQL (I keep a copy of data on a local DB). Yahoo does not
have data for all symbols as well so this might explain some of the
404s.

/Sergey

On Fri, Feb 17, 2012 at 12:08 PM, G See <gsee000 at gmail.com> wrote:
> 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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