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

[Sergey Pisarenko]

Hi,

Sorry for not following up sooner as I had been away for a week. I
have been able to further narrow down the problem. It occurs in the
sizing function and only when there are too many symbols. I have
further trimmed down the sample code.

I will continue troubleshooting this function. Do you have any ideas
that would point me in the right direction?

/Sergey

On Fri, Feb 17, 2012 at 9:11 PM, Sergey Pisarenko <drseergio at gmail.com> wrote:
> 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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