[R-SIG-Finance] quantstrat: getting an error when using many symbols and %-based order sizing function
Sergey Pisarenko
drseergio at gmail.com
Mon Feb 27 07:18:18 CET 2012
Hi,
Going even deeper I see that the problem occurs inside of .updatePosPL
function (blotter) where dates are extracted:
> updatePortf(Portfolio='p', Dates=paste('2009-01-01', '::', '2009-04-06', sep=''))
Error in if (nzchar(intervals[1])) s <- as.POSIXlt(do.call(firstof,
parse.side(intervals[1]))) :
argument is of length zero
> traceback()
4: xts:::.parseISO8601(Dates)
3: first(xts:::.parseISO8601(Dates))
2: .updatePosPL(Portfolio = pname, Symbol = as.character(symbol),
Dates = Dates, Prices = Prices, ... = ...)
1: updatePortf(Portfolio = "p", Dates = paste("2009-01-01", "::",
"2009-04-06", sep = ""))
I have looked in source code blotter / R / updatePortf.R and I see
the following lines:
startDate = first(xts:::.parseISO8601(Dates))$first.time-1 #does this
need to be a smaller/larger delta for millisecond data?
endDate = last(xts:::.parseISO8601(Dates))$last.time
Apparently, the problem occurs in the "startDate" calculation. I tried
manually calling xts:::.parseISO8601('2009-04-06') and
xts:::.parseISO8601('::2009-04-06') and it works OK.
Any ideas why xts:::.parse would be failing during script execution?
--
Kind Regards,
Sergey Pisarenko.
On Mon, Feb 27, 2012 at 6:51 AM, Sergey Pisarenko <drseergio at gmail.com> wrote:
> Hi,
>
> The specific line this occurs at is:
>
> dummy <- updatePortf(Portfolio=portfolio, Dates=paste('::',
> as.Date(timestamp), sep=''))
>
> The function is inside of the sizing function. I have checked that
> timestamp is valid when this function is called so the problem has to
> do with some sort of a state problem in the portfolio.
>
> /Sergey
>
> On Mon, Feb 27, 2012 at 6:41 AM, Sergey Pisarenko <drseergio at gmail.com> wrote:
>> 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.
>>>>>
>>>>> _______________________________________________
>>>>> R-SIG-Finance at r-project.org mailing list
>>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>>>> -- Also note that this is not the r-help list where general R questions should go.
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