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

G See gsee000 at gmail.com
Mon Feb 27 09:45:18 CET 2012 

Sergey,

Do you have data for 2009 for AAT, because yahoo doesn't.

> start(AAT)
[1] "2011-01-13"

HTH,
Garrett


On Mon, Feb 27, 2012 at 12:18 AM, Sergey Pisarenko <drseergio at gmail.com> wrote:
> 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.
>>>>>>
>>>>>> _______________________________________________
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