[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 09:55:44 CET 2012
Garett,
Thanks, great point. Total blunder on my side. I will look into this further.
/Sergey
On Mon, Feb 27, 2012 at 9:45 AM, G See <gsee000 at gmail.com> wrote:
> 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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