[R-SIG-Finance] blotter: updatePortf Error in call to updatePosPL when instrument has no price

[Brian G. Peterson]

On Tue, 2012-05-15 at 12:43 -0700, algotr8der wrote:
> I don't think its desirable to cut the testing period to the shortest
> date range because some of the stocks listed at a future date. I'm
> afraid I don't quite understand the logic behind why updatePortf
> *needs* to get a price for a stock that has no Txns. It makes sense to
> me if there was a valid Txn then updatePortf needs a price to perform
> a daily mark but in this case trading can't begin on the stock in
> question until at least the date with the first price. 

The startDate on your *portfolio* and *account* need to be before the
first trade in any instrument.

You need to have market data for *at least one observation* before the
first trade in that instrument, so that we have something to mark
against.

I'm not aware of any restriction that you need data for all the same
dates/times, in fact, it was designed to not need this.  We pretty
routinely include contracts that expire in a larger portfolio, for
example.

This error:

  no Prices available for AKAM in 1999-05-12 23:59:59::1999-05-13
23:59:59 :
using last available price and marking to 1999-05-13 23:59:59

suggests that you have a position for AKAM.

There is one simplification in the code that I am aware of that might
cause something similar.  You could make it go away by putting the
symbol that has the longest time series *first* in your portfolio.

If that doesn't work, I can work with you off-list to try to find and
fix the problem.

Regards,

   - Brian 

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock