[R-SIG-Finance] addTxns addfees

[Hideyoshi Maeda]

Thanks for your response.

I am aware that addTxn is not vectorized...

but what I am using below is addTxns...(note the 's' after Txn)

This allows transaction data through the TxnData argument

It is, in effect, a vectorised version of addTxn...even the blotter demo from

demo(amzn_test)

uses this....

However unlike the demo...i wanted to include Transaction fees, and wanted to know if this was possible...as the function for addTxns automatically assigns this to zero...



On 5 Jul 2012, at 09:15, G See wrote:

> Hi Hideyoshi,
> 
> addTxn is not vectorized, and it does not have a txnData argument.  To
> see how the function is intended to be used, please read
> 
> ?addTxn
> 
> Then look at the demos that are included with blotter as well as the
> examples in ?blotter.
> 
> HTH,
> Garrett
> 
> On Wed, Jul 4, 2012 at 5:46 PM, Hideyoshi Maeda
> <hideyoshi.maeda at gmail.com> wrote:
>> If an example is required
>> 
>> Here is an example:
>> 
>> rm(list=ls(pos=.blotter),pos=.blotter)
>> rm(list=ls(pos=.instrument),pos=.instrument)
>> rm(list=ls(pos=.strategy),pos=.strategy)
>> 
>> currency('USD')
>> stock("SPY", currency="USD", mulitplier=1)
>> 
>> getSymbols('SPY', from='2012-03-01', to='2012-07-04')
>> 
>> portf.name <- "dummy.Portfolio"
>> 
>> initPortf(portf.name, 'SPY', initDate='2012-02-29')
>> initAcct(portf.name, portf.name, initDate='2012-02-29', initEq=1e6)
>> 
>> qty <- rep(c(1,-1), nrow(SPY)/2)
>> price <- SPY[,4]
>> txnfees <- rep(-5, nrow(SPY))
>> txndata <- cbind(qty, price, txnfees)
>> colnames(txndata) <- c("Quantity","Price","txnfees")
>> 
>> blotter:::addTxns(Portfolio=portf.name, Symbol='SPY', TxnData=txndata )
>> 
>> txns <- getTxns(Portfolio=portf.name, Symbol='SPY')
>> 
>> head(txns)
>> This will show the buying and selling of 1 share on alternate days at the close but will not show any of the fees relating to each transaction.
>> 
>> Thanks
>> 
>> HLM
>> 
>> On 5 Jul 2012, at 01:48, Hideyoshi Maeda wrote:
>> 
>>> Hi I am looking at the addTxns function in blotter, and I would like to add fees data/information in the TxnData argument (as a column).
>>> 
>>> When looking at the function, by running
>>> 
>>> blotter:::addTxns
>>> it seems to use the column names "Price" and "Quantity" but automatically sets/assigns the TxnFees to zero.
>>> 
>>> Is there a way of overwriting this, so that it can be included in my analysis?
>>>