[R-SIG-Finance] addTxns addfees

[G See]

If you look at the code in the repository,

https://r-forge.r-project.org/scm/viewvc.php/pkg/blotter/R/addTxn.R?view=markup&revision=1081&root=blotter

you can see that there are comments saying that this isn't yet supported.

        TxnFee <- 0 #TODO FIXME support transaction fees in addTxns
        #TxnFee <- ifelse( is.function(TxnFees), TxnFees(TxnQty,
TxnPrice), TxnFees)

Sorry,
Garrett

On Wed, Jul 4, 2012 at 6:29 PM, G See <gsee000 at gmail.com> wrote:
> My apologies.  I see what you are talking about, and I see where that
> is hardcoded in.  So, you would need to replace
>
> TxnFee <- 0
>
> with
>
> TxnFee <- as.numeric(TxnData[row, "txnfees"])
>
>
> On Wed, Jul 4, 2012 at 6:24 PM, Hideyoshi Maeda
> <hideyoshi.maeda at gmail.com> wrote:
>> 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?
>>>>>
>>