[R-SIG-Finance] addTxns addfees

[Hideyoshi Maeda]

Thats amazing! Thank you very much! and thanks to all of you guys that help build such a great resource for all to use!

On 5 Jul 2012, at 10:01, G See wrote:

> Yeah, yeah, ok. Patched in Rev. 1100.
> 
> Your TxnData object must have  a column named "TxnFees" (instead  of
> "TxnFee" because both addTxn and .calcTxnValue use "TxnFees").
> 
> If you need help checking out and building the current source code,
> see here (http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages)
> 
> After updated, this should do what you want:
> 
>    library(blotter)
>    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)
> 
> Best,
> Garrett
> 
> On Wed, Jul 4, 2012 at 6:42 PM, Hideyoshi Maeda
> <hideyoshi.maeda at gmail.com> wrote:
>> Ah ok, I didn't look at the repository...is that expected to go in any time soon given its simplicity in adjustment?
>> 
>> On 5 Jul 2012, at 09:36, G See wrote:
>> 
>>> 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?
>>>>>>>> 
>>>>> 
>>