[R-SIG-Finance] Problem with updatePortf

[Worik Stanton]

On 21/09/12 14:10, Worik Stanton wrote:
> [snip]
> I am working on a small example that exhibits the problem but in the
> mean time is there a way I can debug .updatePosPL?

So here is an example without transactions.

I am a novice with blotter so tis example could probably be smaller.  I
have tried to distill what are the most important points (hence no
transactions).

When I run this I get...

> go()
2005-09-01
FOO
Error in getPrice(get(Symbol, pos = env), symbol = symbol, prefer =
prefer) :
  subscript out of bounds, no price was discernible from the data
>



require(quantmod)
require(TTR)
require(blotter)

go <- function(){

  suppressWarnings(try(rm("account.turtles","portfolio.turtles",
                          pos=.blotter),silent=TRUE))

  suppressWarnings(try(rm("portfolio","account","N","symbol",
                          "symbols","ClosePrice",
                          "CurrentDate","equity","Units",
                          "maxUnits","size","Stop",
                          "equity","TxnPrice","initDate",
                          "initEq","Posn","verbose"),silent=TRUE)
                   )

  currency("USD")
  currency("CHF")
  exchange_rate("USDCHF", "CHF", "USD", 0.00001)

  ## Load all the symbols into memory

  USDCHF <- xts(matrix(ncol=3,c(1.2558, 1.2368, 1.2344, 1.2404,
                         1.2444, 1.2470, 1.2470, 1.2597, 1.2640,
                         1.2613, 1.2696, 1.2729, 1.2815, 1.2818,
                         1.2825, 1.2809, 1.2918, 1.2965, 1.2998,
                         1.2984, 1.2311, 1.2250, 1.2239, 1.2317,
                         1.2309, 1.2385, 1.2385, 1.2430, 1.2542,
                         1.2543, 1.2574, 1.2598, 1.2734, 1.2745,
                         1.2680, 1.2660, 1.2777, 1.2885, 1.2883,
                         1.2910, 1.2343, 1.2280, 1.2335, 1.2365,
                         1.2426, 1.2449, 1.2442, 1.2592, 1.2619,
                         1.2585, 1.2671, 1.2687, 1.2772, 1.2809,
                         1.2718, 1.2795, 1.2916, 1.2896, 1.2959,
                         1.2940)), as.Date(c("2005-09-01",
                         "2005-09-02", "2005-09-05", "2005-09-06",
                         "2005-09-07", "2005-09-08", "2005-09-09",
                         "2005-09-12", "2005-09-13", "2005-09-14",
                         "2005-09-15", "2005-09-16", "2005-09-19",
                         "2005-09-20", "2005-09-21", "2005-09-22",
                         "2005-09-23", "2005-09-26", "2005-09-27",
                         "2005-09-28")))

  ## Set initial values
  initDate=start(USDCHF)
  initEq=100000

  ## Set up a portfolio object and an account object
  portfolio = "turtles"
  assign("portfolio", portfolio, pos=1)
  initPortf(name=portfolio,symbols, initDate=initDate)
  account = "turtles"
  assign("account", account, pos=1)
  initAcct(name=account,portfolios="turtles", initDate=initDate,
initEq=initEq)

  Portfolio<-getPortfolio(portfolio)
  Portfolio[["USDCHF"]]$strat <- xts( as.matrix(t(c(0))),
                                     order.by=as.POSIXct(initDate) )

  colnames(Portfolio[["USDCHF"]]$strat) <- c('Txn')


  ## now put it back where it belongs
  assign( "portfolio.turtles", Portfolio , envir=.blotter )
  rm("Portfolio")

  for( i in index(USDCHF)) {
    i <- as.Date(i)
    CurrentDate <- i
    cat(as.character(CurrentDate), "\n")
    equity = getEndEq(account, CurrentDate)

    cat("FOO \n")
    updatePortf(Portfolio = portfolio, Dates = CurrentDate)
    updateAcct(account, Dates = CurrentDate)
    updateEndEq(account, Dates = CurrentDate)
  } # End dates loop

  getEndEq(account,Sys.time())
}
##go()



-- 
it does not matter                      I think that I shall never see
how much I dig and dig                    A billboard lovely as a tree
this hole just                      Indeed, unless the billboards fall
keeps getting deeper                      I'll never see a tree at all