[R-SIG-Finance] Accounting in blotter query

[Brian G. Peterson]

On 10/04/2012 11:38 PM, Worik Stanton wrote:
> On 05/10/12 13:50, Brian G. Peterson wrote:
>> On 10/04/2012 07:39 PM, Worik Stanton wrote:
>>> 2012-10-04 00:00:00       1    210.39                0.00
>>> 2012-10-04 00:00:00      -3   -631.17              127.26
>> <...>
>>> So I would expect the equity in the account to be the initial equity
>>> plus (127.26 - 9.67) == 1,000,000 + 117.59 == 1,000,117.59
>>>
>>> But getEndEq(account, end(IBM)) == 999813.3
>>>
>>> what am I missing here?
>>
>> you have non-unique timestamps.  The xts documentation, and the
>> blotter documentation, make it clear that non-unique timestamps will
>> cause undefined and incorrect behavior, that's why the
>> make.unique.index command exists.
>>
> Thank you.  My mistake and I fixed that.
>
> Now I have the following list of transactions:
>
>                      Txn.Qty Txn.Value Net.Txn.Realized.PL
> 2007-01-02 13:00:00       0      0.00                0.00
> 2007-01-03 00:00:00       1     97.27                0.00
> 2008-02-28 00:00:00       1    115.24                0.00
> 2009-04-23 00:00:00      -2   -202.84               -9.67
> 2010-06-17 00:00:00       1    130.98                0.00
> 2011-08-10 00:00:00       1    162.54                0.00
> 2012-10-04 00:00:00      -2   -420.78              127.26
>> Ret <- (getEndEq(Account=account, Date=end(IBM))-initEq)/initEq
>> cat('Return: ', Ret,'\n')
> Return:  -0.00018095
>> getEndEq(account, end(IBM))
> [1] 999819.1
>> initEq + sum(XX[,6])
> [1] 1000118
>> sum(XX[,6])
> [1] 117.59
>>
>
> The trading made a 117.59 profit, but the equity at the end is less than
> at the start, as reported by getEndEq
>
> I am still missing something.

The lines:

     updatePortf(Portfolio = portfolio, Dates = CurrentDate)
     updateAcct(account, Dates = CurrentDate)
     updateEndEq(account, Dates = CurrentDate)

should be outside your loop.  You never call them after making the last 
closing trade, so the ending equity that you are requesting shows 
(correctly) a loss as of the date of the last time you updated it.

Calling this:

     updatePortf(Portfolio = portfolio)
     updateAcct(account)
     updateEndEq(account)

after your loop will return the correct ending equity.

These update* functions don't need to be called every time, or even 
every transaction.  You're doing more processing than you need to do.

That is true in a general sense as well.  You need to loop over 
*Transactions*, because these are path dependent, and need to be entered 
in order to get meaningful P&L.  Your script loops over every index of 
IBM, and will be very slow.

We make use of vectorization and path-independent processes wherever 
possible.  Using loops when you don't need to only leads to bad performance.

-- 
Brian