[R-SIG-Finance] Possible tradeStats() issue

[Michael Newell]

I have recently come across an issue using the tradeStats() function
which was exposed by setting txnFees.  Looking at the tradeStats()
codes it attempts to determine the number of trades based on the
following logic:

PL.gt0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL > 0]
PL.lt0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL < 0]
PL.ne0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL != 0]
....
NumberOfTrades <- nrow(PL.ne0)

When not using txnFees your opening transaction of a trade have a PL
of 0 and hence this number does indeed match up with the number of
trades.  However as soon as you set a txnFees amount it means your
opening transaction has a PL equal to your txnFees (e.g. spread cost
of -0.0002).  This now doubles the "NumberOfTrades" as all opening
transactions have a PNL != 0 as shown below under PL column.

                    Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost
Net.Txn.Realized.PL
1990-01-01 00:00:00       0   0.00000    0e+00   0.00000      0.00000
           0.00000
2010-01-22 13:59:00       1   1.61112   -2e-04   1.61112      1.61112
          -0.00020
2010-01-25 15:59:00      -1   1.61837    0e+00  -1.61837      1.61837
           0.00725
2010-01-28 09:59:00      -1   1.62732   -2e-04  -1.62732      1.62732
          -0.00020
2010-01-28 16:59:00       1   1.61347    0e+00   1.61347      1.61347
           0.01385


There are a number of statistics in tradeStats() which use the PL.gt0,
PL.lt0 and PL.ne0 variables and therefore produce incorrect results
when txnFees>0.  This is easily recreated using any demo with txnFees
present and not present and reviewing the tradeStats() results.

--

Regards,

Michael Newell