[R-SIG-Finance] blotter date question

[Maheshwari, Dhruv]

Hi,
I was planning on using blotter for a project, and I've looked through the demos, but I'm having difficulty understanding some behavior in the simple example below. The initial account equity is set to exactly the close for SPY on 2012-01-03, and one share is bought @ 127.5. But as I examine the ending equity for a series of dates, it appears to correspond to the *following* day's close. Similarly, the output from PortfReturns implies the share purchased on Jan 3 experienced a return (that day) from Jan 3 -> 4, which seems odd. I must be missing something simple -- perhaps a subtle timezone issue or something.

-- Main output:
> getTxns('tst','SPY')
           Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
2011-12-31       0       0.0        0       0.0          0.0                   0
2012-01-03       1     127.5        0     127.5        127.5                   0
> getEndEq('tst','2012-01-03')
[1] 127.7
> getEndEq('tst','2012-01-04')
[1] 128.04
> head(PortfReturns('tst'),4)
                            SPY
2011-12-31 00:00:00 0.000000000
2012-01-03 00:00:00 0.000000000
2012-01-03 19:00:00 0.001568627
2012-01-04 19:00:00 0.002666667
> head(Cl(SPY), 3)
           SPY.Close
2012-01-03    127.50
2012-01-04    127.70
2012-01-05    128.04

-- Code:
require(blotter)
require(quantmod)

# basic set up / data retrieval
currency('USD')
stock('SPY',currency='USD',multiplier=1)
getSymbols('SPY',from='2012-01-01',to='2012-12-31',src='yahoo', index.class=c("Date"))

# initial equity = price of SPY on txn.date
init.date = '2011-12-31'
txn.date = '2012-01-03'
price = as.numeric(Cl(SPY)[txn.date])

# portfolio/acct set up
.blotter <- new.env() 
initPortf('tst', symbols='SPY', currency="USD", initDate=init.date)
initAcct(name='tst', portfolios='tst', initEq=price, currency='USD', initDate=init.date)

# add transaction
addTxn(Portfolio='tst', Symbol='SPY', TxnDate=txn.date, TxnQty=1, TxnPrice=price)

# updates
updatePortf(Portfolio='tst', Dates='2012')
updateAcct('tst', '2012')
updateEndEq('tst','2012')

# result
getTxns('tst','SPY')
getEndEq('tst','2012-01-03')
getEndEq('tst','2012-01-04')
head(PortfReturns('tst'),4)
head(Cl(SPY), 3)



Thanks!
Dhruv

P.S. sessionInfo (blotter, FinancialInstrument, quantmod all built from SVN this evening):

R version 2.15.1 (2012-06-22)
Platform: i386-pc-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252    LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C                           LC_TIME=English_United States.1252    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
 [1] qmao_1.4.7                XML_3.95-0.1              gdata_2.12.0              blotter_0.8.13            FinancialInstrument_1.1.2
 [6] quantmod_0.4-0            TTR_0.21-1                Defaults_1.1-1            xts_0.9-1                 zoo_1.7-9                

loaded via a namespace (and not attached):
 [1] bitops_1.0-5     caTools_1.14     digest_0.6.0     grid_2.15.1      gtools_2.7.0     lattice_0.20-13  pander_0.3       RCurl_1.95-3    
 [9] RJSONIO_1.0-1    shiny_0.2.4      tools_2.15.1     websockets_1.1.7 xtable_1.7-0





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