[R-SIG-Finance] function 'addtxn' in blotter package can't add intraday trade into account?
domodo
1111938 at qq.com
Mon Sep 1 20:00:01 CEST 2014
Ulrich,thanks for your reply.
I found the reason why equity are always zero. the argument 'initDate' in
initPortf and initAcct should be earlier than market data's start date,in
this case, the start date is '2012-01-18 09:15:00',so argument 'initDate' in
initPortf and initAcct should at least be '2012-01-18 09:14:00' or earlier.
Having replace both of the value of initDate with '2012-01-18 09:14:00', I
got the result of txns as below:
> head(txns)
Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost
Net.Txn.Realized.PL
2012-01-18 09:14:00 0 0.0 0.000 0 0.0
0.000
2012-01-18 09:35:00 8 2580.0 -309.600 6192000 2580.0
-309.600
2012-01-18 09:43:00 -8 2582.0 -309.840 -6196800 2582.0
4490.160
2012-01-18 09:54:00 8 2580.8 -309.696 6193920 2580.8
-309.696
2012-01-18 09:57:00 -8 2575.8 -309.096 -6181920 2575.8
-12309.096
2012-01-18 09:58:00 8 2581.8 -309.816 6196320 2581.8
-309.816
all transactions are OK,except the first transaction. why it occurs ? I
tried to run the codes in debug mode line-by-line,but couldn't find the
reason.
PS:
I couldn't find the reason why argument 'initDate' in initPortf and
initAcct must be earlier than market data's start date/time in help
documents.
regards.
--
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