[R-SIG-Finance] Duplicated indexes in blotter

[Mark Knecht]

In the attached code I have 3 transactions on the same date for the
symbol IVOG. When I go to roll up position values this is leading to
duplicate indexes in my xts objects and NA's in other columns, such as
in tempPos.Value:

2014-05-05  55182 45420.0
2014-05-06  54702 45135.0
2014-05-07  63945 68212.5
2014-05-07  73080      NA
2014-05-07  82215      NA
2014-05-08  81747 68025.0
2014-05-09  81891 68040.0
2014-05-12  83448 68985.0

Am I doing something improper in the way I'm entering the transactions
or is this a bug? It's pretty typical that I'll put in a limit order
and it will get filled in pieces with each portion having a different
price.

I could of course figure out by hand what the average price was and
then have a single transaction but I'd like to have what's saved in
the account match what actually happened.

In general I've been fixing these as they pop up using code like:

tempNet.Txn.Value[is.na(tempNet.Txn.Value)] = 0

but I'm finally tired enough of doing that I thought I'd ask if I'm
doing something wrong.

Additionally, I thought one of the things xts was supposed to ensure
against was duplicate indexes so maybe this is me using some older
version? I'm mostly CRAN oriented so if I need to load something else
please let me know.

Thanks,
Mark


library(blotter)
library(quantmod)

MyPortfolios = c("Test1")

MySymbols = list()
MySymbols[[1]]= c("IVOG", "IVOV")

currency("USD")

DataStart = "2014-03-01"
DataEnd = format(Sys.time(), "%Y-%m-%d")
Sys.setenv(TZ = "UTC")

getSymbols(MySymbols[[1]], from=DataStart, to=DataEnd, src="yahoo")

stock(MySymbols[[1]], currency = "USD", multiplier = 1)

suppressWarnings(rm("account.Test1", pos = .blotter))
suppressWarnings(rm("portfolio.Test1", pos = .blotter))

initPortf(MyPortfolios[1], as.list(MySymbols[[1]]), initDate = "2014-01-01")
initAcct("Test1", MyPortfolios, initDate = "2013-06-01", initEq = 1e+06)

addTxn("Test1", Symbol = "IVOG",  TxnDate = "2014-03-25", TxnQty =
600,  TxnPrice = 93.71,   TxnFees = 0, verbose = FALSE)
addTxn("Test1", Symbol = "IVOG",  TxnDate = "2014-05-07", TxnQty =
100,  TxnPrice = 91.08,   TxnFees = 0, verbose = FALSE)
addTxn("Test1", Symbol = "IVOG",  TxnDate = "2014-05-07", TxnQty =
100,  TxnPrice = 91.10,   TxnFees = 0, verbose = FALSE)
addTxn("Test1", Symbol = "IVOG",  TxnDate = "2014-05-07", TxnQty =
100,  TxnPrice = 91.09,   TxnFees = 0, verbose = FALSE)
addTxn("Test1", Symbol = "IVOG",  TxnDate = "2014-08-11", TxnQty =
300,  TxnPrice = 93.93,   TxnFees = 0, verbose = FALSE)

addTxn("Test1", Symbol = "IVOV",  TxnDate = "2014-03-25", TxnQty =
500,  TxnPrice = 90.34,   TxnFees = 0, verbose = FALSE)
addTxn("Test1", Symbol = "IVOV",  TxnDate = "2014-05-07", TxnQty =
250,  TxnPrice = 90.63,   TxnFees = 0, verbose = FALSE)
addTxn("Test1", Symbol = "IVOV",  TxnDate = "2014-08-11", TxnQty =
250,  TxnPrice = 93.27,   TxnFees = 0, verbose = FALSE)

updatePortf(MyPortfolios[1])

updateAcct("Test1")
updateEndEq("Test1")

# Loops appear to be required due to symbol name
# from list being in the middle of the path
# Study later
for (j in 1:length(MyPortfolios)){
  ThisPort = getPortfolio(MyPortfolios[j])
  for (i in 1:length(MySymbols[[j]])){
    ThisSymbol = MySymbols[[j]][i]
    tempVal = ThisPort$symbols[[ThisSymbol]]
    if ((i==1) & (j==1)){
      tempPos.Value       = as.xts(tempVal$posPL$Pos.Value)
      tempNet.Trading.PL  = as.xts(tempVal$posPL$Net.Trading.PL)
      tempNet.Txn.Value   = as.xts(tempVal$posPL$Txn.Value)
    }else{
      tempPos.Value       = cbind(tempPos.Value,
as.xts(tempVal$posPL$Pos.Value))
      tempNet.Trading.PL  = cbind(tempNet.Trading.PL,
as.xts(tempVal$posPL$Net.Trading.PL))
      tempNet.Txn.Value   = cbind(tempNet.Txn.Value,
as.xts(tempVal$posPL$Txn.Value))
    }
  }
}
colnames(tempPos.Value)      =MySymbols[[1]]
colnames(tempNet.Trading.PL) =MySymbols[[1]]
colnames(tempNet.Txn.Value)  =MySymbols[[1]]