[R-SIG-Finance] Blotter Question related to addAcctTxn and updateAcct

[Joshua Ulrich]

Alexios,

Thanks for the reproducible example.  This appears to be a bug, and
I've submitted a corresponding bug report to the blotter tracker on
R-Forge:
https://r-forge.r-project.org/tracker/?func=detail&atid=1269&aid=5983&group_id=316

Best,
Josh

On Thu, Nov 6, 2014 at 10:18 AM, alexios ghalanos <alexios at 4dscape.com> wrote:
> Hi,
>
> I have a question on the calculations used in updateAcct in relation to the
> addAcctTxn function. It would appear to me that the summation of capital
> account transactions in updateAcct is wrong, and I provide a reproducible
> example below with the code fragment which I believe is related to this.
>
> ###############################################################################
> # reproducible example:
> Sys.setenv(TZ='UTC')
> library(blotter)
> require(FinancialInstrument)
> require(quantmod)
> ibm = getSymbols("IBM",auto.assign=FALSE)
> index(ibm)<-as.POSIXct(index(ibm))
> if(!exists(".instrument")) .instrument <<- new.env()
> if(!exists(".blotter")) .blotter <<- new.env()
> # Define a currency and a stock
> currency("USD")
> stock("ibm", currency="USD", multiplier=1)
> initPortf('p', symbols="ibm",
> currency="USD",initDate=as.POSIXct("2007-01-04"))
> initAcct(name="a", portfolios="p",  initDate = as.POSIXct("2007-01-04"),
> initEq=10000, currency="USD")
>
> # Day 1:
> addTxn("p", "ibm",  TxnDate=as.POSIXct("2007-01-05"), TxnQty=50,
> TxnPrice=97.42, TxnFees = -0.05*50)
> # create an account interest charge
> addAcctTxn(Account="a", TxnDate=as.POSIXct("2007-01-05"), TxnType =
> "Interest", Amount=-10)
> # update
> updatePortf("p",Dates=as.POSIXct("2007-01-05"))
> updateAcct(name="a",Dates=as.POSIXct("2007-01-05"))
> updateEndEq(Account="a",Dates=as.POSIXct("2007-01-05"))
> getAccount("a")$summary
> # 2007-01-05
> # Net.Performance = getAccount("a")$summary$Gross.Trading.PL["2007-01-05"] +
> getAccount("a")$summary$Txn.Fees["2007-01-05"]+getAccount("a")$summary$Interest["2007-01-05"]
> # End.Eq = getAccount("a")$summary$End.Eq["2007-01-04"] +
> as.numeric(Net.Performance)
> # Equal to 10000-txn.free-interest = 9987.5 (ok)
>
> # Day 2:
> # create another interest charge:
> addAcctTxn(Account="a", TxnDate=as.POSIXct("2007-01-08"), TxnType =
> "Interest", Amount=-10)
> updatePortf("p",Dates=as.POSIXct("2007-01-08"))
> updateAcct(name="a",Dates=as.POSIXct("2007-01-08"))
> updateEndEq(Account="a",Dates=as.POSIXct("2007-01-08"))
> getAccount("a")$summary
> # Note that the interest is not -10 but -20 (it has been summed over all
> previous days)
> # 2007-01-08
> # Net.Performance = getAccount("a")$summary$Gross.Trading.PL["2007-01-08"] +
> getAccount("a")$summary$Txn.Fees["2007-01-08"]+getAccount("a")$summary$Interest["2007-01-08"]
> # i.e. 50*(98.90-97.42) - 20
> # End.Eq = getAccount("a")$summary$End.Eq["2007-01-05"] +
> as.numeric(Net.Performance)
>
> However, interest of -10 was already subtracted from the Ending Equity
> already on 2007-01-05.
>
> In the code for updateAcct I notice 3 things (lines 111:139 in the github
> repo)
> ########################################################################
> # Code extract
> Additions = {
> result = if(on=="none")
> as.xts(sum(Account$Additions[paste("::",obsDates, sep="")]),
> order.by=index(table))
> #
> # Note 1: The use of '::' means add all transactions upto obsDates...should
> it not be just 'paste(obsDates, sep="")'
> # since on="none" means that obsLength<=1 (on line 93)
> #
> else{
> if(length(Account$Additions[obsDates])>0) # catch empty sets
> period.apply(Account$Additions[obsDates],
> endpoints(Account$Additions[obsDates], on=on), sum) # aggregates multiple
> account txns
> else
> xts(rep(0,obsLength),order.by=obsDates)
> }
> },
> Withdrawals = {
> result = if(on=="none")
> as.xts(sum(Account$Withdrawals[paste("::",obsDates, sep="")]),
> order.by=index(table))
> else{
> if(length(Account$Additions[obsDates])>0) # catch empty sets
> #
> # Note 2: Should this not be Account$Withdrawals?
> #
> period.apply(Account$Withdrawals[obsDates],
> endpoints(Account$Withdrawals[obsDates], on=periodicity(table)$units), sum)
> else
> xts(rep(0,obsLength),order.by=obsDates)
> }
> },
> Interest = {
> result = if(on=="none")
> as.xts(sum(Account$Interest[paste("::",obsDates, sep="")]),,
> order.by=index(table))
> else{
> if(length(Account$Additions[obsDates])>0) # catch empty sets
> #
> # Note 3: Should this not be Account$Interest?
> #
> period.apply(Account$Interest[obsDates],
> endpoints(Account$Interest[obsDates], on=periodicity(table)$units), sum)
> else
> xts(rep(0,obsLength),order.by=obsDates)
> }
> },
> ###############################################################################
>
> Apologies if I've completely misunderstood the use of some functionality.
>
> Best,
>
> Alexios
>
>> sessionInfo()
>
> R version 3.1.1 (2014-07-10)
> Platform: x86_64-w64-mingw32/x64 (64-bit)
>
> locale:
> LC_COLLATE=English_United Kingdom.1252
> LC_CTYPE=English_United Kingdom.1252
> LC_MONETARY=English_United Kingdom.1252 LC_NUMERIC=C
> LC_TIME=English_United Kingdom.1252
>
> attached base packages:
> stats
> graphics
> grDevices
> utils
> datasets
> methods
> base
>
> other attached packages:
> blotter_0.8.19
> devtools_1.5
> PerformanceAnalytics_1.1.0
> FinancialInstrument_1.1.9
> quantmod_0.4-0
> TTR_0.22-0
> Defaults_1.1-1
> xts_0.9-7
> zoo_1.7-11
>
> loaded via a namespace (and not attached):
> digest_0.6.4
> evaluate_0.5.5
> grid_3.1.1
> httr_0.4
> lattice_0.20-29
> memoise_0.2.1
> parallel_3.1.1
> RCurl_1.95-4.3
> stringr_0.6.2
> tools_3.1.1
> whisker_0.3-2
>
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-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com