[R-SIG-Finance] incorrectly storing results from `blotter` when using `foreach`

[Nick White]

Hi all,

I've been messing around with using foreach loops to speed up blotter a
bit...but I can't seem to get the results to store after I run the parallel
job.

Using Guy Yollin's blotter for-loop example (at
http://www.r-programming.org/files/blotter.pdf)

I convert the for-loop to a foreach-loop using the following code (marked
between 3 #'s):

====================================================

### My changes to Guy's for-loop code:

foreach( i = 1:nrow(SPY),.combine=rbind, .packages=c('xts','blotter') )
%dopar%
{

### Rest of the code as usual...

  # update values for this date

  CurrentDate <- time(SPY)[i]

  equity = getEndEq(b.strategy, CurrentDate)

  ClosePrice <- as.numeric(Cl(SPY[i,]))

  Posn <- getPosQty(b.strategy, Symbol='SPY', Date=CurrentDate)

  UnitSize = as.numeric(trunc(equity/ClosePrice))

  MA <- as.numeric(SPY[i,'SMA10m'])

  # change market position if necessary

  if( !is.na(MA) ) # if the moving average has begun

  {

    if( Posn == 0 ) { # No position, test to go Long

      if( ClosePrice > MA ) {

        # enter long position

        addTxn(b.strategy, Symbol='SPY', TxnDate=CurrentDate,

          TxnPrice=ClosePrice, TxnQty = UnitSize , TxnFees=0) }

    } else { # Have a position, so check exit

      if( ClosePrice < MA ) {

        # exit position

        addTxn(b.strategy, Symbol='SPY', TxnDate=CurrentDate,

          TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0)

      } else {

        if( i==nrow(SPY) ) # exit on last day

          addTxn(b.strategy, Symbol='SPY', TxnDate=CurrentDate,

            TxnPrice=ClosePrice, TxnQty = -Posn , TxnFees=0)

      }

    }

  }

  updatePortf(b.strategy,Dates=CurrentDate)

  updateAcct(b.strategy,Dates=CurrentDate)

  updateEndEq(b.strategy,CurrentDate)

}
====================================================

On a linux box using `htop` I can see the job execute across each processor
but then running something like

`chart.Posn(b.strategy,"SPY")`

which when, say, charting the position spits the error:

Error in chart.Posn(b.strategy, "SPY") :
  no transactions/positions to chart


So, obviously I'm not reconstituting the results correctly after the
foreach loop runs...i've tried a few different calls but without much luck.

Any pointers as to where I'm going wrong?

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