[R-SIG-Finance] pl() function from PMwR package split an error: 'x' and 'y' lengths differ
Arnaud Gaboury
@rn@ud@g@boury @end|ng |rom gm@||@com
Mon Apr 21 19:38:46 CEST 2025
On Mon, 2025-04-21 at 19:34 +0200, Enrico Schumann wrote:
> On Mon, 21 Apr 2025, Arnaud Gaboury writes:
>
> > On Mon, 2025-04-21 at 18:10 +0200, Enrico Schumann wrote:
> > > On Mon, 21 Apr 2025, Arnaud Gaboury writes:
> > >
> > > > On Mon, 2025-04-21 at 17:09 +0200, Enrico Schumann wrote:
> > > > > On Mon, 21 Apr 2025, Arnaud Gaboury writes:
> > > > >
> > > > > > I am following this page[1] to compute pl of my portoflio.
> > > > > > Here are the various ingredients to compute correctly my pl
> > > > > > function
> > > > > > following this method: PL <- pl(J, vprice = P,
> > > > > > along.timestamp
> > > > > > =
> > > > > > timestamp.P)
> > > > > >
> > > > > > Here is J, my journal:
> > > > > > J <- structure(list(instrument = c("FTMUSDC", "SUIUSDC",
> > > > > > "ETHUSDC",
> > > > > > "ENAUSDC", "BTCUSDC", "AAVEUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "ETHUSDC", "AAVEUSDC", "BTCUSDC", "ENAUSDC", "ETHUSDC",
> > > > > > "FTMUSDC",
> > > > > > "SUIUSDC", "ETHUSDC", "ENAUSDC", "AAVEUSDC", "FTMUSDC",
> > > > > > "SUIUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "AAVEUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "AAVEUSDC", "AAVEUSDC",
> > > > > > "AAVEUSDC",
> > > > > > "AAVEUSDC", "AAVEUSDC", "AAVEUSDC", "BTCUSDC", "AAVEUSDC",
> > > > > > "AAVEUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "SUIUSDC", "BTCUSDC", "AAVEUSDC", "SUIUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "BTCUSDC", "ETHUSDC", "ETHUSDC", "ETHUSDC", "BTCUSDC",
> > > > > > "SUIUSDC",
> > > > > > "SUIUSDC", "BTCUSDC", "SUIUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "SUIUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "SUSDC",
> > > > > > "BTCUSDC", "SUIUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "BTCUSDC", "SUIUSDC", "SUIUSDC", "SUIUSDC", "SUIUSDC",
> > > > > > "SUSDC",
> > > > > > "BTCUSDC", "SUSDC", "SUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "SUSDC", "SUSDC", "OMUSDC", "SUIUSDC", "OMUSDC", "SUIUSDC",
> > > > > > "BTCUSDC",
> > > > > > "OMUSDC", "OMUSDC", "OMUSDC", "BTCUSDC", "ETHUSDC",
> > > > > > "SUIUSDC",
> > > > > > "OMUSDC", "OMUSDC", "OMUSDC", "BTCUSDC", "SUIUSDC",
> > > > > > "BTCUSDC",
> > > > > > "SUSDC", "ENAUSDC", "ENAUSDC", "ETHUSDC", "BTCUSDC",
> > > > > > "ETHUSDC",
> > > > > > "BTCUSDC", "SUSDC", "SUIUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "SUSDC",
> > > > > > "BTCUSDC", "SUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC",
> > > > > > "BTCUSDC",
> > > > > > "BTCUSDC", "BTCUSDC", "BTCUSDC", "BTCUSDC"), timestamp =
> > > > > > structure(c(1734372120,
> > > > > > 1734372240, 1734372360, 1734372480, 1734372600, 1734372720,
> > > > > > 1734426090.135,
> > > > > > 1734553973.032, 1735810398.277, 1735810489.902,
> > > > > > 1735812883.798,
> > > > > > 1735812912.427, 1735812922.868, 1735812934.674,
> > > > > > 1735812945.707,
> > > > > > 1735812955.168, 1736177563.787, 1736177649.381,
> > > > > > 1736261991.422,
> > > > > > 1736262093.964, 1736779190.992, 1736854468.083,
> > > > > > 1736865119.74,
> > > > > > 1736865312.915, 1736865453.951, 1736974766.64,
> > > > > > 1736975085.933,
> > > > > > 1736975211.156, 1736975380.095, 1737041368.809,
> > > > > > 1737295523.705,
> > > > > > 1737295650.336, 1737315384.148, 1737333105.442,
> > > > > > 1737335082.949,
> > > > > > 1737336735.697, 1737625581.878, 1737625599.839,
> > > > > > 1737967031.492,
> > > > > > 1737969957.279, 1737982296.161, 1737983492.087,
> > > > > > 1737989818.863,
> > > > > > 1737990022.153, 1738058503.483, 1738059550.671,
> > > > > > 1738076112.736,
> > > > > > 1738142709.422, 1738157053.345, 1738157206.539,
> > > > > > 1738161507.243,
> > > > > > 1738163335.254, 1738169351.788, 1738169494.283,
> > > > > > 1738169531.258,
> > > > > > 1738171799.704, 1738176968.536, 1738216843.704,
> > > > > > 1738769416.056,
> > > > > > 1738854703.218, 1738856868.753, 1738936692.68,
> > > > > > 1738937334.883,
> > > > > > 1739296718.084, 1739379482.659, 1739446986.289,
> > > > > > 1739979238.947,
> > > > > > 1739996323.332, 1740115921.015, 1740491373.055,
> > > > > > 1740596755.646,
> > > > > > 1740667962.173, 1740768770.074, 1740768953.683,
> > > > > > 1740786989.548,
> > > > > > 1741012632.874, 1741100761.788, 1741109444.315,
> > > > > > 1741185527.418,
> > > > > > 1741208042.454, 1741283447.971, 1741283872.186,
> > > > > > 1741295325.927,
> > > > > > 1741295477.314, 1741295693.088, 1741342541.164,
> > > > > > 1741629884.419,
> > > > > > 1741635304.779, 1741685200.989, 1741686554.221,
> > > > > > 1741698998.622,
> > > > > > 1741707118.96, 1741802675.392, 1742141908.962,
> > > > > > 1742257808.523,
> > > > > > 1742289195.923, 1742297055.385, 1742302133.885,
> > > > > > 1742302466.715,
> > > > > > 1742325681.41, 1742325806.343, 1742325896.024,
> > > > > > 1742325942.537,
> > > > > > 1742378556.512, 1742387323.985, 1742391238.519,
> > > > > > 1742398133.361,
> > > > > > 1742398190.194, 1742398284.155, 1742398685.416,
> > > > > > 1742403613.643,
> > > > > > 1742404126.746, 1742871155.426, 1742891897.907,
> > > > > > 1742892224.948,
> > > > > > 1742998171.435, 1743000224.05, 1743001791.162,
> > > > > > 1743011323.324,
> > > > > > 1743017318.549, 1743406396.586, 1743408729.623,
> > > > > > 1743425658.334,
> > > > > > 1743428419.647, 1743429808.131, 1743430795.489,
> > > > > > 1743431687.034,
> > > > > > 1743439548.713, 1743440894.393, 1743445384.52,
> > > > > > 1743495501.973,
> > > > > > 1743504926.243, 1743519851.83, 1743520420.807,
> > > > > > 1743530499.577,
> > > > > > 1743531476.483, 1743546009.677, 1743584674.851,
> > > > > > 1743585101.461,
> > > > > > 1743601492.33, 1743601850.895, 1743672899.162,
> > > > > > 1743679321.994,
> > > > > > 1743679387.991, 1743780565.767, 1743785970.297,
> > > > > > 1743999757.64,
> > > > > > 1744034059.473, 1744192196.925, 1744216689.942,
> > > > > > 1744308914.666,
> > > > > > 1744353324.949), tzone = "UTC", class = c("POSIXct",
> > > > > > "POSIXt"
> > > > > > )), amount = c(284270, 80024, 91.8981, 207836, 9.3372107,
> > > > > > 1152.058,
> > > > > > 0.04811, 0.12324, -0.06504, -32.0833, 94.408, 0.96557,
> > > > > > 17708.79,
> > > > > > 4.882, 22584, 4641.4, -64.6968, 194251.85, -1246.466, -
> > > > > > 306854,
> > > > > > -61748.4, 2.42992, 2.42014, 4.78121, 0.04825, 0.29346,
> > > > > > 835.68,
> > > > > > -0.001, -0.01505, -0.125, -621.323, -214.357, 835, 15.472,
> > > > > > 866.666,
> > > > > > -834.998, 1.20446, 54.943, -936.69, -1.76856, -1.73956, -
> > > > > > 1.71811,
> > > > > > -0.72513, -0.98166, 4.72757, 67649.3, 4.73485, -0.393, -
> > > > > > 67622,
> > > > > > -1.7, -1.7, 8.98573, 36.1158, -36.1158, -8.8583, -0.70622,
> > > > > > -
> > > > > > 27.3,
> > > > > > 73781.2, 0.84257, -73781.2, -3.50343, 6.34343, -0.45516,
> > > > > > 84682,
> > > > > > 0.26061, 0.254, -0.36895, 0.75773, 323689.3, -2.69675,
> > > > > > 22917.9,
> > > > > > 0.58439, 2.06429, -2.06429, 2.07134, -6.12345, -107599.9,
> > > > > > 102163,
> > > > > > -102163, 92527.9, -323689.3, -3.09273, 273454, -273454,
> > > > > > 3.09273,
> > > > > > 1.54911, 2.54393, 2, 1.52842, 1.48698, 1.36813, -0.01848,
> > > > > > 0.42519,
> > > > > > 528333.3, -528333.3, 37580, -43102.8, -37580, -49425.1, -3,
> > > > > > 354,
> > > > > > 502, 34532, -0.01435, 124.7401, 106269.9, -2178, -586, -
> > > > > > 32624,
> > > > > > 2.82199, 13326.3, 1.40107, 447761.1, 142861.76, 490049.63,
> > > > > > -
> > > > > > 0.3663,
> > > > > > -0.07286, -140.3605, 0.4878, 63813.8, -119596.2, 5.78271, -
> > > > > > 3.37969,
> > > > > > -3.41518, 6.7704, -6.75106, 6.71609, -6.72629, 6.71421, -
> > > > > > 6.7396,
> > > > > > 6.6851, -6.74, 6.717, -0.17957, -6.59629, -3.30205,
> > > > > > 10.01426,
> > > > > > -0.03538, -6.5872, 6.56085, -6.56, -359471.3, -6.56, -
> > > > > > 152437.4,
> > > > > > 7, 7.40359, -7.11794, 7.11136, -0.02586, 0.5978, -10.47979,
> > > > > > 10.24101
> > > > > > ), price = c(1.382, 4.7256, 4038, 1.1855, 107012, 386.55,
> > > > > > 107358.81,
> > > > > > 101422.93, 96408.23, 3443.981937, 332.340557, 96606.12,
> > > > > > 1.043348,
> > > > > > 3460.4, 0.856681, 4.411298, 3698.158383, 1.231695,
> > > > > > 323.031195,
> > > > > > 0.732393, 4.368867, 96526.3, 96916.53115, 97133.32,
> > > > > > 97228.23,
> > > > > > 99651.73, 0.003195, 99519.61, 99663.37, 98394.97, 0.00302,
> > > > > > 0.00301,
> > > > > > 0.003131, 0.003003, 0.003005, 0.003131, 101941.107914,
> > > > > > 333.943712,
> > > > > > 293.405892, 98950.008481, 100600, 101335.283692, 102050,
> > > > > > 101868.208951,
> > > > > > 102900, 0.000038, 102741.596027, 294.738321, 3.649213,
> > > > > > 101846.9,
> > > > > > 101845.270978, 102368.611214, 0.03027, 0.03026, 0.03027,
> > > > > > 102384.062461,
> > > > > > 3.757, 0.000038, 98487.23, 3.274561, 97076.26334,
> > > > > > 98853.757704,
> > > > > > 99403.962752, 0.000035, 96870.45, 96050, 96382,
> > > > > > 96426.612765,
> > > > > > 0.000009, 88900, 2.791, 85558.02, 84977.109628,
> > > > > > 84683.133951,
> > > > > > 84394.870663, 92227.890836, 2.306263, 2.428989, 2.447165,
> > > > > > 2.701886,
> > > > > > 0.543194, 88418.629504, 0.5525, 0.5515, 89720.689866,
> > > > > > 88856.101525,
> > > > > > 78618.406955, 79413.144936, 81500, 80700, 80000, 81125.99,
> > > > > > 81928.04,
> > > > > > 0.000006, 0.000006, 0.000085, 0.000028, 0.000083, 0.000027,
> > > > > > 82025.99514,
> > > > > > 6.946406, 6.945675, 6.949552, 83618, 0.024, 0.000028,
> > > > > > 6.732009,
> > > > > > 6.733288, 6.725032, 84392.65, 2.401251, 84686.879799,
> > > > > > 0.000007,
> > > > > > 0.000005, 0.000005, 2033.5, 86605.99, 0.023223, 86100,
> > > > > > 0.595482,
> > > > > > 2.247826, 82214.102411, 82936.397434, 82074.529897,
> > > > > > 82801.529337,
> > > > > > 83038.750762, 83471.184268, 83344.568664, 83494.401651,
> > > > > > 83179.906336,
> > > > > > 83857.962478, 84146.764724, 84460.185312, 84642.9,
> > > > > > 84987.11819,
> > > > > > 84795.687321, 85376.758785, 84783.59, 85104.418136,
> > > > > > 85446.292013,
> > > > > > 85867.737502, 0.000006, 83126.156483, 0.000005,
> > > > > > 83255.75794,
> > > > > > 83355.928936, 77600, 77700, 77333.1, 77678.233504,
> > > > > > 79200.31448,
> > > > > > 81046.510329)), class = "journal")
> > > > > >
> > > > > > vprice, or P, is a matrix of price for each symbol. This
> > > > > > matrix
> > > > > > has
> > > > > > been obtained this way:
> > > > > >
> > > > > > token_zoo_list <- sapply(token_usdc$V1, get_token_zoo,
> > > > > > simplify
> > > > > > =
> > > > > > FALSE)
> > > > > > tokens <- pull(token_usdc, V1)
> > > > > > names(token_zoo_list) <- tokens
> > > > > > list2env(token_zoo_list, envir = .GlobalEnv)
> > > > > > P <- pricetable(BTCUSDC, SUIUSDC, ENAUSDC, AAVEUSDC,
> > > > > > ETHUSDC,
> > > > > > LINKUSDC,
> > > > > > SUSDC, OMUSDC, FTMUSDC,
> > > > > > instrument = c('BTCUSDC', 'SUIUSDC',
> > > > > > 'ENAUSDC',
> > > > > > 'AAVEUSDC', 'ETHUSDC',
> > > > > > 'LINKUSDC', 'SUSDC',
> > > > > > 'OMUSDC',
> > > > > > 'FTMUSDC'))
> > > > > >
> > > > > > P <- P[my_sequence, c('AAVEUSDC', 'BTCUSDC', 'ENAUSDC',
> > > > > > 'ETHUSDC',
> > > > > > 'FTMUSDC',
> > > > > > 'LINKUSDC', 'OMUSDC', 'SUIUSDC',
> > > > > > 'SUSDC'),
> > > > > > missing = "previous"]
> > > > > >
> > > > > > str(token_zoo_list)
> > > > > > List of 9
> > > > > > $ BTCUSDC :‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 105849 105961 101128 98300 97409 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ SUIUSDC :‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 4.65 4.61 4.35 4.17 4.56 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ ENAUSDC :‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 1.183 1.113 1.1 0.978 1.183 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ AAVEUSDC:‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 383 362 343 319 328 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ ETHUSDC :‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 4032 3883 3679 3457 3470 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ LINKUSDC:‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 29.1 27.9 25.4 23.1 23.4 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ SUSDC :‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] NA NA NA NA NA NA NA NA NA NA ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ OMUSDC :‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 4.02 4.04 3.92 4 3.79 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > > $ FTMUSDC :‘zoo’ series from 2024-12-16 to 2025-04-10
> > > > > > Data: num [1:116] 1.39 1.33 1.15 1.02 0.99 ...
> > > > > > Index: Date[1:116], format: "2024-12-16" "2024-12-17"
> > > > > > "2024-
> > > > > > 12-
> > > > > > 18"
> > > > > > "2024-12-19" ...
> > > > > >
> > > > > > BTCUSDC <- structure(c(105848.87, 105961.05, 101128.08,
> > > > > > 98300.3,
> > > > > > 97408.97,
> > > > > > 97088.03, 95443.06, 95064.95, 98696.01, 98736, 95712.33,
> > > > > > 94301.25,
> > > > > > 95148, 92948.39, 92626.69, 93310.64, 94596.01, 96809.96,
> > > > > > 98269.43,
> > > > > > 98400.01, 98669.28, 102046.23, 97148, 95266.39, 92448.01,
> > > > > > 94754,
> > > > > > 94550, 93904, 94370, 96666.41, 99735.9, 99817.99,
> > > > > > 104447.48,
> > > > > > 104200.85, 103300, 103460.9, 106014.03, 103850.01,
> > > > > > 104004.11,
> > > > > > 104780, 105073.27, 104312, 101603.43, 101198.14, 103484,
> > > > > > 105110.59,
> > > > > > 102234.61, 100645.3, 97986.41, 101807.99, 97735.92, 96468,
> > > > > > 96957.69,
> > > > > > 96075.99, 96503.47, 95850, 97407.37, 95571.39, 97816,
> > > > > > 96431.99,
> > > > > > 97161.47, 97569.99, 96875.98, 95888.45, 95264, 96538.74,
> > > > > > 98168.81,
> > > > > > 95782.78, 96643.33, 95801.79, 92423.89, 88732, 84314.01,
> > > > > > 84624.07,
> > > > > > 84114.42, 86087.98, 94238, 86587.78, 87474.27, 90445.6,
> > > > > > 90320.93,
> > > > > > 86719.99, 86329.81, 80345.99, 79462.01, 83126.01, 83642.53,
> > > > > > 81361.22,
> > > > > > 84450.63, 84386.01, 82098.91, 84069.99, 82376.81, 86169.02,
> > > > > > 84111.93,
> > > > > > 84155.21, 83946.31, 85366, 87474.32, 87488.01, 86846.85,
> > > > > > 87328.61,
> > > > > > 84433.04, 82367.24, 82215.33, 82546.71, 85222.02, 84846.44,
> > > > > > 82698.01,
> > > > > > 84155.29, 82889.55, 78904.69, 79207.82, 77037.71, 83269.99,
> > > > > > 79668.21
> > > > > > ), index = structure(c(20073, 20074, 20075, 20076, 20077,
> > > > > > 20078,
> > > > > > 20079, 20080, 20081, 20082, 20083, 20084, 20085, 20086,
> > > > > > 20087,
> > > > > > 20088, 20089, 20090, 20091, 20092, 20093, 20094, 20095,
> > > > > > 20096,
> > > > > > 20097, 20098, 20099, 20100, 20101, 20102, 20103, 20104,
> > > > > > 20105,
> > > > > > 20106, 20107, 20108, 20109, 20110, 20111, 20112, 20113,
> > > > > > 20114,
> > > > > > 20115, 20116, 20117, 20118, 20119, 20120, 20121, 20122,
> > > > > > 20123,
> > > > > > 20124, 20125, 20126, 20127, 20128, 20129, 20130, 20131,
> > > > > > 20132,
> > > > > > 20133, 20134, 20135, 20136, 20137, 20138, 20139, 20140,
> > > > > > 20141,
> > > > > > 20142, 20143, 20144, 20145, 20146, 20147, 20148, 20149,
> > > > > > 20150,
> > > > > > 20151, 20152, 20153, 20154, 20155, 20156, 20157, 20158,
> > > > > > 20159,
> > > > > > 20160, 20161, 20162, 20163, 20164, 20165, 20166, 20167,
> > > > > > 20168,
> > > > > > 20169, 20170, 20171, 20172, 20173, 20174, 20175, 20176,
> > > > > > 20177,
> > > > > > 20178, 20179, 20180, 20181, 20182, 20183, 20184, 20185,
> > > > > > 20186,
> > > > > > 20187, 20188), class = "Date"), class = "zoo")
> > > > > >
> > > > > > and so on for the other symbols.
> > > > > >
> > > > > > my_sequence is a list of date at which I will fecth
> > > > > > valuation
> > > > > > price
> > > > > > of
> > > > > > each symbol.
> > > > > > my_sequence <- structure(c(20073, 20074, 20075, 20076,
> > > > > > 20077,
> > > > > > 20078,
> > > > > > 20079,
> > > > > > 20080, 20081, 20082, 20083, 20084, 20085, 20086, 20087,
> > > > > > 20088,
> > > > > > 20089, 20090, 20091, 20092, 20093, 20094, 20095, 20096,
> > > > > > 20097,
> > > > > > 20098, 20099, 20100, 20101, 20102, 20103, 20104, 20105,
> > > > > > 20106,
> > > > > > 20107, 20108, 20109, 20110, 20111, 20112, 20113, 20114,
> > > > > > 20115,
> > > > > > 20116, 20117, 20118, 20119, 20120, 20121, 20122, 20123,
> > > > > > 20124,
> > > > > > 20125, 20126, 20127, 20128, 20129, 20130, 20131, 20132,
> > > > > > 20133,
> > > > > > 20134, 20135, 20136, 20137, 20138, 20139, 20140, 20141,
> > > > > > 20142,
> > > > > > 20143, 20144, 20145, 20146, 20147, 20148, 20149, 20150,
> > > > > > 20151,
> > > > > > 20152, 20153, 20154, 20155, 20156, 20157, 20158, 20159,
> > > > > > 20160,
> > > > > > 20161, 20162, 20163, 20164, 20165, 20166, 20167, 20168,
> > > > > > 20169,
> > > > > > 20170, 20171, 20172, 20173, 20174, 20175, 20176, 20177,
> > > > > > 20178,
> > > > > > 20179, 20180, 20181, 20182, 20183, 20184, 20185, 20186,
> > > > > > 20187,
> > > > > > 20188), class = "Date")
> > > > > >
> > > > > > length(P[,1])
> > > > > > [1] 116
> > > > > > length(my_sequence)
> > > > > > [1] 116
> > > > > >
> > > > > > Now comes the final command:
> > > > > > PL <- pl(J, along.timestamp = my_sequence, vprice = P)
> > > > > > which
> > > > > > returns an
> > > > > > error:
> > > > > > Error in xy.coords(x, y, setLab = FALSE) : 'x' and 'y'
> > > > > > lengths
> > > > > > differ
> > > > >
> > > > > I did not try to run your code, because there is something
> > > > > strange here: PMwR::pl does not use 'xy.coords'. (No function
> > > > > in PMwR does.) So where does the error message come from?
> > > > >
> > > > > kind regards
> > > > > Enrico
> > > > >
> > > > > > Why this error as all elements of the pl() command look all
> > > > > > right ?
> > > >
> > > > Here is exactly my R shell:
> > > >
> > > > gabx using magnolia [R] PL <- pl(J, along.timestamp = t.valuation,
> > > > vprice
> > > > =
> > > > P)
> > > > Error in xy.coords(x, y, setLab = FALSE) : 'x' and 'y' lengths
> > > > differ
> > > >
> > > > What else can I send to you ?
> > >
> > > Please prepare a _small_ example (maybe three tokens or
> > > so, and only a few timestamps) showing:
> > >
> > > - the result of `dput(J)` [you already show this,
> > > but please provide a smaller example],
> > dput(J)
> > structure(list(instrument = c("BTCUSDC", "AAVEUSDC", "BTCUSDC",
> > "BTCUSDC", "BTCUSDC", "AAVEUSDC", "BTCUSDC"), timestamp =
> > structure(c(1734372600,
> > 1734372720, 1734426090.135, 1734553973.032, 1735810398.277,
> > 1735812883.798,
> > 1735812912.427), tzone = "UTC", class = c("POSIXct", "POSIXt"
> > )), amount = c(9.3372107, 1152.058, 0.04811, 0.12324, -0.06504,
> > 94.408, 0.96557), price = c(107012, 386.55, 107358.81, 101422.93,
> > 96408.23, 332.340557, 96606.12)), class = "journal")
> >
> > >
> > > - the result of `dput(t.valuation)`,
> > my_sequence <- as.Date(20073:20090)
> > t.valuation <- as.POSIXct(paste(my_sequence, "23:59:59"), tz =
> > "UTC")
> > dput(t.valuation)
> > structure(c(1734393599, 1734479999, 1734566399, 1734652799,
> > 1734739199,
> > 1734825599, 1734911999, 1734998399, 1735084799, 1735171199,
> > 1735257599,
> > 1735343999, 1735430399, 1735516799, 1735603199, 1735689599,
> > 1735775999,
> > 1735862399), class = c("POSIXct", "POSIXt"), tzone = "UTC")
> >
> >
> > >
> > > - the result of `dput(P)`,
> > P <- pricetable(BTCUSDC, AAVEUSDC,
> > instrument = c('BTCUSDC', 'AAVEUSDC'))
> >
> > P <- P[my_sequence, c('AAVEUSDC', 'BTCUSDC'), missing =
> > "previous"]
> >
> > dput(P)
> > structure(c(382.68, 361.93, 343.39, 319.26, 328.11, 298.39, 319.08,
> > 388.12, 374.46, 367.89, 337.9, 323.5, 356.13, 329.39, 323.61,
> > 309.04, 320.14, 382.68, 105848.87, 105961.05, 101128.08, 98300.3,
> > 97408.97, 97088.03, 95443.06, 95064.95, 98696.01, 98736, 95712.33,
> > 94301.25, 95148, 92948.39, 92626.69, 93310.64, 94596.01,
> > 105848.87),
> > dim = c(18L, 2L), dimnames = list(c("2024-12-16", "2024-12-17",
> > "2024-12-18", "2024-12-19", "2024-12-20", "2024-12-21", "2024-12-
> > 22",
> > "2024-12-23", "2024-12-24", "2024-12-25", "2024-12-26", "2024-12-
> > 27",
> > "2024-12-28", "2024-12-29", "2024-12-30", "2024-12-31", "2025-01-
> > 01",
> > "2025-01-02"), c("AAVEUSDC", "BTCUSDC")))
> >
>
> Very good; thank you for the example. With these inputs, I get:
>
> library("PMwR")
> PL <- pl(J, along.timestamp = t.valuation, vprice = P)
> ## AAVEUSDC
> ## timestamp 2024-12-16 23:59:59 2024-12-17 23:59:59 [...]
> ## P/L total -4458.4645 -28363.6680 [...]
> ## __ realised 0 0 [...]
> ## __ unrealised -4458.4645 -28363.6680 [...]
> ## average buy 382.4441
> ## average sell NaN
> ## cum. volume 1152.058 1152.058 [...]
> ##
> ## BTCUSDC
> ## timestamp 2024-12-16 23:59:59 2024-12-17 23:59:59 [...]
> ## P/L total -10860.390 -9880.188 [...]
> ## __ realised 0.0000 0.0000 [...]
> ## __ unrealised -10860.390 -9880.188 [...]
> ## average buy 105988.6
> ## average sell 96408.23
> ## cum. volume 9.337211 9.385321 [...]
> ##
> ## ‘P/L total’ is in units of instrument;
> ## ‘volume’ is sum of /absolute/ amounts.
>
> PL[["BTCUSDC"]]
> ## ==> get details for BTCUSDC, ....
>
> So the output looks at least reasonable to me.
Yes, it doesn't spit any error too on my machine. So there is an issue
in my real data set, no idea where.
Any idea how I can proceed to understand why it works on a short sample
and not with the whole set ? Any commands I can pass to debug ?
Thank you for your help
>
> > >
> > > since these are the three inputs to `pl` that make it fail.
> > > Then people can try to reproduce the error, and, with luck,
> > > help you.
> > >
> > > > > >
> > > > > > Thank you for help.
> > > > > >
> > > > > >
> > > > > > [1]
> > > > > > https://enricoschumann.net/notes/computing-portfolio-pl.html
> > > > > >
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