[Blotter-commits] r163 - pkg/blotter/R

[noreply at r-forge.r-project.org]

Author: peter_carl
Date: 2010-01-15 22:25:41 +0100 (Fri, 15 Jan 2010)
New Revision: 163

Modified:
   pkg/blotter/R/addTxn.R
   pkg/blotter/R/calcPosAvgCost.R
   pkg/blotter/R/calcTxnAvgCost.R
Log:
- added ConMult to calculations for correct scaling


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2010-01-15 20:26:45 UTC (rev 162)
+++ pkg/blotter/R/addTxn.R	2010-01-15 21:25:41 UTC (rev 163)
@@ -36,7 +36,7 @@
     txnfees <- ifelse( is.function(TxnFees), TxnFees(TxnQty, TxnPrice), TxnFees)
     # Calculate the value and average cost of the transaction
     TxnValue = calcTxnValue(TxnQty, TxnPrice, txnfees, ConMult)
-    TxnAvgCost = calcTxnAvgCost(TxnValue, TxnQty)
+    TxnAvgCost = calcTxnAvgCost(TxnValue, TxnQty, ConMult)
 
     # Calculate the change in position
     PrevPosQty = getPosQty(pname, Symbol, TxnDate)
@@ -44,7 +44,7 @@
 
     # Calculate the resulting position's average cost
     PrevPosAvgCost = getPosAvgCost(pname, Symbol, TxnDate)
-    PosAvgCost = calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty)
+    PosAvgCost = calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult)
 
     # Calculate any realized profit or loss (net of fees) from the transaction
     RealizedPL = calcRealizedPL(TxnQty, TxnAvgCost, PrevPosAvgCost, PosQty, PrevPosQty, ConMult)
@@ -75,7 +75,7 @@
     if(is.null(ConMult)){
         tmp_instr<-try(getInstrument(Symbol))
         if(inherits(tmp_instr,"try-error")){
-            warning(paste("Instrument",Symbol," not found, using contract multiplier of 1"))
+            warning(paste("Instrument",Symbiol," not found, using contract multiplier of 1"))
             ConMult<-1
         } else {
             ConMult<-tmp_instr$multiplier
@@ -93,13 +93,13 @@
         TxnFee         <- 0 #TODO FIXME support transaction fees in addTxns
         #TxnFee         <- ifelse( is.function(TxnFees), TxnFees(TxnQty, TxnPrice), TxnFees)
         TxnValue       <- calcTxnValue(TxnQty, TxnPrice, TxnFee, ConMult)
-        TxnAvgCost     <- calcTxnAvgCost(TxnValue, TxnQty)
+        TxnAvgCost     <- calcTxnAvgCost(TxnValue, TxnQty, ConMult)
         #PrevPosQty     <- getPosQty(pname, Symbol, index(TxnData[row,]))
         PosQty         <- PrevPosQty+TxnQty
-        PosAvgCost     <- calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty) # lag this over the data?
-        RealizedPL = calcRealizedPL(TxnQty, TxnAvgCost, PrevPosAvgCost, PosQty, PrevPosQty, ConMult)
+        PosAvgCost     <- calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult) # lag this over the data?
         PrevPosQty     <- PosQty
         PrevPosAvgCost <- PosAvgCost
+        RealizedPL = calcRealizedPL(TxnQty, TxnAvgCost, PrevPosAvgCost, PosQty, PrevPosQty, ConMult)
         
         NewTxn = xts(t(c(TxnQty, 
                          TxnPrice, 

Modified: pkg/blotter/R/calcPosAvgCost.R
===================================================================
--- pkg/blotter/R/calcPosAvgCost.R	2010-01-15 20:26:45 UTC (rev 162)
+++ pkg/blotter/R/calcPosAvgCost.R	2010-01-15 21:25:41 UTC (rev 163)
@@ -18,7 +18,7 @@
     if(PosQty == 0)
         PosAvgCost = 0
     else {
-        PosAvgCost = (PrevPosQty * PrevPosAvgCost + TxnValue)/PosQty
+        PosAvgCost = (PrevPosQty * PrevPosAvgCost + TxnValue)/(PosQty*ConMult)
     }
     return(PosAvgCost)
 }

Modified: pkg/blotter/R/calcTxnAvgCost.R
===================================================================
--- pkg/blotter/R/calcTxnAvgCost.R	2010-01-15 20:26:45 UTC (rev 162)
+++ pkg/blotter/R/calcTxnAvgCost.R	2010-01-15 21:25:41 UTC (rev 163)
@@ -1,5 +1,5 @@
 `calcTxnAvgCost` <-
-function(TxnValue, TxnQty)
+function(TxnValue, TxnQty, ConMult)
 { # @author Peter Carl
 
     # DESCRIPTION:
@@ -14,7 +14,7 @@
     # Outputs
     # TxnAvgCost: unit normalized (per share) cost implied by the transaction
 
-    TxnAvgCost = TxnValue/TxnQty
+    TxnAvgCost = TxnValue/(TxnQty*ConMult)
     return(TxnAvgCost)
 }