[Blotter-commits] r896 - in pkg/FinancialInstrument: . R man

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

Author: gsee
Date: 2011-12-30 07:53:21 +0100 (Fri, 30 Dec 2011)
New Revision: 896

Modified:
   pkg/FinancialInstrument/DESCRIPTION
   pkg/FinancialInstrument/R/buildSpread.R
   pkg/FinancialInstrument/R/instrument.R
   pkg/FinancialInstrument/R/load.instruments.R
   pkg/FinancialInstrument/man/instrument_attr.Rd
Log:
 - reallow using multi-currency buildSpread for multi-column exchange_rate data
 - when instrument or instrument_attr are called with src arg, use setSymbolLookup on only the src, and setDefaults on the remaining items.
 - add unexported setSymbolLookup.FI2 function; a possible replacement for setSymbolLookup.FI



Modified: pkg/FinancialInstrument/DESCRIPTION
===================================================================
--- pkg/FinancialInstrument/DESCRIPTION	2011-12-27 19:25:29 UTC (rev 895)
+++ pkg/FinancialInstrument/DESCRIPTION	2011-12-30 06:53:21 UTC (rev 896)
@@ -11,7 +11,7 @@
     meta-data and relationships. Provides support for
     multi-asset class and multi-currency portfolios. Still
     in heavy development.
-Version: 0.9.20
+Version: 0.9.21
 URL: https://r-forge.r-project.org/projects/blotter/
 Date: $Date$
 Depends:

Modified: pkg/FinancialInstrument/R/buildSpread.R
===================================================================
--- pkg/FinancialInstrument/R/buildSpread.R	2011-12-27 19:25:29 UTC (rev 895)
+++ pkg/FinancialInstrument/R/buildSpread.R	2011-12-30 06:53:21 UTC (rev 896)
@@ -107,6 +107,7 @@
         if (!is.logical(instr_prices) || ncol(instr_prices) > 1) instr_prices <- getPrice(instr_prices,prefer=pref)
         if (instr$currency != spread_currency) 
             instr_prices <- redenominate(instr_prices,spread_currency,instr$currency)
+        if (NCOL(instr_prices) > 1) instr_prices <- getPrice(instr_prices, prefer=pref)
         instr_norm <- instr_prices * instr_mult * instr_ratio
         colnames(instr_norm) <- paste(as.character(spread_instr$members[i]), 
             prefer, sep = ".")

Modified: pkg/FinancialInstrument/R/instrument.R
===================================================================
--- pkg/FinancialInstrument/R/instrument.R	2011-12-27 19:25:29 UTC (rev 895)
+++ pkg/FinancialInstrument/R/instrument.R	2011-12-30 06:53:21 UTC (rev 896)
@@ -115,8 +115,18 @@
       }
   }
   if (!is.null(arg$src)) {
+      # Clear out anything stored in SymbolLookupTable
+      eval(parse(text=paste('setSymbolLookup(', primary_id, '=', 'NULL', ')', sep="")))
+
       sarg <- list()
-      sarg[[primary_id]] <- arg$src
+      if (length(arg$src) == 1) {
+          sarg[[primary_id]] <- arg$src
+      }  else {
+          sarg[[primary_id]] <- arg$src$src
+          tmparg <- arg
+          tmparg$src$src <- NULL
+          do.call(setDefaults, c("getSymbols.FI", tmparg$src))
+      }
       setSymbolLookup(sarg)
       #arg[["src"]]<-NULL
   }
@@ -945,7 +955,9 @@
 #' If the \code{attr} you are trying to change is the \dQuote{primary_id,} the instrument will be renamed.
 #' (A copy of the instrument will be stored by the name of \code{value} and the old instrument will be removed.)
 #' If the \code{attr} you are changing is \dQuote{type}, the instrument will be reclassed with that type.
-#' If \code{attr} is \dQuote{src}, \code{value} will be used in a call to \code{setSymbolLookup}.
+#' If \code{attr} is \dQuote{src}, \code{value} will be used in a call to \code{setSymbolLookup}.  If \dQuote{src}
+#' is a list with more than 1 item, \code{setSymbolLookup} will be called with the item named \sQuote{src}, and
+#' the remaining items will be passed used in a call to \code{setDefaults} along with \code{.name='getSymbols.FI'}
 #' Other checks are in place to make sure that \dQuote{currency} remains a \code{\link{currency}} object and that
 #' \dQuote{multiplier} and \dQuote{tick_size} can only be changed to reasonable values.
 #' @param primary_id primary_id of the instrument that will be updated
@@ -998,10 +1010,21 @@
         }
     }
     if (attr == 'src') {
-        sarg <- list()
-        sarg[[instr$primary_id]] <- value
-        setSymbolLookup(sarg)
-    }
+      # Clear out anything stored in SymbolLookupTable
+      eval(parse(text=paste('setSymbolLookup(', primary_id, '=', 'NULL', ')', sep="")))
+
+      sarg <- list()
+      if (length(value) == 1) {
+          sarg[[primary_id]] <- value
+      }  else {
+          sarg[[primary_id]] <- value$src
+          value$src <- NULL
+          do.call(setDefaults, c("getSymbols.FI", value))
+      }
+      setSymbolLookup(sarg)
+      #arg[["src"]]<-NULL
+  }
+
     assign(instr$primary_id, instr, pos=.instrument)
 }
 

Modified: pkg/FinancialInstrument/R/load.instruments.R
===================================================================
--- pkg/FinancialInstrument/R/load.instruments.R	2011-12-27 19:25:29 UTC (rev 895)
+++ pkg/FinancialInstrument/R/load.instruments.R	2011-12-30 06:53:21 UTC (rev 896)
@@ -207,6 +207,42 @@
     setSymbolLookup(new.symbols)
 }
 
+
+setSymbolLookup.FI2 <- function (Symbols, dir, from = "2010-01-01", to = Sys.Date(), 
+    return.class = "xts", extension = "rda", split_method = c("days", "common"), 
+    use_identifier = "primary_id", date_format = NULL, verbose = TRUE, 
+    days_to_omit = c("Saturday", "Sunday")) 
+{
+    # check that base_dir exists
+    if(!file.exists(dir)) stop('dir ', dir, ' does not seem to specify a valid path' )
+    
+    # take split
+    split_method<-split_method[1] # only use the first value
+
+    #load all instrument names
+    Symbols <- if(missing(Symbols)) {
+        ls_non_currencies(ls(pos=.instrument)) #if roots begin with a dot, this will filter out roots and currencies
+    } else Symbols
+
+    args <- list(
+                src="FI",
+                dir=dir, 
+                from=from, 
+                to=to,
+                return.class=return.class, 
+                extension=extension,
+                split_method=split_method,
+                use_identifier=use_identifier,
+                date_format=date_format, 
+                verbose=verbose, 
+                days_to_omit=days_to_omit)
+
+    for (s in Symbols) {
+        instrument_attr(s, "src", args)
+    }
+}
+
+
 #' getSymbols method for loading data from split files
 #' 
 #' This function should probably get folded back into getSymbols.rda in quantmod.

Modified: pkg/FinancialInstrument/man/instrument_attr.Rd
===================================================================
--- pkg/FinancialInstrument/man/instrument_attr.Rd	2011-12-27 19:25:29 UTC (rev 895)
+++ pkg/FinancialInstrument/man/instrument_attr.Rd	2011-12-30 06:53:21 UTC (rev 896)
@@ -29,8 +29,13 @@
   the \code{attr} you are changing is \dQuote{type}, the
   instrument will be reclassed with that type. If
   \code{attr} is \dQuote{src}, \code{value} will be used in
-  a call to \code{setSymbolLookup}. Other checks are in
-  place to make sure that \dQuote{currency} remains a
+  a call to \code{setSymbolLookup}.  If \dQuote{src} is a
+  list with more than 1 item, \code{setSymbolLookup} will
+  be called with the item named \sQuote{src}, and the
+  remaining items will be passed used in a call to
+  \code{setDefaults} along with
+  \code{.name='getSymbols.FI'} Other checks are in place to
+  make sure that \dQuote{currency} remains a
   \code{\link{currency}} object and that
   \dQuote{multiplier} and \dQuote{tick_size} can only be
   changed to reasonable values.