From noreply at r-forge.r-project.org  Tue Oct  7 17:45:59 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue,  7 Oct 2014 17:45:59 +0200 (CEST)
Subject: [Blotter-commits] r1635 - pkg/blotter/R
Message-ID: <20141007154559.3D4B61874BC@r-forge.r-project.org>

Author: braverock
Date: 2014-10-07 17:45:59 +0200 (Tue, 07 Oct 2014)
New Revision: 1635

Modified:
   pkg/blotter/R/tradeStats.R
Log:
- check for div by zero error, patch suggested by Daniel Cegielka

Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R	2014-09-19 19:14:12 UTC (rev 1634)
+++ pkg/blotter/R/tradeStats.R	2014-10-07 15:45:59 UTC (rev 1635)
@@ -147,7 +147,7 @@
             
             GrossProfits <- sum(PL.gt0)
             GrossLosses  <- sum(PL.lt0)
-            ProfitFactor <- abs(GrossProfits/GrossLosses)
+            ProfitFactor <- ifelse(GrossLosses == 0, NA, abs(GrossProfits/GrossLosses))
             
             AvgTradePL <- mean(PL.ne0)
             MedTradePL <- median(PL.ne0)


From noreply at r-forge.r-project.org  Tue Oct  7 17:47:10 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue,  7 Oct 2014 17:47:10 +0200 (CEST)
Subject: [Blotter-commits] r1636 - pkg/blotter
Message-ID: <20141007154710.481FE186978@r-forge.r-project.org>

Author: braverock
Date: 2014-10-07 17:47:09 +0200 (Tue, 07 Oct 2014)
New Revision: 1636

Modified:
   pkg/blotter/DESCRIPTION
Log:
- change version mechanism to major.minor.svnrev to match PerfA and quantstrat

Modified: pkg/blotter/DESCRIPTION
===================================================================
--- pkg/blotter/DESCRIPTION	2014-10-07 15:45:59 UTC (rev 1635)
+++ pkg/blotter/DESCRIPTION	2014-10-07 15:47:09 UTC (rev 1636)
@@ -2,7 +2,7 @@
 Type: Package
 Title: Tools for transaction-oriented trading systems
     development.
-Version: 0.8.19
+Version: 0.9.1636
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>


From noreply at r-forge.r-project.org  Tue Oct  7 17:51:22 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue,  7 Oct 2014 17:51:22 +0200 (CEST)
Subject: [Blotter-commits] r1637 - in pkg/blotter: . R
Message-ID: <20141007155122.2A0B21874D2@r-forge.r-project.org>

Author: braverock
Date: 2014-10-07 17:51:21 +0200 (Tue, 07 Oct 2014)
New Revision: 1637

Modified:
   pkg/blotter/DESCRIPTION
   pkg/blotter/R/tradeStats.R
Log:
- divide by zero checks for implausibly perfect systems suggested by Daniel Cegielka

Modified: pkg/blotter/DESCRIPTION
===================================================================
--- pkg/blotter/DESCRIPTION	2014-10-07 15:47:09 UTC (rev 1636)
+++ pkg/blotter/DESCRIPTION	2014-10-07 15:51:21 UTC (rev 1637)
@@ -2,7 +2,7 @@
 Type: Package
 Title: Tools for transaction-oriented trading systems
     development.
-Version: 0.9.1636
+Version: 0.9.1637
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>
@@ -23,7 +23,7 @@
 Suggests:
     Hmisc,
     RUnit,
-Contributors: Dirk Eddelbuettel, Jan Humme, Lance Levenson,
+Contributors: Daniel Cegielka, Dirk Eddelbuettel, Jan Humme, Lance Levenson,
     Ben McCann, Jeff Ryan, Garrett See, Joshua Ulrich, Wolfgang Wu
 URL: https://r-forge.r-project.org/projects/blotter/
 Copyright: (c) 2008-2014

Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R	2014-10-07 15:47:09 UTC (rev 1636)
+++ pkg/blotter/R/tradeStats.R	2014-10-07 15:51:21 UTC (rev 1637)
@@ -152,7 +152,7 @@
             AvgTradePL <- mean(PL.ne0)
             MedTradePL <- median(PL.ne0)
             StdTradePL <- sd(as.numeric(as.vector(PL.ne0)))  
-            AnnSharpe  <- AvgDailyPL/StdDailyPL * sqrt(252)
+            AnnSharpe  <- ifelse(StdDailyPL == 0, NA, AvgDailyPL/StdDailyPL * sqrt(252))
             
             NumberOfTxns   <- nrow(txn)-1
             NumberOfTrades <- length(PL.ne0)
@@ -168,8 +168,8 @@
             AvgLossTrade <- mean(PL.lt0)
             MedLossTrade <- median(PL.lt0)
             
-            AvgWinLoss <- AvgWinTrade/-AvgLossTrade
-            MedWinLoss <- MedWinTrade/-MedLossTrade
+            AvgWinLoss <- ifelse(AvgLossTrade == 0, NA, AvgWinTrade/-AvgLossTrade)
+            MedWinLoss <- ifelse(MedLossTrade == 0, NA, MedWinTrade/-MedLossTrade)
             
             Equity <- cumsum(posPL$Net.Trading.PL)
             if(!nrow(Equity)){
@@ -194,7 +194,7 @@
             #TODO we should back out position value if we've got an open position and double check here....
 	
             MaxDrawdown            <- -max(Equity.max - Equity)
-            ProfitToMaxDraw        <- -TotalNetProfit / MaxDrawdown
+            ProfitToMaxDraw  <- ifelse(MaxDrawdown == 0, NA, -TotalNetProfit / MaxDrawdown)
             names(ProfitToMaxDraw) <- 'Profit.To.Max.Draw'
                 
             #TODO add skewness, kurtosis, and positive/negative semideviation if PerfA is available.


From noreply at r-forge.r-project.org  Wed Oct  8 05:43:17 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed,  8 Oct 2014 05:43:17 +0200 (CEST)
Subject: [Blotter-commits] r1638 - in pkg/FinancialInstrument: . R
	inst/parser man
Message-ID: <20141008034317.4889A1874EE@r-forge.r-project.org>

Author: gsee
Date: 2014-10-08 05:43:16 +0200 (Wed, 08 Oct 2014)
New Revision: 1638

Modified:
   pkg/FinancialInstrument/DESCRIPTION
   pkg/FinancialInstrument/NAMESPACE
   pkg/FinancialInstrument/NEWS
   pkg/FinancialInstrument/R/FinancialInstrument-package.R
   pkg/FinancialInstrument/R/buildSpread.R
   pkg/FinancialInstrument/R/build_symbols.R
   pkg/FinancialInstrument/R/load.instruments.R
   pkg/FinancialInstrument/R/redenominate.R
   pkg/FinancialInstrument/R/update_instruments.yahoo.R
   pkg/FinancialInstrument/inst/parser/download.tblox.R
   pkg/FinancialInstrument/man/C2M.Rd
   pkg/FinancialInstrument/man/CompareInstrumentFiles.Rd
   pkg/FinancialInstrument/man/FinancialInstrument-package.Rd
   pkg/FinancialInstrument/man/FindCommonInstrumentAttributes.Rd
   pkg/FinancialInstrument/man/Notionalize.Rd
   pkg/FinancialInstrument/man/Tick2Sec.Rd
   pkg/FinancialInstrument/man/add.defined.by.Rd
   pkg/FinancialInstrument/man/add.identifier.Rd
   pkg/FinancialInstrument/man/all.equal.instrument.Rd
   pkg/FinancialInstrument/man/buildHierarchy.Rd
   pkg/FinancialInstrument/man/buildRatio.Rd
   pkg/FinancialInstrument/man/buildSpread.Rd
   pkg/FinancialInstrument/man/build_series_symbols.Rd
   pkg/FinancialInstrument/man/build_spread_symbols.Rd
   pkg/FinancialInstrument/man/currencies.Rd
   pkg/FinancialInstrument/man/exchange_rate.Rd
   pkg/FinancialInstrument/man/expires.Rd
   pkg/FinancialInstrument/man/expires.character.Rd
   pkg/FinancialInstrument/man/expires.instrument.Rd
   pkg/FinancialInstrument/man/expires.spread.Rd
   pkg/FinancialInstrument/man/expires.xts.Rd
   pkg/FinancialInstrument/man/find.instrument.Rd
   pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd
   pkg/FinancialInstrument/man/formatSpreadPrice.Rd
   pkg/FinancialInstrument/man/format_id.Rd
   pkg/FinancialInstrument/man/getInstrument.Rd
   pkg/FinancialInstrument/man/getSymbols.FI.Rd
   pkg/FinancialInstrument/man/get_rate.Rd
   pkg/FinancialInstrument/man/instrument.Rd
   pkg/FinancialInstrument/man/instrument.auto.Rd
   pkg/FinancialInstrument/man/instrument.table.Rd
   pkg/FinancialInstrument/man/instrument_attr.Rd
   pkg/FinancialInstrument/man/is.currency.Rd
   pkg/FinancialInstrument/man/is.currency.name.Rd
   pkg/FinancialInstrument/man/is.instrument.Rd
   pkg/FinancialInstrument/man/is.instrument.name.Rd
   pkg/FinancialInstrument/man/load.instruments.Rd
   pkg/FinancialInstrument/man/ls_by_currency.Rd
   pkg/FinancialInstrument/man/ls_by_expiry.Rd
   pkg/FinancialInstrument/man/ls_expiries.Rd
   pkg/FinancialInstrument/man/ls_instruments.Rd
   pkg/FinancialInstrument/man/ls_instruments_by.Rd
   pkg/FinancialInstrument/man/ls_strikes.Rd
   pkg/FinancialInstrument/man/ls_underlyings.Rd
   pkg/FinancialInstrument/man/make_spread_id.Rd
   pkg/FinancialInstrument/man/month_cycle2numeric.Rd
   pkg/FinancialInstrument/man/next.future_id.Rd
   pkg/FinancialInstrument/man/option_series.yahoo.Rd
   pkg/FinancialInstrument/man/parse_id.Rd
   pkg/FinancialInstrument/man/parse_suffix.Rd
   pkg/FinancialInstrument/man/print.id.list.Rd
   pkg/FinancialInstrument/man/print.instrument.Rd
   pkg/FinancialInstrument/man/print.suffix.list.Rd
   pkg/FinancialInstrument/man/redenominate.Rd
   pkg/FinancialInstrument/man/root_contracts.Rd
   pkg/FinancialInstrument/man/saveInstruments.Rd
   pkg/FinancialInstrument/man/saveSymbols.days.Rd
   pkg/FinancialInstrument/man/series_instrument.Rd
   pkg/FinancialInstrument/man/setSymbolLookup.FI.Rd
   pkg/FinancialInstrument/man/sort.instrument.Rd
   pkg/FinancialInstrument/man/sort_ids.Rd
   pkg/FinancialInstrument/man/synthetic.instrument.Rd
   pkg/FinancialInstrument/man/to_daily.Rd
   pkg/FinancialInstrument/man/update_instruments.iShares.Rd
   pkg/FinancialInstrument/man/update_instruments.instrument.Rd
   pkg/FinancialInstrument/man/update_instruments.masterDATA.Rd
   pkg/FinancialInstrument/man/update_instruments.morningstar.Rd
   pkg/FinancialInstrument/man/update_instruments.yahoo.Rd
   pkg/FinancialInstrument/man/volep.Rd
Log:
Updates for CRAN (remove importDefaults(), remove `:::` calls). upgrade roxygen2.

Modified: pkg/FinancialInstrument/DESCRIPTION
===================================================================
--- pkg/FinancialInstrument/DESCRIPTION	2014-10-07 15:51:21 UTC (rev 1637)
+++ pkg/FinancialInstrument/DESCRIPTION	2014-10-08 03:43:16 UTC (rev 1638)
@@ -1,4 +1,4 @@
-Copyright: (c) 2004 - 2013
+Copyright: (c) 2004 - 2014
 Package: FinancialInstrument
 Maintainer: G See <gsee000 at gmail.com>
 License: GPL
@@ -8,50 +8,19 @@
 Author: Peter Carl, Brian G. Peterson, Garrett See
 Description: Infrastructure for defining meta-data and
     relationships for financial instruments.
-Version: 1.1.9
+Version: 1.2.0
 URL: https://r-forge.r-project.org/projects/blotter/
-Date: 2013-05-26
+Date: 2014-10-07
 Depends:
     R (>= 2.12.0),
     quantmod(>= 0.3-17),
+Imports:
+    zoo(>= 1.7-5),
     xts,
-    zoo(>= 1.7-5)
+    TTR
 Suggests:
     foreach,
     XML (>= 3.96.1.1),
-    testthat
-Collate:
-    'buildHierarchy.R'
-    'buildSpread.R'
-    'build_symbols.R'
-    'instrument.R'
-    'instrument.table.R'
-    'load.instruments.R'
-    'redenominate.R'
-    'splice.R'
-    'splooth.R'
-    'synthetic.R'
-    'volep.R'
-    'parse_id.R'
-    'MonthCodes.R'
-    'format_id.R'
-    'ls_by_expiry.R'
-    'ls_instruments_by.R'
-    'ls_instruments.R'
-    'ls_strikes.R'
-    'ls_underlyings.R'
-    'update_instruments.yahoo.R'
-    'ls_by_currency.R'
-    'saveInstruments.R'
-    'ls_expiries.R'
-    'saveSymbols.R'
-    'Tick2Sec.R'
-    'all.equal.instrument.R'
-    'expires.R'
-    'find.instrument.R'
-    'FinancialInstrument-package.R'
-    'FindCommonInstrumentAttributes.R'
-    'Notionalize.R'
-    'update_instruments.iShares.R'
-    'update_instruments.morningstar.R'
-    'CompareInstrumentFiles.R'
+    testthat,
+    its,
+    timeSeries

Modified: pkg/FinancialInstrument/NAMESPACE
===================================================================
--- pkg/FinancialInstrument/NAMESPACE	2014-10-07 15:51:21 UTC (rev 1637)
+++ pkg/FinancialInstrument/NAMESPACE	2014-10-08 03:43:16 UTC (rev 1638)
@@ -1,3 +1,22 @@
+# Generated by roxygen2 (4.0.2): do not edit by hand
+
+S3method(all.equal,instrument)
+S3method(expires,character)
+S3method(expires,instrument)
+S3method(expires,xts)
+S3method(print,id.list)
+S3method(print,instrument)
+S3method(print,suffix.list)
+S3method(sort,instrument)
+export(.to_daily)
+export(C2M)
+export(CompareInstrumentFiles)
+export(Denotionalize)
+export(ICS)
+export(ICS_root)
+export(M2C)
+export(MC2N)
+export(Notionalize)
 export(add.defined.by)
 export(add.identifier)
 export(bond)
@@ -5,32 +24,27 @@
 export(buildBasket)
 export(buildHierarchy)
 export(buildRatio)
+export(buildSpread)
 export(build_series_symbols)
-export(buildSpread)
 export(build_spread_symbols)
 export(butterfly)
-export(C2M)
-export(CompareInstrumentFiles)
 export(currency)
-export(Denotionalize)
 export(exchange_rate)
 export(expires)
 export(find.instrument)
 export(fn_SpreadBuilder)
+export(formatSpreadPrice)
 export(format_id)
-export(formatSpreadPrice)
 export(fund)
 export(future)
 export(future_series)
 export(getInstrument)
 export(getSymbols.FI)
 export(guaranteed_spread)
-export(ICS)
-export(ICS_root)
 export(instrument)
-export(instrument_attr)
 export(instrument.auto)
 export(instrument.table)
+export(instrument_attr)
 export(is.currency)
 export(is.currency.name)
 export(is.instrument)
@@ -38,49 +52,46 @@
 export(load.instruments)
 export(loadInstruments)
 export(ls_AUD)
+export(ls_CAD)
+export(ls_CHF)
+export(ls_EUR)
+export(ls_FX)
+export(ls_GBP)
+export(ls_HKD)
+export(ls_ICS)
+export(ls_ICS_roots)
+export(ls_JPY)
+export(ls_NZD)
+export(ls_SEK)
+export(ls_USD)
 export(ls_bonds)
 export(ls_by_currency)
 export(ls_by_expiry)
-export(ls_CAD)
 export(ls_calls)
-export(ls_CHF)
 export(ls_currencies)
 export(ls_derivatives)
-export(ls_EUR)
 export(ls_exchange_rates)
 export(ls_expires)
 export(ls_expiries)
 export(ls_funds)
+export(ls_future_series)
 export(ls_futures)
-export(ls_future_series)
-export(ls_FX)
-export(ls_GBP)
 export(ls_guaranteed_spreads)
-export(ls_HKD)
-export(ls_ICS)
-export(ls_ICS_roots)
 export(ls_instruments)
 export(ls_instruments_by)
-export(ls_JPY)
 export(ls_non_currencies)
 export(ls_non_derivatives)
-export(ls_NZD)
+export(ls_option_series)
 export(ls_options)
-export(ls_option_series)
 export(ls_puts)
-export(ls_SEK)
 export(ls_spreads)
 export(ls_stocks)
 export(ls_strikes)
 export(ls_synthetics)
 export(ls_underlyings)
-export(ls_USD)
-export(M2C)
 export(make_spread_id)
-export(MC2N)
 export(month_cycle2numeric)
 export(next.future_id)
-export(Notionalize)
 export(option)
 export(option_series)
 export(option_series.yahoo)
@@ -89,6 +100,7 @@
 export(prev.future_id)
 export(redenominate)
 export(reloadInstruments)
+export(rm_FX)
 export(rm_bonds)
 export(rm_by_currency)
 export(rm_by_expiry)
@@ -96,13 +108,12 @@
 export(rm_derivatives)
 export(rm_exchange_rates)
 export(rm_funds)
+export(rm_future_series)
 export(rm_futures)
-export(rm_future_series)
-export(rm_FX)
 export(rm_instruments)
 export(rm_non_derivatives)
+export(rm_option_series)
 export(rm_options)
-export(rm_option_series)
 export(rm_spreads)
 export(rm_stocks)
 export(rm_synthetics)
@@ -115,25 +126,41 @@
 export(stock)
 export(synthetic)
 export(synthetic.instrument)
-export(.to_daily)
 export(to_secBATV)
+export(update_instruments.SPDR)
+export(update_instruments.TTR)
+export(update_instruments.iShares)
 export(update_instruments.instrument)
-export(update_instruments.iShares)
 export(update_instruments.masterDATA)
 export(update_instruments.md)
 export(update_instruments.morningstar)
 export(update_instruments.ms)
-export(update_instruments.SPDR)
-export(update_instruments.TTR)
 export(update_instruments.yahoo)
 export(volep)
+import(xts)
+importFrom(TTR,runSum)
+importFrom(TTR,stockSymbols)
+importFrom(quantmod,Ad)
+importFrom(quantmod,Cl)
+importFrom(quantmod,OHLC)
+importFrom(quantmod,Op)
+importFrom(quantmod,Vo)
+importFrom(quantmod,getOptionChain)
+importFrom(quantmod,getPrice)
+importFrom(quantmod,getQuote)
+importFrom(quantmod,getSymbolLookup)
+importFrom(quantmod,getSymbols)
+importFrom(quantmod,has.Ad)
+importFrom(quantmod,has.Ask)
+importFrom(quantmod,has.Bid)
+importFrom(quantmod,has.Cl)
+importFrom(quantmod,has.Op)
+importFrom(quantmod,has.Price)
+importFrom(quantmod,has.Trade)
+importFrom(quantmod,has.Vo)
+importFrom(quantmod,is.BBO)
+importFrom(quantmod,is.HLC)
+importFrom(quantmod,is.OHLC)
+importFrom(quantmod,setSymbolLookup)
+importFrom(quantmod,yahooQF)
 importFrom(zoo,as.Date)
-import(xts)
-S3method(all.equal,instrument)
-S3method(expires,character)
-S3method(expires,instrument)
-S3method(expires,xts)
-S3method(print,id.list)
-S3method(print,instrument)
-S3method(print,suffix.list)
-S3method(sort,instrument)

Modified: pkg/FinancialInstrument/NEWS
===================================================================
--- pkg/FinancialInstrument/NEWS	2014-10-07 15:51:21 UTC (rev 1637)
+++ pkg/FinancialInstrument/NEWS	2014-10-08 03:43:16 UTC (rev 1638)
@@ -4,6 +4,11 @@
 USER VISIBLE CHANGES
 --------------------
 
+* No longer using Defaults package (which is now archived on CRAN) in
+  getSymbols.FI.
+
+* remove some `:::` calls to unexported functions from quantmod.
+
 * saveInstruments() gains a "compress" argument to allow for different 
   compression than the default ("gzip")
 

Modified: pkg/FinancialInstrument/R/FinancialInstrument-package.R
===================================================================
--- pkg/FinancialInstrument/R/FinancialInstrument-package.R	2014-10-07 15:51:21 UTC (rev 1637)
+++ pkg/FinancialInstrument/R/FinancialInstrument-package.R	2014-10-08 03:43:16 UTC (rev 1638)
@@ -1,3 +1,11 @@
+
+
+#' @importFrom quantmod getQuote is.HLC is.OHLC OHLC is.BBO has.Bid has.Ask 
+#'  has.Op has.Ad has.Trade has.Price getPrice Op Cl Ad has.Cl getSymbols   
+#'  getSymbolLookup setSymbolLookup yahooQF has.Vo Vo getOptionChain
+#' @importFrom TTR stockSymbols runSum
+NULL
+
 #' Construct, manage and store contract specifications for trading
 #'
 #' Transaction-oriented infrastructure for defining tradable instruments based 
@@ -246,3 +254,62 @@
 #'}
 NULL
 
+# Copied from quantmod because it's not exported
+has.Mid <- function (x, which = FALSE) {
+    colAttr <- attr(x, "Mid")
+    if (!is.null(colAttr)) 
+        return(if (which) colAttr else TRUE)
+    loc <- grep("Mid", colnames(x), ignore.case = TRUE)
+    if (!identical(loc, integer(0))) 
+        return(ifelse(which, loc, TRUE))
+    ifelse(which, loc, FALSE)
+}
+
+# copied from quantmod:::convert.time.series since it is not exported
+convert.time.series <- function (fr, return.class) {
+    if ("quantmod.OHLC" %in% return.class) {
+        class(fr) <- c("quantmod.OHLC", "zoo")
+        return(fr)
+    }
+    else if ("xts" %in% return.class) {
+        return(fr)
+    }
+    if ("zoo" %in% return.class) {
+        return(as.zoo(fr))
+    }
+    else if ("ts" %in% return.class) {
+        fr <- as.ts(fr)
+        return(fr)
+    }
+    else if ("data.frame" %in% return.class) {
+        fr <- as.data.frame(fr)
+        return(fr)
+    }
+    else if ("matrix" %in% return.class) {
+        fr <- as.data.frame(fr)
+        return(fr)
+    }
+    else if ("its" %in% return.class) {
+        if ("package:its" %in% search() || suppressMessages(require("its", 
+            quietly = TRUE))) {
+            fr.dates <- as.POSIXct(as.character(index(fr)))
+            fr <- its::its(coredata(fr), fr.dates)
+            return(fr)
+        }
+        else {
+            warning(paste("'its' from package 'its' could not be loaded:", 
+                " 'xts' class returned"))
+        }
+    }
+    else if ("timeSeries" %in% return.class) {
+        if ("package:timeSeries" %in% search() || suppressMessages(require("timeSeries", 
+            quietly = TRUE))) {
+            fr <- timeSeries(coredata(fr), charvec = as.character(index(fr)))
+            return(fr)
+        }
+        else {
+            warning(paste("'timeSeries' from package 'timeSeries' could not be loaded:", 
+                " 'xts' class returned"))
+        }
+    }
+}

Modified: pkg/FinancialInstrument/R/buildSpread.R
===================================================================
--- pkg/FinancialInstrument/R/buildSpread.R	2014-10-07 15:51:21 UTC (rev 1637)
+++ pkg/FinancialInstrument/R/buildSpread.R	2014-10-08 03:43:16 UTC (rev 1638)
@@ -50,8 +50,6 @@
 #' @export
 buildSpread <- function(spread_id, Dates = NULL, onelot=TRUE, prefer = NULL, 
                         auto.assign=TRUE, env=.GlobalEnv) {
-    has.Mid <- quantmod:::has.Mid #FIXME: this should be exported from quatmod
-    
     spread_instr <- try(getInstrument(spread_id))
     if (inherits(spread_instr, "try-error") | !is.instrument(spread_instr)) {
         stop(paste("Instrument", spread_instr, " not found, please create it first."))
@@ -219,10 +217,13 @@
 #' stock("SPY", "USD")
 #' stock("DIA", "USD")
 #' getSymbols(c("SPY","DIA"))
-#' fSB <- fn_SpreadBuilder("SPY","DIA") #can call with names of instrument/xts ojects
+#' 
+#' #can call with names of instrument/xts ojects
+#' fSB <- fn_SpreadBuilder("SPY","DIA") 
 #' fSB2 <- fn_SpreadBuilder(SPY,DIA) # or you can pass xts objects
 #'
-#' fSB3 <- fn_SpreadBuilder("SPY","DIA",1.1) #assuming you first somehow calculated the ratio to be a constant 1.1
+#' #assuming you first somehow calculated the ratio to be a constant 1.1
+#' fSB3 <- fn_SpreadBuilder("SPY","DIA",1.1) 
 #' head(fSB)
 #'
 #' # Call fn_SpreadBuilder with vector of 2 instrument names

Modified: pkg/FinancialInstrument/R/build_symbols.R
===================================================================
--- pkg/FinancialInstrument/R/build_symbols.R	2014-10-07 15:51:21 UTC (rev 1637)
+++ pkg/FinancialInstrument/R/build_symbols.R	2014-10-08 03:43:16 UTC (rev 1638)
@@ -1,209 +1,209 @@
-#' construct a series of symbols based on root symbol and suffix letters
-#'
-#' The columns needed by this version of the function are \code{primary_id}
-#' and \code{month_cycle}. \code{primary_id} should match the \code{primary_id}
-#' of the instrument describing the root contract.
-#' \code{month_cycle} should contain a comma delimited string describing the
-#' month sequence to use, e.g. \code{"F,G,H,J,K,M,N,Q,U,V,X,Z"} for all months
-#' using the standard futures letters, or \code{"H,M,U,Z"} for quarters, or
-#' \code{"Mar,Jun,Sep,Dec"} for quarters as three-letter month abbreviations, etc.
-#' The correct values will vary based on your data source.
-#'
-#' TODO add more flexibility in input formats for \code{roots}
-#' #' @param yearlist vector of year suffixes to be applied, see Details
-#' @param roots data.frame containing at least columns \code{primary_id} and \code{month_cycle}, see Details
-#' @author Brian G. Peterson
-#' @seealso \code{\link{load.instruments}}
-#' @export
-build_series_symbols <- function(roots, yearlist=c(0,1)) {
-        symbols<-''
-        id_col<-grep('primary_id',colnames(roots)) #TODO: check length
-	date_col<-grep('month_cycle',colnames(roots)) #TODO: check length
-	for (year_code in yearlist){
-		for(i in 1:nrow(roots)) {
-			symbols <- c(symbols, paste(paste(roots[i,id_col], strsplit(as.character(roots[i,date_col]),",")[[1]],sep=''),year_code,sep=''))
-		}
-	}
-	return(symbols[-1])
-}
-
-#' build symbols for exchange guaranteed (calendar) spreads
-#'
-#' The columns needed by this version of the function are \code{primary_id},
-#'  \code{month_cycle}, and code \code{contracts_ahead}.
-#'
-#' \code{primary_id} should match the \code{primary_id}
-#' of the instrument describing the root contract.
-#'
-#' \code{month_cycle} should contain a comma delimited string describing the
-#' month sequence to use, e.g. \code{"F,G,H,J,K,M,N,Q,U,V,X,Z"} for all months
-#' using the standard futures letters, or \code{"H,M,U,Z"} for quarters, or
-#' \code{"Mar,Jun,Sep,Dec"} for quarters as three-letter month abbreviations, etc.
-#' The correct values will vary based on your data source.
-#'
-#' \code{contracts_ahead} should contain a comma-delimited string describing
-#' the cycle on which the guaranteed calendar spreads are to be consructed,
-#' e.g. '1' for one-month spreads, '1,3' for one and three month spreads,
-#' '1,6,12' for 1, 6, and 12 month spreads, etc.  
-#' For quarterly symbols, the correct \code{contracts_ahead} may be 
-#' something like '1,2,3' for quarterly, bi-annual, and annual spreads.  
-#'
-#' \code{active_months} is a numeric field indicating how many months including  
-#' the month of the \code{start_date} the contract is available to trade.  
-#' This number will be used as the upper limit for symbol generation.
-#' 
-#' If \code{type} is also specified, it should be a specific instrument type, 
-#' e.g. 'future_series','option_series','guaranteed_spread' or 'calendar_spread' 
-#'
-#' One of \code{data} or \code{file} must be populated for input data.
-#'
-#' @param data data.frame containing at least columns \code{primary_id}, \code{month_cycle}, amd \code{contracts_ahead}, see Details
-#' @param file if not NULL, will read input data from the file named by this argument, in the same folrmat as \code{data}, above
-#' @param outputfile if not NULL, will write out put to this file as a CSV
-#' @param start_date date to start building from, of type \code{Date} or an ISO-8601 date string, defaults to \code{\link{Sys.Date}}
-#' @author Ilya Kipnis <Ilya.Kipnis<at>gmail.com>
-#' @seealso
-#' \code{\link{load.instruments}}
-#' \code{\link{build_series_symbols}}
-#' @examples 
-#' build_spread_symbols(data=data.frame(primary_id='CL',
-#'                                      month_sequence="F,G,H,J,K,M,N,Q,U,V,X,Z",
-#'                                      contracts_ahead="1,2,3",
-#'                                      type='calendar_spread')
-#' @export
-build_spread_symbols <- function(data=NULL,file=NULL,outputfile=NULL,start_date=Sys.Date())
-{
-        if(!is.null(data)) {
-                Data<-data
-        } else if(!is.null(file)) {
-                Data<-read.csv(file,header=TRUE,stringsAsFactors=FALSE)
-        } else {
-                stop("you must either pass a data.frame as the 'data' parameter or pass the 'file' parameter")
-        }
-
-
-
-	yearCheck<-function(monthNum,yearNum){
-		if(monthNum>12){
-			yearNum=yearNum+1
-		} else if(monthNum<0){
-			yearNum=yearNum-1
-		} else {
-			yearNum=yearNum
-		}
-		return(yearNum)
-	}
-
-	makeNameCal<-function(primary_id,MonthOne,YearOne,MonthTwo,YearTwo){
-		contractName<-NULL
-		contractName<-paste(primary_id,MonthOne,YearOne,"-",MonthTwo,YearTwo,sep="")
-		return(contractName)
-	}
-
-	makeCalRows<-function(dataRow){
-		calFrame<-NULL
-		calContracts<-as.numeric(unlist(strsplit(dataRow$contracts_ahead[1],",",fixed=TRUE)))
-		contractIndex<-c(1:length(monthsTraded))
-		contractTable<-cbind(monthsTraded,contractIndex)
-		for(k in 1:length(calContracts)){
-            if(length(monthsTraded)==12 & calContracts[k]>1){
-                yearsAhead = trunc((calContracts[k]-1)/length(monthsTraded))%%10
-                monthContractsAhead=(calContracts[k]-1)%%length(monthsTraded)
-            } else {
-                yearsAhead=trunc(calContracts[k]/length(monthsTraded))%%10
-                monthContractsAhead=calContracts[k]%%length(monthsTraded)
-            }
-			workingContractNum<-as.numeric(contractTable[which(contractTable[,1]==workingContractMonthLet),2])
-			monthIndex=workingContractNum+monthContractsAhead
-			if(monthIndex>length(monthsTraded)){
-				yearsAhead<-(yearsAhead+1)%%10
-				monthIndex=monthIndex-length(monthsTraded)
-			}
-                        newCalMonthLetter<-contractTable[monthIndex,1]
-                        newCalYearNumber<-workingContractYearNum+yearsAhead%%10
-                        contractName<-makeNameCal(Data$primary_id[i],workingContractMonthLet,workingContractYearNum,newCalMonthLetter,newCalYearNumber)
-                        calRow<-cbind(contractName,dataRow$type[1])
-                        #Other data would be added here.  Take in a row from root contracts, add other details (EG timezone, currency, etc...)
-                        calFrame<-rbind(calFrame,calRow)
-                }
-                return(calFrame)
-        }
-
-	PPFNames<-c("Jan","Feb","Mar","Apr","May","Jun","Jul","Aug","Sep","Oct","Nov","Dec","Jan","Feb","Mar","Apr","May","Jun","Jul","Aug","Sep","Oct","Nov","Dec","Jan","Feb","Mar","Apr","May","Jun","Jul","Aug","Sep","Oct","Nov","Dec")
-	PPFNums<-c(-12,-11,-10,-9,-8,-7,-6,-5,-4,-3,-2,-1,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24)
-        PPFLets<-c("F","G","H","J","K","M","N","Q","U","V","X","Z","F","G","H","J","K","M","N","Q","U","V","X","Z","F","G","H","J","K","M","N","Q","U","V","X","Z")
-        PPFFrame<-as.data.frame(cbind(PPFNames,PPFNums,PPFLets),stringsAsFactors=FALSE)  #PPF=Past, Present, Future
-
-        contractFrame<-NULL
-        today<-start_date
-        for(i in 1:nrow(Data)){
-		currentMonthNum<-as.numeric(substr(today,6,7))
-		monthsTraded<-unlist(strsplit(Data$month_cycle[i],",",fixed=TRUE))
-		monthNumsTraded<-as.numeric(PPFFrame[which(PPFFrame[,3] %in% monthsTraded),2])
-		currentContractMonthNum<-as.numeric(monthNumsTraded[(min(which(monthNumsTraded>=currentMonthNum)))])
-		currentContractMonthLet<-PPFFrame[currentContractMonthNum,3]
-		currentYearNum<-as.numeric(substr(today,4,4))
-		currentContractYearNum<-yearCheck(currentContractMonthNum,currentYearNum)
-
-		workingContractMonthNum<-currentContractMonthNum
-		workingContractMonthLet<-currentContractMonthLet
-		workingContractYearNum<-currentContractYearNum
-
-		contractIndex<-c(1:length(monthsTraded))
-		contractTable<-cbind(monthsTraded,contractIndex)
-
-		if(Data$type[i]=="calendar_spread" || Data$type[i]=='guaranteed_spread'){
-			calFrame<-makeCalRows(Data[i,])
-			contractFrame<-rbind(contractFrame,calFrame)
-		} else {
-			#make name for non-calendar
-			#add other details to the row
-			#rbind it to the contractFrame
-		}
-
-        for(j in 1:(Data$active_months[i]-1)){
-            yearsAhead=trunc(j/length(monthsTraded))%%10 #aka if it's 10+ years ahead, since the year is one digit, for contracts further out than 10 years, you'll get 0, 1, 2, 3 instead of 10, 11, 12, etc.
-            monthContractsAhead=j%%length(monthsTraded)
-            currentContractNum<-as.numeric(contractTable[which(contractTable[,1]==currentContractMonthLet),2])
-            monthIndex=currentContractNum+monthContractsAhead
-            if(monthIndex>length(monthsTraded)){
-				yearsAhead<-(yearsAhead+1)%%10
-				monthIndex=monthIndex-length(monthsTraded)
-			}
-			workingContractMonthLet<-contractTable[monthIndex,1]
-			workingContractYearNum<-currentContractYearNum+yearsAhead
-			if(Data$type[i]=="calendar_spread" || Data$type[i]=='guaranteed_spread'){
-				calFrame<-makeCalRows(Data[i,])
-				contractFrame<-rbind(contractFrame,calFrame)
-			} else {
-				#make name for non-calendar
-				#add other details to the row
-				#rbind it to the contractFrame
-			}
-		}
-    }
-
-    rownames(contractFrame)<-NULL
-    colnames(contractFrame)<-c("symbol","type")
-
-    if(!is.null(outputfile)){
-            write.csv(contractFrame,outputfile) 
-    } else {
-            return(contractFrame)
-    }
-}
-
-###############################################################################
-# R (http://r-project.org/) Instrument Class Model
-#
-# Copyright (c) 2009-2012
-# Peter Carl, Dirk Eddelbuettel, Jeffrey Ryan, 
-# Joshua Ulrich, Brian G. Peterson, and Garrett See
-#
-# This code is distributed under the terms of the GNU Public License (GPL)
-# for full details see the file COPYING
-#
-# $Id$
-#
-###############################################################################
-
+#' construct a series of symbols based on root symbol and suffix letters
+#'
+#' The columns needed by this version of the function are \code{primary_id}
+#' and \code{month_cycle}. \code{primary_id} should match the \code{primary_id}
+#' of the instrument describing the root contract.
+#' \code{month_cycle} should contain a comma delimited string describing the
+#' month sequence to use, e.g. \code{"F,G,H,J,K,M,N,Q,U,V,X,Z"} for all months
+#' using the standard futures letters, or \code{"H,M,U,Z"} for quarters, or
+#' \code{"Mar,Jun,Sep,Dec"} for quarters as three-letter month abbreviations, etc.
+#' The correct values will vary based on your data source.
+#'
+#' TODO add more flexibility in input formats for \code{roots}
+#' #' @param yearlist vector of year suffixes to be applied, see Details
+#' @param roots data.frame containing at least columns \code{primary_id} and \code{month_cycle}, see Details
+#' @author Brian G. Peterson
+#' @seealso \code{\link{load.instruments}}
+#' @export
+build_series_symbols <- function(roots, yearlist=c(0,1)) {
+        symbols<-''
+        id_col<-grep('primary_id',colnames(roots)) #TODO: check length
+	date_col<-grep('month_cycle',colnames(roots)) #TODO: check length
+	for (year_code in yearlist){
+		for(i in 1:nrow(roots)) {
+			symbols <- c(symbols, paste(paste(roots[i,id_col], strsplit(as.character(roots[i,date_col]),",")[[1]],sep=''),year_code,sep=''))
+		}
+	}
+	return(symbols[-1])
+}
+
+#' build symbols for exchange guaranteed (calendar) spreads
+#'
+#' The columns needed by this version of the function are \code{primary_id},
+#'  \code{month_cycle}, and code \code{contracts_ahead}.
+#'
+#' \code{primary_id} should match the \code{primary_id}
+#' of the instrument describing the root contract.
+#'
+#' \code{month_cycle} should contain a comma delimited string describing the
+#' month sequence to use, e.g. \code{"F,G,H,J,K,M,N,Q,U,V,X,Z"} for all months
+#' using the standard futures letters, or \code{"H,M,U,Z"} for quarters, or
+#' \code{"Mar,Jun,Sep,Dec"} for quarters as three-letter month abbreviations, etc.
+#' The correct values will vary based on your data source.
+#'
+#' \code{contracts_ahead} should contain a comma-delimited string describing
+#' the cycle on which the guaranteed calendar spreads are to be consructed,
+#' e.g. '1' for one-month spreads, '1,3' for one and three month spreads,
+#' '1,6,12' for 1, 6, and 12 month spreads, etc.  
+#' For quarterly symbols, the correct \code{contracts_ahead} may be 
+#' something like '1,2,3' for quarterly, bi-annual, and annual spreads.  
+#'
+#' \code{active_months} is a numeric field indicating how many months including  
+#' the month of the \code{start_date} the contract is available to trade.  
+#' This number will be used as the upper limit for symbol generation.
+#' 
+#' If \code{type} is also specified, it should be a specific instrument type, 
+#' e.g. 'future_series','option_series','guaranteed_spread' or 'calendar_spread' 
+#'
+#' One of \code{data} or \code{file} must be populated for input data.
+#'
+#' @param data data.frame containing at least columns \code{primary_id}, \code{month_cycle}, amd \code{contracts_ahead}, see Details
+#' @param file if not NULL, will read input data from the file named by this argument, in the same folrmat as \code{data}, above
+#' @param outputfile if not NULL, will write out put to this file as a CSV
+#' @param start_date date to start building from, of type \code{Date} or an ISO-8601 date string, defaults to \code{\link{Sys.Date}}
+#' @author Ilya Kipnis <Ilya.Kipnis<at>gmail.com>
+#' @seealso
+#' \code{\link{load.instruments}}
+#' \code{\link{build_series_symbols}}
+# @examples 
+# build_spread_symbols(data=data.frame(primary_id='CL',
+#                                      month_sequence="F,G,H,J,K,M,N,Q,U,V,X,Z",
+#                                      contracts_ahead="1,2,3",
+#                                      type='calendar_spread')
+#' @export
+build_spread_symbols <- function(data=NULL,file=NULL,outputfile=NULL,start_date=Sys.Date())
+{
+        if(!is.null(data)) {
+                Data<-data
+        } else if(!is.null(file)) {
+                Data<-read.csv(file,header=TRUE,stringsAsFactors=FALSE)
+        } else {
+                stop("you must either pass a data.frame as the 'data' parameter or pass the 'file' parameter")
+        }
+
+
+
+	yearCheck<-function(monthNum,yearNum){
+		if(monthNum>12){
+			yearNum=yearNum+1
+		} else if(monthNum<0){
+			yearNum=yearNum-1
+		} else {
+			yearNum=yearNum
+		}
+		return(yearNum)
+	}
+
+	makeNameCal<-function(primary_id,MonthOne,YearOne,MonthTwo,YearTwo){
+		contractName<-NULL
+		contractName<-paste(primary_id,MonthOne,YearOne,"-",MonthTwo,YearTwo,sep="")
+		return(contractName)
+	}
+
+	makeCalRows<-function(dataRow){
+		calFrame<-NULL
+		calContracts<-as.numeric(unlist(strsplit(dataRow$contracts_ahead[1],",",fixed=TRUE)))
+		contractIndex<-c(1:length(monthsTraded))
+		contractTable<-cbind(monthsTraded,contractIndex)
+		for(k in 1:length(calContracts)){
+            if(length(monthsTraded)==12 & calContracts[k]>1){
+                yearsAhead = trunc((calContracts[k]-1)/length(monthsTraded))%%10
+                monthContractsAhead=(calContracts[k]-1)%%length(monthsTraded)
+            } else {
+                yearsAhead=trunc(calContracts[k]/length(monthsTraded))%%10
+                monthContractsAhead=calContracts[k]%%length(monthsTraded)
+            }
+			workingContractNum<-as.numeric(contractTable[which(contractTable[,1]==workingContractMonthLet),2])
+			monthIndex=workingContractNum+monthContractsAhead
+			if(monthIndex>length(monthsTraded)){
+				yearsAhead<-(yearsAhead+1)%%10
+				monthIndex=monthIndex-length(monthsTraded)
+			}
+                        newCalMonthLetter<-contractTable[monthIndex,1]
+                        newCalYearNumber<-workingContractYearNum+yearsAhead%%10
+                        contractName<-makeNameCal(Data$primary_id[i],workingContractMonthLet,workingContractYearNum,newCalMonthLetter,newCalYearNumber)
+                        calRow<-cbind(contractName,dataRow$type[1])
+                        #Other data would be added here.  Take in a row from root contracts, add other details (EG timezone, currency, etc...)
+                        calFrame<-rbind(calFrame,calRow)
+                }
+                return(calFrame)
+        }
+
+	PPFNames<-c("Jan","Feb","Mar","Apr","May","Jun","Jul","Aug","Sep","Oct","Nov","Dec","Jan","Feb","Mar","Apr","May","Jun","Jul","Aug","Sep","Oct","Nov","Dec","Jan","Feb","Mar","Apr","May","Jun","Jul","Aug","Sep","Oct","Nov","Dec")
+	PPFNums<-c(-12,-11,-10,-9,-8,-7,-6,-5,-4,-3,-2,-1,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24)
+        PPFLets<-c("F","G","H","J","K","M","N","Q","U","V","X","Z","F","G","H","J","K","M","N","Q","U","V","X","Z","F","G","H","J","K","M","N","Q","U","V","X","Z")
+        PPFFrame<-as.data.frame(cbind(PPFNames,PPFNums,PPFLets),stringsAsFactors=FALSE)  #PPF=Past, Present, Future
+
+        contractFrame<-NULL
+        today<-start_date
+        for(i in 1:nrow(Data)){
+		currentMonthNum<-as.numeric(substr(today,6,7))
+		monthsTraded<-unlist(strsplit(Data$month_cycle[i],",",fixed=TRUE))
+		monthNumsTraded<-as.numeric(PPFFrame[which(PPFFrame[,3] %in% monthsTraded),2])
+		currentContractMonthNum<-as.numeric(monthNumsTraded[(min(which(monthNumsTraded>=currentMonthNum)))])
+		currentContractMonthLet<-PPFFrame[currentContractMonthNum,3]
+		currentYearNum<-as.numeric(substr(today,4,4))
+		currentContractYearNum<-yearCheck(currentContractMonthNum,currentYearNum)
+
+		workingContractMonthNum<-currentContractMonthNum
+		workingContractMonthLet<-currentContractMonthLet
+		workingContractYearNum<-currentContractYearNum
+
+		contractIndex<-c(1:length(monthsTraded))
+		contractTable<-cbind(monthsTraded,contractIndex)
+
+		if(Data$type[i]=="calendar_spread" || Data$type[i]=='guaranteed_spread'){
+			calFrame<-makeCalRows(Data[i,])
+			contractFrame<-rbind(contractFrame,calFrame)
+		} else {
+			#make name for non-calendar
+			#add other details to the row
+			#rbind it to the contractFrame
+		}
+
+        for(j in 1:(Data$active_months[i]-1)){
+            yearsAhead=trunc(j/length(monthsTraded))%%10 #aka if it's 10+ years ahead, since the year is one digit, for contracts further out than 10 years, you'll get 0, 1, 2, 3 instead of 10, 11, 12, etc.
+            monthContractsAhead=j%%length(monthsTraded)
+            currentContractNum<-as.numeric(contractTable[which(contractTable[,1]==currentContractMonthLet),2])
+            monthIndex=currentContractNum+monthContractsAhead
+            if(monthIndex>length(monthsTraded)){
+				yearsAhead<-(yearsAhead+1)%%10
+				monthIndex=monthIndex-length(monthsTraded)
+			}
+			workingContractMonthLet<-contractTable[monthIndex,1]
+			workingContractYearNum<-currentContractYearNum+yearsAhead
+			if(Data$type[i]=="calendar_spread" || Data$type[i]=='guaranteed_spread'){
+				calFrame<-makeCalRows(Data[i,])
+				contractFrame<-rbind(contractFrame,calFrame)
+			} else {
+				#make name for non-calendar
+				#add other details to the row
+				#rbind it to the contractFrame
+			}
+		}
+    }
+
+    rownames(contractFrame)<-NULL
+    colnames(contractFrame)<-c("symbol","type")
+
+    if(!is.null(outputfile)){
+            write.csv(contractFrame,outputfile) 
+    } else {
+            return(contractFrame)
+    }
+}
+
+###############################################################################
+# R (http://r-project.org/) Instrument Class Model
+#
+# Copyright (c) 2009-2012
+# Peter Carl, Dirk Eddelbuettel, Jeffrey Ryan, 
+# Joshua Ulrich, Brian G. Peterson, and Garrett See
+#
+# This code is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################
+

Modified: pkg/FinancialInstrument/R/load.instruments.R
===================================================================
--- pkg/FinancialInstrument/R/load.instruments.R	2014-10-07 15:51:21 UTC (rev 1637)
+++ pkg/FinancialInstrument/R/load.instruments.R	2014-10-08 03:43:16 UTC (rev 1638)
@@ -245,10 +245,7 @@
 #' value for an argument, that value will be used.  If the user did not provide
 #' a value for an argument, but there is a value for that argument for the 
 #' given \code{Symbol} in the Symbol Lookup Table (see 
-#' \code{\link{setSymbolLookup.FI}}), that value will be used.  Otherwise,
-#' if \code{\link[Defaults]{setDefaults}} has been applied to this function 
-#' (\code{getSymbols.FI}) for the argument, the value that was set with 
-#' \code{setDefaults} will be used.  Finally, if none of the above are true,
+#' \code{\link{setSymbolLookup.FI}}), that value will be used.  Otherwise, 
 #' the formal defaults will be used.
 #'
 #' @param Symbols a character vector specifying the names of each symbol to be 
@@ -344,7 +341,7 @@
         .days_to_omit <- days_to_omit
     if (hasArg.indexTZ <- hasArg(indexTZ)) .indexTZ <- indexTZ
 
-    importDefaults("getSymbols.FI")
+    #importDefaults("getSymbols.FI")
 
     # Now get the values for each formal that we'll use if not provided
     # by the user and not found in the SymbolLookup table
@@ -455,7 +452,7 @@
                         }
                     } # end 'common'/default method (same as getSymbols.rda)    
                 ) # end split_method switch
-            fr <- quantmod:::convert.time.series(fr=fr,return.class=return.class)
+            fr <- convert.time.series(fr=fr,return.class=return.class)
             Symbols[[i]] <-make.names(Symbols[[i]]) 
             tmp <- list()
             tmp[[Symbols[[i]]]] <- fr

Modified: pkg/FinancialInstrument/R/redenominate.R
===================================================================
[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/blotter -r 1638

From noreply at r-forge.r-project.org  Wed Oct  8 15:38:23 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed,  8 Oct 2014 15:38:23 +0200 (CEST)
Subject: [Blotter-commits] r1639 - pkg/FinancialInstrument
Message-ID: <20141008133823.323DD1876F3@r-forge.r-project.org>

Author: gsee
Date: 2014-10-08 15:38:22 +0200 (Wed, 08 Oct 2014)
New Revision: 1639

Modified:
   pkg/FinancialInstrument/DESCRIPTION
Log:
move zoo and xts from Imports to Depends. Require higher version of quantmod.

Modified: pkg/FinancialInstrument/DESCRIPTION
===================================================================
--- pkg/FinancialInstrument/DESCRIPTION	2014-10-08 03:43:16 UTC (rev 1638)
+++ pkg/FinancialInstrument/DESCRIPTION	2014-10-08 13:38:22 UTC (rev 1639)
@@ -13,10 +13,10 @@
 Date: 2014-10-07
 Depends:
     R (>= 2.12.0),
-    quantmod(>= 0.3-17),
+    quantmod (>= 0.4-2),
+    zoo (>= 1.7-5),
+    xts
 Imports:
-    zoo(>= 1.7-5),
-    xts,
     TTR
 Suggests:
     foreach,


From noreply at r-forge.r-project.org  Sat Oct 11 23:54:36 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sat, 11 Oct 2014 23:54:36 +0200 (CEST)
Subject: [Blotter-commits] r1640 - in pkg/FinancialInstrument: . R man
Message-ID: <20141011215436.589211879BB@r-forge.r-project.org>

Author: gsee
Date: 2014-10-11 23:54:35 +0200 (Sat, 11 Oct 2014)
New Revision: 1640

Modified:
   pkg/FinancialInstrument/NEWS
   pkg/FinancialInstrument/R/load.instruments.R
   pkg/FinancialInstrument/man/getSymbols.FI.Rd
Log:
allow for options() to be set, which getSymbols.FI() will check.  See NEWS.

Modified: pkg/FinancialInstrument/NEWS
===================================================================
--- pkg/FinancialInstrument/NEWS	2014-10-08 13:38:22 UTC (rev 1639)
+++ pkg/FinancialInstrument/NEWS	2014-10-11 21:54:35 UTC (rev 1640)
@@ -7,6 +7,13 @@
 * No longer using Defaults package (which is now archived on CRAN) in
   getSymbols.FI.
 
+* getSymbols.FI() allows the user to set default values by checking for 
+  options().  For example, the default value for from= is now 
+  getOption("getSymbols.FI.from", "2010-01-01").  So, if you do not set the
+  "getSymbols.FI.from" option, the value will be what it always has been 
+  ("2010-01-01"), but if you did set a value (e.g. 
+  options(getSymbols.FI.from="2014-01-01")), then that value will be used.
+
 * remove some `:::` calls to unexported functions from quantmod.
 
 * saveInstruments() gains a "compress" argument to allow for different 

Modified: pkg/FinancialInstrument/R/load.instruments.R
===================================================================
--- pkg/FinancialInstrument/R/load.instruments.R	2014-10-08 13:38:22 UTC (rev 1639)
+++ pkg/FinancialInstrument/R/load.instruments.R	2014-10-11 21:54:35 UTC (rev 1640)
@@ -287,19 +287,23 @@
 #' }
 #' @export
 getSymbols.FI <- function(Symbols,
-                            from='2010-01-01',
-                            to=Sys.Date(),
+                            from=getOption("getSymbols.FI.from", "2010-01-01"),
+                            to=getOption("getSymbols.FI.to", Sys.Date()),
                             ..., 
-                            dir="",
-                            return.class="xts",
-                            extension="rda",
-                            split_method = c("days", "common"),
-                            use_identifier = NA,
-                            date_format=NULL,
-                            verbose=TRUE,
-                            days_to_omit=c("Saturday", "Sunday"),
-                            indexTZ=NA
-                         ) 
+                            dir=getOption("getSymbols.FI.dir", ""),
+                            return.class=getOption("getSymbols.FI.return.class", 
+                                                   "xts"),
+                            extension=getOption("getSymbols.FI.extension", "rda"),
+                            split_method=getOption("getSymbols.FI.split_method",
+                                                   c("days", "common")),
+                            use_identifier=getOption("getSymbols.FI.use_identifier",
+                                                     NA),
+                            date_format=getOption("getSymbols.FI.date_format"),
+                            verbose=getOption("getSymbols.FI.verbose", TRUE),
+                            days_to_omit=getOption("getSymbols.FI.days_to_omit",
+                                                   c("Saturday", "Sunday")),
+                            indexTZ=getOption("getSymbols.FI.indexTZ", NA)
+                         )
 {
     if (is.null(date_format)) date_format <- "%Y.%m.%d"
     if (is.null(days_to_omit)) days_to_omit <- 'NULL'

Modified: pkg/FinancialInstrument/man/getSymbols.FI.Rd
===================================================================
--- pkg/FinancialInstrument/man/getSymbols.FI.Rd	2014-10-08 13:38:22 UTC (rev 1639)
+++ pkg/FinancialInstrument/man/getSymbols.FI.Rd	2014-10-11 21:54:35 UTC (rev 1640)
@@ -3,11 +3,17 @@
 \alias{getSymbols.FI}
 \title{getSymbols method for loading data from split files}
 \usage{
-getSymbols.FI(Symbols, from = "2010-01-01", to = Sys.Date(), ...,
-  dir = "", return.class = "xts", extension = "rda",
-  split_method = c("days", "common"), use_identifier = NA,
-  date_format = NULL, verbose = TRUE, days_to_omit = c("Saturday",
-  "Sunday"), indexTZ = NA)
+getSymbols.FI(Symbols, from = getOption("getSymbols.FI.from", "2010-01-01"),
+  to = getOption("getSymbols.FI.to", Sys.Date()), ...,
+  dir = getOption("getSymbols.FI.dir", ""),
+  return.class = getOption("getSymbols.FI.return.class", "xts"),
+  extension = getOption("getSymbols.FI.extension", "rda"),
+  split_method = getOption("getSymbols.FI.split_method", c("days", "common")),
+  use_identifier = getOption("getSymbols.FI.use_identifier", NA),
+  date_format = getOption("getSymbols.FI.date_format"),
+  verbose = getOption("getSymbols.FI.verbose", TRUE),
+  days_to_omit = getOption("getSymbols.FI.days_to_omit", c("Saturday",
+  "Sunday")), indexTZ = getOption("getSymbols.FI.indexTZ", NA))
 }
 \arguments{
 \item{Symbols}{a character vector specifying the names of each symbol to be


From noreply at r-forge.r-project.org  Tue Oct 21 04:57:12 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue, 21 Oct 2014 04:57:12 +0200 (CEST)
Subject: [Blotter-commits] r1641 - pkg/blotter/R
Message-ID: <20141021025712.AAA5C187750@r-forge.r-project.org>

Author: bodanker
Date: 2014-10-21 04:57:11 +0200 (Tue, 21 Oct 2014)
New Revision: 1641

Modified:
   pkg/blotter/R/AcctReturns.R
   pkg/blotter/R/PortfReturns.R
   pkg/blotter/R/extractTests.R
   pkg/blotter/R/getEndEq.R
   pkg/blotter/R/getPortfAcct.R
   pkg/blotter/R/getPortfolio.R
   pkg/blotter/R/getTxn.R
   pkg/blotter/R/initAcct.R
   pkg/blotter/R/initPortf.R
   pkg/blotter/R/updateEndEq.R
Log:
- Standardize spacing in account/portfolio messages for
  name "already exists"/"not found" errors


Modified: pkg/blotter/R/AcctReturns.R
===================================================================
--- pkg/blotter/R/AcctReturns.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/AcctReturns.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -65,8 +65,7 @@
     Account <- try(get(aname, envir = .blotter))
 	}
 	if(inherits(Account, "try-error")){
-	  stop(paste("Account ", aname, " not found, use initAcct() to create a new 
-               account"))
+	  stop("Account ", aname, " not found, use initAcct() to create a new account")
 	}
 	if(!inherits(Account, "account")){
     stop("Account ", aname, " passed is not the name of an account object.")

Modified: pkg/blotter/R/PortfReturns.R
===================================================================
--- pkg/blotter/R/PortfReturns.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/PortfReturns.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -29,8 +29,9 @@
 	else Account<-try(get(aname,envir=.blotter), silent=TRUE)
 	
 	if(inherits(Account,"try-error"))
-		stop(paste("Account ",aname," not found, use initAcct() to create a new account"))
-	if(!inherits(Account,"account")) stop("Account ",aname," passed is not the name of an account object.")
+		stop("Account ", aname, " not found, use initAcct() to create a new account")
+	if(!inherits(Account,"account"))
+		stop("Account ", aname, " passed is not the name of an account object.")
 	
 	if(is.null(Portfolios)) Portfolios = names(Account$portfolios)
 	

Modified: pkg/blotter/R/extractTests.R
===================================================================
--- pkg/blotter/R/extractTests.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/extractTests.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -23,7 +23,7 @@
 	pname <- Portfolio	
 	Portfolio<-get(paste("portfolio",pname,sep='.'),envir=.blotter)
 	if(inherits(Portfolio,"try-error"))
-		stop(paste("Portfolio",pname," not found, use initPortf() to create a new portfolio first"))
+		stop("Portfolio ", pname, " not found, use initPortf() to create a new portfolio first")
 	out<-NULL
 	symbolnames<-ls(Portfolio[['symbols']])
 	for (Symbol in symbolnames) {

Modified: pkg/blotter/R/getEndEq.R
===================================================================
--- pkg/blotter/R/getEndEq.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/getEndEq.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -8,7 +8,7 @@
     aname<-Account
     Account<-try(get(paste("account",aname,sep='.'), envir=.blotter), silent=TRUE)
     if(inherits(Account,"try-error"))
-        stop(paste("Account",aname," not found, use initAcct() to create a new account"))
+        stop("Account ", aname, " not found, use initAcct() to create a new account")
 
     toDate = paste('::', Date, sep="")
     EndEq = as.numeric(tail(Account$summary[toDate,], n=1)[,"End.Eq"])

Modified: pkg/blotter/R/getPortfAcct.R
===================================================================
--- pkg/blotter/R/getPortfAcct.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/getPortfAcct.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -7,11 +7,11 @@
 { # @author Brian Peterson
     acct<-suppressWarnings(try(get(paste("account",Account,sep='.'),envir=.blotter),silent=TRUE))
     if(inherits(acct,"try-error"))
-        stop(paste("Account",Account,"not found, use initAcct() to create a new account."))
+        stop("Account ", Account, " not found, use initAcct() to create a new account.")
     pname=Portfolio
     Portfolio<-suppressWarnings(try(acct[[paste("portfolio",pname,sep='.')]],silent=TRUE))
     if(inherits(Portfolio,"try-error"))
-        stop(paste("Portfolio",pname,"not found, use initPortf() to create a new portfolio or initAcct() to place it in",Account))
+        stop("Portfolio ", pname, " not found, use initPortf() to create a new portfolio or initAcct() to place it in ",Account)
     
     if(!is.null(Dates)){
         Portfolio<-Portfolio[Dates]

Modified: pkg/blotter/R/getPortfolio.R
===================================================================
--- pkg/blotter/R/getPortfolio.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/getPortfolio.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -48,8 +48,9 @@
     if(!grepl("portfolio\\.",pname)) Portfolio<-suppressWarnings(try(get(paste("portfolio",pname,sep='.'),envir=envir),silent=TRUE))
     else Portfolio<-suppressWarnings(try(get(pname,envir=envir),silent=TRUE))
     if(inherits(Portfolio,"try-error"))
-        stop(paste("Portfolio",pname," not found, use initPortf() to create a new portfolio"))
-    if(!inherits(Portfolio,"portfolio")) stop("Portfolio",pname,"passed is not the name of a portfolio object.")  
+        stop("Portfolio ", pname, " not found, use initPortf() to create a new portfolio")
+    if(!inherits(Portfolio,"portfolio"))
+        stop("Portfolio ", pname, " passed is not the name of a portfolio object.")  
     return(Portfolio)
 }
 

Modified: pkg/blotter/R/getTxn.R
===================================================================
--- pkg/blotter/R/getTxn.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/getTxn.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -16,7 +16,7 @@
     pname<-Portfolio
     Portfolio<-get(paste("portfolio",pname,sep='.'), envir=.blotter)
     if(inherits(Portfolio,"try-error"))
-        stop(paste("Portfolio",pname," not found, use initPortf() to create a new portfolio first"))
+        stop("Portfolio ", pname, " not found, use initPortf() to create a new portfolio first")
     
     TxnData = Portfolio$symbols[[Symbol]]$txn
     Txns = TxnData[Dates,c('Txn.Qty', 'Txn.Price', 'Txn.Fees', 'Txn.Value', 'Txn.Avg.Cost', 'Net.Txn.Realized.PL')]

Modified: pkg/blotter/R/initAcct.R
===================================================================
--- pkg/blotter/R/initAcct.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/initAcct.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -52,7 +52,7 @@
 { # @author Peter Carl
 
     if(exists(paste("account",name,sep='.'), envir=.blotter,inherits=TRUE)) 
-        stop(paste("Account",name,"already exists, use updateAcct() or create a new account."))
+        stop("Account ", name, " already exists, use updateAcct() or create a new account.")
     
     # FUNCTION
     account=list()

Modified: pkg/blotter/R/initPortf.R
===================================================================
--- pkg/blotter/R/initPortf.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/initPortf.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -61,7 +61,7 @@
 initPortf <- function(name="default", symbols, initPosQty = 0, initDate = '1950-01-01', currency='USD', ...)
 { # @author Peter Carl
   if(exists(paste("portfolio",name,sep='.'), envir=.blotter,inherits=TRUE))
-    stop(paste("Portfolio",name,"already exists, use updatePortf() or addPortfInstr() to update it."))
+    stop("Portfolio ", name, " already exists, use updatePortf() or addPortfInstr() to update it.")
   
   # FUNCTION
   

Modified: pkg/blotter/R/updateEndEq.R
===================================================================
--- pkg/blotter/R/updateEndEq.R	2014-10-11 21:54:35 UTC (rev 1640)
+++ pkg/blotter/R/updateEndEq.R	2014-10-21 02:57:11 UTC (rev 1641)
@@ -15,7 +15,7 @@
 	aname<-Account
     Account<-try(get(paste("account",aname,sep='.'), envir=.blotter), silent=TRUE)
     if(inherits(Account,"try-error"))
-        stop(paste("Account",aname," not found, use initAcct() to create a new account"))
+        stop("Account ", aname, " not found, use initAcct() to create a new account")
     
     if(is.null(Dates)) # if no date is specified, get all available dates
         Dates = index(Account$summary)[-1]


From noreply at r-forge.r-project.org  Sun Oct 26 18:34:20 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sun, 26 Oct 2014 18:34:20 +0100 (CET)
Subject: [Blotter-commits] r1642 - pkg/blotter/sandbox
Message-ID: <20141026173420.6C8AC187728@r-forge.r-project.org>

Author: bodanker
Date: 2014-10-26 18:34:20 +0100 (Sun, 26 Oct 2014)
New Revision: 1642

Added:
   pkg/blotter/sandbox/blotter_R6.R
Log:
- add R6 blotter prototype


Added: pkg/blotter/sandbox/blotter_R6.R
===================================================================
--- pkg/blotter/sandbox/blotter_R6.R	                        (rev 0)
+++ pkg/blotter/sandbox/blotter_R6.R	2014-10-26 17:34:20 UTC (rev 1642)
@@ -0,0 +1,295 @@
+# R6 repo: https://github.com/wch/R6
+
+# Current blotter structure:
+# .blotter
+#   $account       (.blotter$account.`name`)
+#     $portfolios
+#       $`name`
+#     $summary
+#     $Additions
+#     $Withdrawals
+#     $Interest
+#   $portfolio     (.blotter$portfolio.`name`)
+#     $summary
+#     $symbols
+#       $posPL
+#       $posPL.ccy
+#       $txn
+
+# Proposed blotter structure (comments welcome):
+# > Account (R6 'Account' object)
+#   -> Portfolios (list|env of R6 'Portfolio' objects)
+#     -> Positions (list|env of R6 'Position' objects)
+#       -> Instrument
+#       -> Transaction
+#         - trades, splits, dividends, expirations, assignments, etc.
+#       -> PnL
+#       -> Position (R6 'Position' object)
+#
+#
+# I'm not sure of the best way to implement the "list" of portfolios in an
+# account, and the "list" of instruments in a portfolio.
+#
+# Should users be able to add portfolios via
+#   Account$`name` <- Portfolio$new()
+# or should we make that a method in the Account object?
+#   Account$add_portfolio()
+#
+# If we choose either one, we need to ensure that the "name" member of the
+# new Portfolio object matches the "name" of the Account$portfolios "list".
+
+library(R6)
+library(blotter)
+
+# I'm not sure "Position" is the correct name for this thing, but I was trying
+# to create the most basic component of the blotter structure.
+Position <- R6Class(classname = "Position",
+  public = list(
+    #initialize = function(instrument, transactions) {
+    initialize = function(symbol, transactions, currency) {
+      if(!missing(symbol)) private$.symbol <- symbol
+      if(!missing(currency)) private$.currency <- currency
+    },
+    # addTxn {{{
+    addTxn = function(date, quantity, price, fees=0, ..., ConMult=1, verbose=TRUE) {
+      null.txn <- is.null(private$.txn)
+      #PrevPosQty <- getPos(date, 'Pos.Qty')  # returns position 'as-of' date
+      if(null.txn)
+        PrevPosQty <- 0
+      else {
+        PrevPosQty <- private$.txn[paste0("/",date), 'Pos.Qty']
+        PrevPosQty <- PrevPosQty[nrow(PrevPosQty),]
+      }
+
+      # split transactions that would cross through zero
+      if(PrevPosQty != 0 &&
+         sign(PrevPosQty + quantity) != sign(PrevPosQty) &&
+         PrevPosQty != -quantity) {
+        # calculate fees pro-rata by quantity
+        txnFeeQty <- fees/abs(quantity) 
+        self$addTxn(date, -PrevPosQty, price, txnFeeQty*abs(PrevPosQty), ...)
+        # transactions need unique timestamps
+        date <- date + sqrt(.Machine$double.eps)
+        quantity <- quantity + PrevPosQty
+        PrevPosQty <- 0
+        fees <- txnFeeQty * abs(quantity + PrevPosQty)
+      }
+      
+      # Coerce the transaction fees to a function if a string was supplied
+      if(is.character(fees)) {
+        tmp <- try(match.fun(fees), silent=TRUE)
+        if(!inherits(tmp, "try-error"))
+          fees <- tmp
+      }
+      # Compute transaction fees if a function was supplied
+      if(is.function(fees))
+        txnfees <- fees(quantity, price)
+      else
+        txnfees <- as.numeric(fees)
+
+      if(is.null(txnfees) || is.na(txnfees))
+        txnfees <- 0
+      if(txnfees > 0)
+        warning('Positive transaction fees should only be used in the case of broker/exchange rebates for TxnFees ',TxnFees,'. See Documentation.')
+    
+      # Calculate the value and average cost of the transaction
+      TxnValue <- quantity * price * ConMult # Gross of Fees
+      TxnAvgCost <- TxnValue / (quantity * ConMult)
+
+      # Calculate the change in position
+      PosQty <- PrevPosQty + quantity
+
+      # Calculate the resulting position's average cost
+      #PrevPosAvgCost <- getPos(date, 'Pos.Avg.Cost')  # returns position 'as-of' date
+      if(null.txn)
+        PrevPosAvgCost <- 0
+      else {
+        PrevPosAvgCost <- private$.txn[paste0("/",date), 'Pos.Avg.Cost']
+        PrevPosAvgCost <- PrevPosAvgCost[nrow(PrevPosAvgCost),]
+      }
+      PosAvgCost <- blotter:::.calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult)
+
+      # Calculate any realized profit or loss (net of fees) from the transaction
+      GrossTxnRealizedPL <- quantity * ConMult * (PrevPosAvgCost - TxnAvgCost)
+
+      # if the previous position is zero, RealizedPL = 0
+      # if previous position is positive and position is larger, RealizedPL =0
+      # if previous position is negative and position is smaller, RealizedPL =0
+      if(abs(PrevPosQty) < abs(PosQty) || PrevPosQty == 0)
+        GrossTxnRealizedPL = 0
+	
+      NetTxnRealizedPL <- GrossTxnRealizedPL + txnfees
+
+      # Store the transaction and calculations
+      txn <- c(quantity, price, TxnValue, TxnAvgCost, PosQty, PosAvgCost,
+               GrossTxnRealizedPL, txnfees, NetTxnRealizedPL, ConMult)
+      txnCols <- c("Txn.Qty", "Txn.Price", "Txn.Value", "Txn.Avg.Cost", 
+        "Pos.Qty", "Pos.Avg.Cost", "Gross.Txn.Realized.PL", "Txn.Fees", 
+        "Net.Txn.Realized.PL", "Con.Mult")
+      private$.txn <- rbind(private$.txn, xts(t(txn), date, dimnames=list(NULL, txnCols)))
+
+      if(verbose)
+        print(paste(format(date, "%Y-%m-%d %H:%M:%S"), private$.symbol, quantity, "@", price, sep=" "))
+
+      invisible(self)
+    } #}}}
+  ),
+  private = list(
+    .symbol = NA_character_,
+    .currency = NA_character_,
+    .txn = NULL
+  ),
+  # use active bindings for type-checking; is there a better way?
+  active = list(
+    symbol = function(value) {
+      if(missing(value)) {
+        private$.symbol
+      } else {
+        stop("symbol is read-only")
+      }
+    },
+    currency = function(value) {
+      if(missing(value)) {
+        private$.currency
+      } else {
+        if(is.character(value) && length(value)==1)
+          private$.currency <- value
+        else
+          stop(deparse(substitute(value)), " is an invalid currency name")
+      }
+    },
+    transactions = function(value) {
+      if(missing(value)) {
+        if(!is.null(private$.txn))
+        private$.txn[,c("Txn.Qty", "Txn.Price", "Txn.Fees",
+                "Txn.Value", "Txn.Avg.Cost", "Net.Txn.Realized.PL")]
+      } else {
+        stop("use addTxn to add a transaction")
+      }
+    },
+    txns = function(value) {
+      if(missing(value)) {
+        if(!is.null(private$.txn))
+        private$.txn[,c("Txn.Qty", "Txn.Price", "Txn.Fees",
+                "Txn.Value", "Txn.Avg.Cost", "Net.Txn.Realized.PL")]
+      } else {
+        stop("use addTxn to add a transaction")
+      }
+    },
+    txn = function(value) {
+      if(missing(value)) {
+        private$.txn
+      } else {
+        stop("txn is read-only")
+      }
+    }
+  )
+)
+pos <- Position$new('foo')
+pos$addTxn(Sys.Date()-1L, 10, 90, 0)
+pos$addTxn(Sys.Date(), -10, 100, 0)
+pos$txns
+
+
+
+if(FALSE){
+  # blotter amzn demo provides an example of the basic functionality
+  data("amzn")
+  currency("USD")
+  stock("amzn",currency="USD",multiplier=1)
+  # Initialize the Portfolio
+  initPortf("amzn_port",symbols="amzn",initDate="2010-01-14")
+  initAcct("amzn_acct",portfolios="amzn_port",initDate="2010-01-14", initEq=10000)
+  # look at the transactions data
+  amzn.trades
+  # Add the transactions to the portfolio
+  blotter:::addTxns("amzn_port","amzn",TxnData=amzn.trades,verbose=TRUE)
+  # update the portfolio stats
+  updatePortf("amzn_port",Dates="2010-01-14")
+  # update the account P&L
+  updateAcct("amzn_acct",Dates="2010-01-14")
+  # and look at it
+  chart.Posn("amzn_port","amzn",Dates="2010-01-14")
+}
+
+
+
+# other stuff; not sure it's useful
+if(FALSE){
+Portfolio <- R6Class(classname = "Portfolio",
+  public = list(
+    initialize = function(name, positions, currency) {
+      if(!missing(name))
+        private$.name <- name
+      if(!missing(positions)) {
+        if(is.list(positions))
+          for(p in positions)
+            assign(p$symbol, p, private$.positions)
+        else
+          assign(positions$symbol, positions, private$.positions)
+      }
+    },
+    update = function(symbols, dates, prices, interval) { }
+  ),
+  private = list(
+    .positions = new.env(hash=TRUE),
+    .name = "default"
+  ),
+  active = list(
+    name = function(value) {
+      if(missing(value)) {
+        private$.name
+      } else {
+        if(is.character(value) && length(value)==1)
+          private$.name <- value
+        else
+          stop(deparse(substitute(value)), " is an invalid portfolio name")
+      }
+    },
+    positions = function(value) {
+      value_name <- deparse(substitute(value))
+      if(missing(value)) {
+        #if(value_name!="")
+          # return a copy of the .positions environment as a list, because
+          # we do not want users to be able to change positions manually
+        #  as.list(get(value_name, private$.positions, inherits=FALSE))
+        as.list(private$.positions)
+        #else
+        #  NULL
+      } else {
+        if(inherits(value, "Position")) {
+          assign(value_name, value, private$.positions)
+        } else {
+          stop(value_name, " is not a Position object", call.=FALSE)
+        }
+      }
+    }
+  )
+)
+pos <- Position$new('foo')
+pos$addTxn(Sys.Date()-1L, 10, 90, 0)
+pos$addTxn(Sys.Date(), -10, 100, 0)
+pos$txns
+p <- Portfolio$new("hello_world", pos, "USD")
+p$positions
+
+# prototype
+Positions <- R6Class(classname = "Positions",
+  public = list(
+    add = function(position) {
+      if(missing(position))
+        invisible()
+      if(inherits(position, "Position")) {
+        assign(position$symbol, position, private$.positions)
+      } else {
+        position_name <- deparse(substitute(position))
+        stop(position_name, " is not a Position object", call.=FALSE)
+      }
+    }
+  ),
+  private = list(
+    .positions = new.env(hash=TRUE)
+  )
+)
+}
+


From noreply at r-forge.r-project.org  Mon Oct 27 22:06:03 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Mon, 27 Oct 2014 22:06:03 +0100 (CET)
Subject: [Blotter-commits] r1643 - in pkg/blotter: . R man
Message-ID: <20141027210603.8461518754A@r-forge.r-project.org>

Author: braverock
Date: 2014-10-27 22:06:03 +0100 (Mon, 27 Oct 2014)
New Revision: 1643

Modified:
   pkg/blotter/DESCRIPTION
   pkg/blotter/NAMESPACE
   pkg/blotter/R/addTxn.R
   pkg/blotter/man/AcctReturns.Rd
   pkg/blotter/man/PortfReturns.Rd
   pkg/blotter/man/addAcctTxn.Rd
   pkg/blotter/man/addDiv.Rd
   pkg/blotter/man/addPortfInstr.Rd
   pkg/blotter/man/addTxn.Rd
   pkg/blotter/man/calcPortfWgt.Rd
   pkg/blotter/man/calcPosAvgCost.Rd
   pkg/blotter/man/calcTxnAvgCost.Rd
   pkg/blotter/man/calcTxnValue.Rd
   pkg/blotter/man/chart.ME.Rd
   pkg/blotter/man/chart.Posn.Rd
   pkg/blotter/man/chart.Reconcile.Rd
   pkg/blotter/man/chart.Spread.Rd
   pkg/blotter/man/dailyTxnPL.Rd
   pkg/blotter/man/extractTxns.Rd
   pkg/blotter/man/getAccount.Rd
   pkg/blotter/man/getByPortf.Rd
   pkg/blotter/man/getBySymbol.Rd
   pkg/blotter/man/getEndEq.Rd
   pkg/blotter/man/getPortfAcct.Rd
   pkg/blotter/man/getPortfolio.Rd
   pkg/blotter/man/getPos.Rd
   pkg/blotter/man/getPosAvgCost.Rd
   pkg/blotter/man/getPosQty.Rd
   pkg/blotter/man/getTxns.Rd
   pkg/blotter/man/initAcct.Rd
   pkg/blotter/man/initPortf.Rd
   pkg/blotter/man/initPosPL.Rd
   pkg/blotter/man/initSummary.Rd
   pkg/blotter/man/initTxn.Rd
   pkg/blotter/man/is.account.Rd
   pkg/blotter/man/is.portfolio.Rd
   pkg/blotter/man/pennyPerShare.Rd
   pkg/blotter/man/perTradeStats.Rd
   pkg/blotter/man/put.account.Rd
   pkg/blotter/man/put.portfolio.Rd
   pkg/blotter/man/tradeQuantiles.Rd
   pkg/blotter/man/tradeStats.Rd
   pkg/blotter/man/updateAcct.Rd
   pkg/blotter/man/updateEndEq.Rd
   pkg/blotter/man/updatePortf.Rd
   pkg/blotter/man/updatePosPL.Rd
Log:
- add allowRebates argument to addTxn, default FALSE and stop with error
- update roxygen docs
- bump version

Modified: pkg/blotter/DESCRIPTION
===================================================================
--- pkg/blotter/DESCRIPTION	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/DESCRIPTION	2014-10-27 21:06:03 UTC (rev 1643)
@@ -2,7 +2,7 @@
 Type: Package
 Title: Tools for transaction-oriented trading systems
     development.
-Version: 0.9.1637
+Version: 0.9.1643
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>

Modified: pkg/blotter/NAMESPACE
===================================================================
--- pkg/blotter/NAMESPACE	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/NAMESPACE	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,5 @@
+# Generated by roxygen2 (4.0.2): do not edit by hand
+
 export(.getPortfolio)
 export(AcctReturns)
 export(PortfReturns)

Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/R/addTxn.R	2014-10-27 21:06:03 UTC (rev 1643)
@@ -41,6 +41,7 @@
 #' @param TxnPrice  Price at which the transaction was done
 #' @param \dots Any other passthrough parameters
 #' @param TxnFees Fees associated with the transaction, e.g. commissions., See Details
+#' @param allowRebates whether to allow positive (rebate) TxnFees, default FALSE
 #' @param ConMult Contract/instrument multiplier for the Symbol if it is not defined in an instrument specification
 #' @param verbose If TRUE (default) the function prints the elements of the transaction in a line to the screen, e.g., "2007-01-08 IBM 50 @@ 77.6". Suppress using FALSE.
 #' @param eps value to add to force unique indices
@@ -54,7 +55,7 @@
 #' @author Peter Carl, Brian G. Peterson
 #' @export addTxn
 #' @export addTxns
-addTxn <- function(Portfolio, Symbol, TxnDate, TxnQty, TxnPrice, ..., TxnFees=0, ConMult=NULL, verbose=TRUE, eps=1e-06)
+addTxn <- function(Portfolio, Symbol, TxnDate, TxnQty, TxnPrice, ..., TxnFees=0, allowRebates=FALSE, ConMult=NULL, verbose=TRUE, eps=1e-06)
 { 
     pname <- Portfolio
     #If there is no table for the symbol then create a new one
@@ -100,7 +101,7 @@
     if (is.function(TxnFees)) txnfees <- TxnFees(TxnQty, TxnPrice) else txnfees<- as.numeric(TxnFees)
 
     if(is.null(txnfees) | is.na(txnfees)) txnfees = 0
-    if(txnfees>0) warning('Positive Transaction Fees should only be used in the case of broker/exchange rebates for TxnFees ',TxnFees,'. See Documentation.')
+    if(txnfees>0 && !isTRUE(allowRebates)) stop('Positive Transaction Fees should only be used in the case of broker/exchange rebates for TxnFees ',TxnFees,'. See Documentation.')
     
     # Calculate the value and average cost of the transaction
     TxnValue = .calcTxnValue(TxnQty, TxnPrice, 0, ConMult) # Gross of Fees
@@ -147,7 +148,7 @@
 
 #' @rdname addTxn
 #' @export
-addTxns<- function(Portfolio, Symbol, TxnData , verbose=FALSE, ..., ConMult=NULL, eps=1e-06)
+addTxns<- function(Portfolio, Symbol, TxnData , verbose=FALSE, ..., ConMult=NULL, allowRebates=FALSE, eps=1e-06)
 {
     pname <- Portfolio
     #If there is no table for the symbol then create a new one
@@ -184,6 +185,11 @@
     } else {
       NewTxns$Txn.Fees <- 0
     }
+  
+    if(any(NewTxns$Txn.Fees > 0) && !isTRUE(allowRebates)){
+      stop('Positive Transaction Fees should only be used in the case of broker/exchange rebates. See Documentation.')
+    }
+  
     # split transactions that would cross through zero
     Pos <- drop(cumsum(NewTxns$Txn.Qty))
     Pos <- merge(Qty=Pos, PrevQty=lag(Pos))

Modified: pkg/blotter/man/AcctReturns.Rd
===================================================================
--- pkg/blotter/man/AcctReturns.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/AcctReturns.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{AcctReturns}
 \alias{AcctReturns}
 \title{Calculate account returns}
@@ -6,64 +7,56 @@
   method = c("timeweighted", "dietz"), ...)
 }
 \arguments{
-  \item{Account}{string name of the account to generate
-  returns for}
+\item{Account}{string name of the account to generate returns for}
 
-  \item{\dots}{any other passthru parameters (like
-  \code{native} for \code{.getBySymbol}}
+\item{Dates}{xts style ISO 8601 date subset to retrieve, default NULL
+(all dates)}
 
-  \item{Dates}{xts style ISO 8601 date subset to retrieve,
-  default NULL (all dates)}
+\item{Portfolios}{concatenated string vector for portfolio names to retrieve
+returns on, default NULL (all portfolios)}
 
-  \item{Portfolios}{concatenated string vector for
-  portfolio names to retrieve returns on, default NULL (all
-  portfolios)}
+\item{method}{Used to select between time-weighted and linked modified Dietz
+returns. May be any of: \itemize{\item timeweighted \item dietz} By default
+time-weighted is selected}
 
-  \item{method}{Used to select between time-weighted and
-  linked modified Dietz returns. May be any of:
-  \itemize{\item timeweighted \item dietz} By default
-  time-weighted is selected}
+\item{\dots}{any other passthru parameters (like \code{native} for
+\code{.getBySymbol}}
 }
 \value{
 returns xts with account returns
 }
 \description{
-Similar to the \code{PortfReturns} function, but gives
-returns for the entire account and takes into account
-external cashflows. External cashflows are defined as
-contributions to or withdrawals from the account. Allows
-selecting between time-weighted returns and linked modified
-Dietz approach. If time-weighted method is selected,
-returns at time \eqn{t} are computed using:
-\deqn{r_{t}=\frac{V_{t}}{V_{t-1}+C_{t}}-1} where
-\eqn{V_{t}} - account value at time \eqn{t}, \eqn{C_{t}} -
-cashflow at time \eqn{t}. The implicit assumption made here
-is that the cash flow is available for the portfolio
-manager to invest from the beginning of the day. These
-returns then can be chain linked with geometric compounding
-(for instance using \code{Return.cumulative} function from
-the \code{PerformanceAnalytics} package) to yield
-cumulative multi-period returns:
+Similar to the \code{PortfReturns} function, but gives returns for the
+entire account and takes into account external cashflows. External cashflows
+are defined as contributions to or withdrawals from the account. Allows
+selecting between time-weighted returns and linked modified Dietz approach.
+If time-weighted method is selected, returns at time \eqn{t} are computed
+using: \deqn{r_{t}=\frac{V_{t}}{V_{t-1}+C_{t}}-1}
+where \eqn{V_{t}} - account value at time \eqn{t}, \eqn{C_{t}} - cashflow at
+time \eqn{t}. The implicit assumption made here is that the cash flow is
+available for the portfolio manager to invest from the beginning of the day.
+These returns then can be chain linked with geometric compounding (for
+instance using \code{Return.cumulative} function from the
+\code{PerformanceAnalytics} package) to yield cumulative multi-period
+returns:
 \deqn{1+r=\prod_{t=1}^{T}(1+r_{t})=\prod_{t=1}^{T}\frac{V_{t}}{V_{t-1}+C_{t}}}
-In the case if there were no cashflows, the result reduces
-to simple one-period returns. Time-weighted returns has
-also an interpretation in terms of unit value pricing. If
-Modified Dietz method is selected, monthly returns are
-computed taking into account cashflows within each month:
-\deqn{r =
-\frac{V_{t}-V_{t-1}-C}{V_{t-1}+\sum_{t}C_{t}\times W_{t}}}
+In the case if there were no cashflows, the result reduces to simple
+one-period returns. Time-weighted returns has also an interpretation in
+terms of unit value pricing.
+If Modified Dietz method is selected, monthly returns are computed taking
+into account cashflows within each month:
+\deqn{r = \frac{V_{t}-V_{t-1}-C}{V_{t-1}+\sum_{t}C_{t}\times W_{t}}}
 where \eqn{C} - total external cash flows within a month,
 \eqn{C_{t}} - external cashflow at time \eqn{t},
-\deqn{W_{t}=\frac{TD-D_{t}}{TD}} - weighting ratio to be
-applied to external cashflow on day \eqn{t}, \eqn{TD} -
-total number of days within the month, \eqn{D_{t}} - number
-of days since the beginning of the month including weekends
-and public holidays. Finally monthly Modified Dietz returns
-can also be linked geometrically.
+\deqn{W_{t}=\frac{TD-D_{t}}{TD}} - weighting ratio to be applied to external
+cashflow on day \eqn{t},
+\eqn{TD} - total number of days within the month,
+\eqn{D_{t}} - number of days since the beginning of the month including
+weekends and public holidays.
+Finally monthly Modified Dietz returns can also be linked geometrically.
 }
 \note{
-TODO handle portfolio and account in different currencies
-(not hard, just not done)
+TODO handle portfolio and account in different currencies (not hard, just not done)
 
 TODO explicitly handle portfolio weights
 
@@ -74,10 +67,9 @@
 }
 \references{
 Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
-\emph{Portfolio Performance Measurement and Benchmarking}.
-McGraw-Hill. 2009. Chapter 5 \cr Bacon, C. \emph{Practical
-Portfolio Performance Measurement and Attribution}. Wiley.
-2004. Chapter 2 \cr
+\emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill.
+2009. Chapter 5 \cr Bacon, C. \emph{Practical Portfolio Performance
+Measurement and Attribution}. Wiley. 2004. Chapter 2 \cr
 }
 \seealso{
 PortfReturns

Modified: pkg/blotter/man/PortfReturns.Rd
===================================================================
--- pkg/blotter/man/PortfReturns.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/PortfReturns.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{PortfReturns}
 \alias{PortfReturns}
 \title{Calculate portfolio instrument returns}
@@ -6,41 +7,32 @@
   Portfolios = NULL, period = c("daily", "none"))
 }
 \arguments{
-  \item{Account}{string name of the account to generate
-  returns for}
+\item{Account}{string name of the account to generate returns for}
 
-  \item{method}{for now, only 'contribution' is supported}
+\item{method}{for now, only 'contribution' is supported}
 
-  \item{\dots}{any other passthru parameters (like
-  \code{native} for \code{.getBySymbol}}
+\item{Dates}{xts style ISO 8601 date subset to retrieve, default NULL (all dates)}
 
-  \item{Dates}{xts style ISO 8601 date subset to retrieve,
-  default NULL (all dates)}
+\item{Portfolios}{concatenated string vector for portfolio names to retrieve returns on, default NULL (all portfolios)}
 
-  \item{Portfolios}{concatenated string vector for
-  portfolio names to retrieve returns on, default NULL (all
-  portfolios)}
+\item{period}{one of daily}
 
-  \item{period}{one of daily}
+\item{\dots}{any other passthru parameters (like \code{native} for \code{.getBySymbol}}
 }
 \description{
-This function (for now) calculates return on initial equity
-for each instrument in the portfolio or portfolios that
-make up an account.  These columns will be additive to
-return on capital of each portfolio, or of the entire
-account.
+This function (for now) calculates return on initial equity for each instrument
+in the portfolio or portfolios that make up an account.  These columns will be additive
+to return on capital of each portfolio, or of the entire account.
 }
 \details{
-This function exists because of R/Finance community
-requests by Mark Breman and Thomas Bolton
+This function exists because of R/Finance community requests by Mark Breman and Thomas Bolton
 }
 \note{
-TODO handle portfolio and account in different currencies
-(not hard, just not done)
+TODO handle portfolio and account in different currencies (not hard, just not done)
 
 TODO explicitly handle portfolio weights
 
-TODO provide additional methods of calculating returns
+TODO provide additional  methods of calculating returns
 
 TODO support additions and withdrawals to available capital
 }

Modified: pkg/blotter/man/addAcctTxn.Rd
===================================================================
--- pkg/blotter/man/addAcctTxn.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/addAcctTxn.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{addAcctTxn}
 \alias{addAcctTxn}
 \title{Add capital account transactions, such as capital additions and withdrawals or interest income (expense)}
@@ -6,55 +7,30 @@
   "Interest"), Amount, ..., verbose = TRUE)
 }
 \arguments{
-  \item{Account}{Account name, as string}
+\item{Account}{Account name, as string}
 
-  \item{TxnDate}{transaction date as ISO 8601, e.g.,
-  '2008-09-01' or '2010-01-05 09:54:23.12345'}
+\item{TxnDate}{transaction date as ISO 8601, e.g., '2008-09-01' or '2010-01-05 09:54:23.12345'}
 
-  \item{TxnType}{string indicating the type of account
-  transaction, only "Addition", "Withdrawal", or "Interest"
-  are currently supported}
+\item{TxnType}{string indicating the type of account transaction, only "Addition", "Withdrawal", or "Interest" are currently supported}
 
-  \item{Amount}{As of now, the currency of the transaction
-  MUST MATCH the currency of the Account.  Patches
-  welcome.}
+\item{Amount}{As of now, the currency of the transaction MUST MATCH the currency of the Account.  Patches welcome.}
 
-  \item{\dots}{any other passthrough parameters}
+\item{verbose}{If TRUE (default) the function prints the elements of the transaction in a line to the screen, e.g., "2007-01-08 Withdrawal 15,012,235". Suppress using FALSE.}
 
-  \item{verbose}{If TRUE (default) the function prints the
-  elements of the transaction in a line to the screen,
-  e.g., "2007-01-08 Withdrawal 15,012,235". Suppress using
-  FALSE.}
+\item{\dots}{any other passthrough parameters}
 }
 \description{
-For the specified Account, take in the date, amount, and
-type of transaction and append it to the correct list in
-the account object
+For the specified Account, take in the date, amount, and type of transaction and append it to the correct list in the account object
 }
 \details{
-Adds capital transactions to a rudimentary transactions
-table in the Account object.  This may be useful when
-tracking the denominator of returns when there are changes
-to the account's capital or significant interest income. In
-the Account$summary table, there are several placeholder
-columns that mimic the CFTC's 13-column report.  Columns of
-interest here are "Additions", "Withdrawals", and
-"Interest". Transactions added with this function will be
-added into the appropriate one of three slots in the
-Account object (Account$additions, Account$withdrawals, or
-Account$Interest), which contains an xts object of
-individual transactions with a date and amount.  The
-\code{\link{updateAcct}} function will read the
-transactions from each list in turn, aggregate them by the
-specified date scope, and slot them into the
-\code{Account$summary} table as it's built.
-\code{\link{updateEndEq}} should then just work.
+Adds capital transactions to a rudimentary transactions table in the Account object.  This may be useful when tracking the denominator of returns when there are changes to the account's capital or significant interest income.
+In the Account$summary table, there are several placeholder columns that mimic the CFTC's 13-column report.  Columns of interest here are "Additions", "Withdrawals", and "Interest".
+Transactions added with this function will be added into the appropriate one of three slots in the Account object (Account$additions, Account$withdrawals, or Account$Interest), which contains an xts object of individual transactions with a date and amount.  The \code{\link{updateAcct}} function will read the transactions from each list in turn, aggregate them by the specified date scope, and slot them into the \code{Account$summary} table as it's built. \code{\link{updateEndEq}} should then just work.
 }
 \author{
 Peter Carl
 }
 \seealso{
-\code{\link{initAcct}}, \code{\link{updateAcct}},
-\code{\link{updateEndEq}}
+\code{\link{initAcct}}, \code{\link{updateAcct}}, \code{\link{updateEndEq}}
 }
 

Modified: pkg/blotter/man/addDiv.Rd
===================================================================
--- pkg/blotter/man/addDiv.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/addDiv.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{addDiv}
 \alias{addDiv}
 \title{Add cash dividend transactions to a portfolio.}
@@ -6,35 +7,24 @@
   ConMult = NULL, verbose = TRUE)
 }
 \arguments{
-  \item{Portfolio}{A portfolio name that points to a
-  portfolio object structured with
-  \code{\link{initPortf}}.}
+\item{Portfolio}{A portfolio name that points to a portfolio object structured with \code{\link{initPortf}}.}
 
-  \item{Symbol}{An instrument identifier for a symbol
-  included in the portfolio, e.g., IBM.}
+\item{Symbol}{An instrument identifier for a symbol included in the portfolio, e.g., IBM.}
 
-  \item{TxnDate}{Transaction date as ISO 8601, e.g.,
-  '2008-09-01' or '2010-01-05 09:54:23.12345'.}
+\item{TxnDate}{Transaction date as ISO 8601, e.g., '2008-09-01' or '2010-01-05 09:54:23.12345'.}
 
-  \item{DivPerShare}{The amount of the cash dividend paid
-  per share or per unit quantity.}
+\item{DivPerShare}{The amount of the cash dividend paid per share or per unit quantity.}
 
-  \item{\dots}{Any other passthrough parameters.}
+\item{TxnFees}{Fees associated with the transaction, e.g. commissions. See Details.}
 
-  \item{TxnFees}{Fees associated with the transaction, e.g.
-  commissions. See Details.}
+\item{ConMult}{Contract or instrument multiplier for the Symbol if it is not defined in an instrument specification.}
 
-  \item{verbose}{If TRUE (default) the function prints the
-  elements of the transaction in a line to the screen,
-  e.g., "2007-01-08 IBM 50 @ 77.6". Suppress using FALSE.}
+\item{verbose}{If TRUE (default) the function prints the elements of the transaction in a line to the screen, e.g., "2007-01-08 IBM 50 @ 77.6". Suppress using FALSE.}
 
-  \item{ConMult}{Contract or instrument multiplier for the
-  Symbol if it is not defined in an instrument
-  specification.}
+\item{\dots}{Any other passthrough parameters.}
 }
 \description{
-Adding a cash dividend does not affect position quantity,
-like a split would.
+Adding a cash dividend does not affect position quantity, like a split would.
 }
 \note{
 # TODO add TxnTypes to $txn table

Modified: pkg/blotter/man/addPortfInstr.Rd
===================================================================
--- pkg/blotter/man/addPortfInstr.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/addPortfInstr.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{addPortfInstr}
 \alias{addPortfInstr}
 \title{add an instrument to a portfolio}
@@ -5,12 +6,11 @@
 addPortfInstr(Portfolio, symbols, ...)
 }
 \arguments{
-  \item{Portfolio}{portfolio identifier string}
+\item{Portfolio}{portfolio identifier string}
 
-  \item{symbols}{character vector of symbols to add to the
-  portfolio}
+\item{symbols}{character vector of symbols to add to the portfolio}
 
-  \item{\dots}{any other passthru parameters}
+\item{\dots}{any other passthru parameters}
 }
 \description{
 thanks to WolfGang Wu for making this function more usable

Modified: pkg/blotter/man/addTxn.Rd
===================================================================
--- pkg/blotter/man/addTxn.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/addTxn.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{addTxn}
 \alias{addTxn}
 \alias{addTxns}
@@ -4,59 +5,49 @@
 \title{Add transactions to a portfolio.}
 \usage{
 addTxn(Portfolio, Symbol, TxnDate, TxnQty, TxnPrice, ..., TxnFees = 0,
-  ConMult = NULL, verbose = TRUE, eps = 1e-06)
+  allowRebates = FALSE, ConMult = NULL, verbose = TRUE, eps = 1e-06)
 
 addTxns(Portfolio, Symbol, TxnData, verbose = FALSE, ..., ConMult = NULL,
-  eps = 1e-06)
+  allowRebates = FALSE, eps = 1e-06)
 }
 \arguments{
-  \item{Portfolio}{A portfolio name that points to a
-  portfolio object structured with \code{initPortf()}}
+\item{Portfolio}{A portfolio name that points to a portfolio object structured with \code{initPortf()}}
 
-  \item{Symbol}{An instrument identifier for a symbol
-  included in the portfolio, e.g., "IBM"}
+\item{Symbol}{An instrument identifier for a symbol included in the portfolio, e.g., "IBM"}
 
-  \item{TxnDate}{Transaction date as ISO 8601, e.g.,
-  '2008-09-01' or '2010-01-05 09:54:23.12345'}
+\item{TxnDate}{Transaction date as ISO 8601, e.g., '2008-09-01' or '2010-01-05 09:54:23.12345'}
 
-  \item{TxnQty}{Total units (such as shares or contracts)
-  transacted.  Positive values indicate a 'buy'; negative
-  values indicate a 'sell'}
+\item{TxnQty}{Total units (such as shares or contracts) transacted.  Positive values indicate a 'buy'; negative values indicate a 'sell'}
 
-  \item{TxnPrice}{Price at which the transaction was done}
+\item{TxnPrice}{Price at which the transaction was done}
 
-  \item{\dots}{Any other passthrough parameters}
+\item{TxnFees}{Fees associated with the transaction, e.g. commissions., See Details}
 
-  \item{TxnFees}{Fees associated with the transaction, e.g.
-  commissions., See Details}
+\item{allowRebates}{whether to allow positive (rebate) TxnFees, default FALSE}
 
-  \item{ConMult}{Contract/instrument multiplier for the
-  Symbol if it is not defined in an instrument
-  specification}
+\item{ConMult}{Contract/instrument multiplier for the Symbol if it is not defined in an instrument specification}
 
-  \item{verbose}{If TRUE (default) the function prints the
-  elements of the transaction in a line to the screen,
-  e.g., "2007-01-08 IBM 50 @ 77.6". Suppress using FALSE.}
+\item{verbose}{If TRUE (default) the function prints the elements of the transaction in a line to the screen, e.g., "2007-01-08 IBM 50 @ 77.6". Suppress using FALSE.}
 
-  \item{eps}{value to add to force unique indices}
+\item{eps}{value to add to force unique indices}
 
-  \item{TxnData}{An xts object containing all required txn
-  fields (for addTxns)}
+\item{TxnData}{An xts object containing all required txn fields (for addTxns)}
+
+\item{\dots}{Any other passthrough parameters}
 }
 \description{
-When a trade or adjustment is made to the Portfolio, the
-addTxn function calculates the value and average cost of
-the transaction, the change in position, the resulting
-positions average cost, and any realized profit or loss
-(net of fees) from the transaction. Then it stores the
-transaction and calculations in the Portfolio object.
+When a trade or adjustment is made to the Portfolio, the addTxn function
+calculates the value and average cost of the transaction,  the change in
+position, the resulting positions average cost, and any realized profit
+or loss (net of fees) from the transaction. Then it stores the transaction
+and calculations in the Portfolio object.
 }
 \details{
 Fees are indicated as negative values and will be
 subtracted from the transaction value. TxnFees can either
 be a fixed numeric amount, or a function (or charavcter
-name of a function) in which case the function is evaluated
-to determine the fee amount.
+name of a function) in which case the function is
+evaluated to determine the fee amount.
 
 The \code{\link{pennyPerShare}} function provides a simple
 example of a transaction cost function.
@@ -70,9 +61,9 @@
 
 This transaction splitting vastly simplifies realized P&L
 calculations elsewhere in the code. Such splitting also
-mirrors many execution platforms and brokerage requirements
-in particular asset classes where the side of a trade needs
-to be specified with the order.
+mirrors many execution platforms and brokerage
+requirements in particular asset classes where the side
+of a trade needs to be specified with the order.
 
 The \code{addTxns} function allows you to add multiple
 transactions to the portfolio, which is much faster than
@@ -81,16 +72,14 @@
 column is optional.
 }
 \note{
-The addTxn function will eventually also handle other
-transaction types, such as adjustments for corporate
-actions or expire/assign for options. See
-\code{\link{addDiv}}
+The addTxn function will eventually also handle other transaction types,
+such as adjustments for corporate actions or expire/assign for options.
+See \code{\link{addDiv}}
 }
 \author{
 Peter Carl, Brian G. Peterson
 }
 \seealso{
-\code{\link{addTxns}}, \code{\link{pennyPerShare}},
-\code{\link{initPortf}}
+\code{\link{addTxns}}, \code{\link{pennyPerShare}}, \code{\link{initPortf}}
 }
 

Modified: pkg/blotter/man/calcPortfWgt.Rd
===================================================================
--- pkg/blotter/man/calcPortfWgt.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/calcPortfWgt.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{calcPortfWgt}
 \alias{calcPortfWgt}
 \title{Calculates the portfolio weights for positions within a given portfolio.}
@@ -7,31 +8,24 @@
   Account)
 }
 \arguments{
-  \item{Portfolio}{a portfolio object structured with
-  initPortf()}
+\item{Portfolio}{a portfolio object structured with initPortf()}
 
-  \item{Symbols}{an instrument identifier for a symbol
-  included in the portfolio}
+\item{Symbols}{an instrument identifier for a symbol included in the portfolio}
 
-  \item{Dates}{dates to return the calculation over
-  formatted as xts range}
+\item{Dates}{dates to return the calculation over formatted as xts range}
 
-  \item{denominator}{string describing the deniminator, see
-  Description}
+\item{denominator}{string describing the deniminator, see Description}
 
-  \item{Account}{an Account object containing Portfolio
-  summaries}
+\item{Account}{an Account object containing Portfolio summaries}
 }
 \value{
-xts timeseries object with weights by date in rows and
-symbolname in columns
+xts timeseries object with weights by date in rows and symbolname in columns
 }
 \description{
-Portfolio weights may be calculated differently depending
-on their use. By default, this function uses denominator of
-'Gross.Value', the second most common option will likely be
-'Net.Value'. For separating long and short weights,
-'Long.Value' and 'Short.Value' may be needed as
-denominators.
+Portfolio weights may be calculated differently depending on their use.
+By default, this function uses denominator of 'Gross.Value', the second most common
+option will likely be 'Net.Value'.
+For separating long and short weights, 'Long.Value' and 'Short.Value' may be
+needed as denominators.
 }
 

Modified: pkg/blotter/man/calcPosAvgCost.Rd
===================================================================
--- pkg/blotter/man/calcPosAvgCost.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/calcPosAvgCost.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{.calcPosAvgCost}
 \alias{.calcPosAvgCost}
 \title{Calculates the average cost of a resulting position from a transaction}
@@ -5,24 +6,20 @@
 .calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult = 1)
 }
 \arguments{
-  \item{PrevPosQty}{quantity of the previous position}
+\item{PrevPosQty}{quantity of the previous position}
 
-  \item{PrevPosAvgCost}{average position cost of the
-  previous position}
+\item{PrevPosAvgCost}{average position cost of the previous position}
 
-  \item{TxnValue}{total value of the transaction, including
-  fees}
+\item{TxnValue}{total value of the transaction, including fees}
 
-  \item{PosQty}{total units (shares) of the resulting
-  position}
+\item{PosQty}{total units (shares) of the resulting position}
 
-  \item{ConMult}{multiplier from instrument data}
+\item{ConMult}{multiplier from instrument data}
 }
 \value{
 PosAvgCost: average cost of the resulting position
 }
 \description{
-Calculates the average cost of a resulting position from a
-transaction
+Calculates the average cost of a resulting position from a transaction
 }
 

Modified: pkg/blotter/man/calcTxnAvgCost.Rd
===================================================================
--- pkg/blotter/man/calcTxnAvgCost.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/calcTxnAvgCost.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{.calcTxnAvgCost}
 \alias{.calcTxnAvgCost}
 \title{Calculates a per share or per contract cost of the transaction to match the units the price is quoted in}
@@ -5,19 +6,16 @@
 .calcTxnAvgCost(TxnValue, TxnQty, ConMult = 1)
 }
 \arguments{
-  \item{TxnValue}{total value of the transaction, including
-  fees}
+\item{TxnValue}{total value of the transaction, including fees}
 
-  \item{TxnQty}{total units (shares) of the transaction}
+\item{TxnQty}{total units (shares) of the transaction}
 
-  \item{ConMult}{multiplier from instrument data}
+\item{ConMult}{multiplier from instrument data}
 }
 \value{
-TxnAvgCost: unit normalized (per share) cost implied by the
-transaction
+TxnAvgCost: unit normalized (per share) cost implied by the transaction
 }
 \description{
-Calculates a per share or per contract cost of the
-transaction to match the units the price is quoted in
+Calculates a per share or per contract cost of the transaction to match the units the price is quoted in
 }
 

Modified: pkg/blotter/man/calcTxnValue.Rd
===================================================================
--- pkg/blotter/man/calcTxnValue.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/calcTxnValue.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{.calcTxnValue}
 \alias{.calcTxnValue}
 \title{Calculates the total value of a transaction or trade}
@@ -5,18 +6,16 @@
 .calcTxnValue(TxnQty, TxnPrice, TxnFees, ConMult = 1)
 }
 \arguments{
-  \item{TxnQty}{total units (shares) of the transaction}
+\item{TxnQty}{total units (shares) of the transaction}
 
-  \item{TxnPrice}{price at which the transaction was done}
+\item{TxnPrice}{price at which the transaction was done}
 
-  \item{TxnFees}{fees associated with the transaction, e.g.
-  commissions}
+\item{TxnFees}{fees associated with the transaction, e.g. commissions}
 
-  \item{ConMult}{multiplier from instrument data}
+\item{ConMult}{multiplier from instrument data}
 }
 \value{
-TxnValue: total dollar value of the transaction, including
-fees
+TxnValue: total dollar value of the transaction, including fees
 }
 \description{
 Calculates the total value of a transaction or trade

Modified: pkg/blotter/man/chart.ME.Rd
===================================================================
--- pkg/blotter/man/chart.ME.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/chart.ME.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{chart.ME}
 \alias{chart.ME}
 \title{Chart Maximum Adverse/Favorable Excursion}
@@ -6,39 +7,29 @@
   "percent", "tick"), ...)
 }
 \arguments{
-  \item{Portfolio}{string identifying the portfolio to
-  chart}
+\item{Portfolio}{string identifying the portfolio to chart}
 
-  \item{Symbol}{string identifying the symbol to chart. If
-  missing, the first symbol found in the \code{Portfolio}
-  portfolio will be used}
+\item{Symbol}{string identifying the symbol to chart. If missing, the first symbol found in the \code{Portfolio} portfolio will be used}
 
-  \item{type}{string specifying MAE (Adverse) or MFE
-  (Favourable) chart type}
+\item{type}{string specifying MAE (Adverse) or MFE (Favourable) chart type}
 
-  \item{scale}{string specifying 'cash', or 'percent' for
-  percentage of investment, or 'tick'}
+\item{scale}{string specifying 'cash', or 'percent' for percentage of investment, or 'tick'}
 
-  \item{\dots}{any other passthrough parameters, in
-  particular includeOpenTrades (see perTradeStats())}
+\item{\dots}{any other passthrough parameters, in particular includeOpenTrades (see perTradeStats())}
 }
 \description{
-Produces a scatterplot with one point per trade, with
-x-axis: absolute value of Drawdown (Adverse), or Run Up
-(Favourable), and y-axis: absolute value of Net Profit or
-Loss
+Produces a scatterplot with one point per trade, with x-axis: absolute
+value of Drawdown (Adverse), or Run Up (Favourable),
+and y-axis: absolute value of Net Profit or Loss
 }
 \author{
 Jan Humme
 }
 \references{
-Tomasini, E. and Jaekle, U. \emph{Trading Systems - A new
-approach to system development and portfolio optimisation}
-(ISBN 978-1-905641-79-6), section 3.5
+Tomasini, E. and Jaekle, U. \emph{Trading Systems - A new approach to system development and portfolio optimisation} (ISBN 978-1-905641-79-6), section 3.5
 }
 \seealso{
-\code{\link{perTradeStats}} for the calculations used by
-this chart, and \code{\link{tradeStats}} for a summary view
-of the performance
+\code{\link{perTradeStats}} for the calculations used by this chart,
+and \code{\link{tradeStats}} for a summary view of the performance
 }
 

Modified: pkg/blotter/man/chart.Posn.Rd
===================================================================
--- pkg/blotter/man/chart.Posn.Rd	2014-10-26 17:34:20 UTC (rev 1642)
+++ pkg/blotter/man/chart.Posn.Rd	2014-10-27 21:06:03 UTC (rev 1643)
@@ -1,3 +1,4 @@
+% Generated by roxygen2 (4.0.2): do not edit by hand
 \name{chart.Posn}
 \alias{chart.Posn}
[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/blotter -r 1643