[Blotter-commits] r373 - in pkg/blotter: R tests

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

Author: braverock
Date: 2010-08-16 20:04:41 +0200 (Mon, 16 Aug 2010)
New Revision: 373

Added:
   pkg/blotter/tests/runitUpdatePortf.R
Modified:
   pkg/blotter/R/updatePosPL.R
   pkg/blotter/tests/runitAddTxn.R
   pkg/blotter/tests/runitCalcValues.R
   pkg/blotter/tests/testSuite.R
Log:
- fix edge case bug in updatePosPL (first bug spotted by a regression test!)
- update tests with new code from Ben McCann (thanks!)

Modified: pkg/blotter/R/updatePosPL.R
===================================================================
--- pkg/blotter/R/updatePosPL.R	2010-08-16 15:30:39 UTC (rev 372)
+++ pkg/blotter/R/updatePosPL.R	2010-08-16 18:04:41 UTC (rev 373)
@@ -114,7 +114,7 @@
             PrevPosValue = 0
         } else {
             PrevPosQty = getPosQty(pname, Symbol, as.character(PrevDate)) 
-            PrevPosValue <- as.numeric(Portfolio[[Symbol]]$posPL[PrevDate, 'Pos.Value'])
+			ifelse(PrevPosQty != 0 , PrevPosValue <- as.numeric(Portfolio[[Symbol]]$posPL[PrevDate, 'Pos.Value']), PrevPosValue<-0) 			
         }    
 
         ifelse(PrevPosQty==0, PrevClosePrice <- 0 , PrevClosePrice <- as.numeric(getPrice(Prices)[as.character(PrevDate)]))

Modified: pkg/blotter/tests/runitAddTxn.R
===================================================================
--- pkg/blotter/tests/runitAddTxn.R	2010-08-16 15:30:39 UTC (rev 372)
+++ pkg/blotter/tests/runitAddTxn.R	2010-08-16 18:04:41 UTC (rev 373)
@@ -1,3 +1,4 @@
+# Author: Peter Carl, RUnit port by Ben McCann
 
 #Sys.setenv(TZ="America/Chicago")        # as the data set got save with this TZ
 #options("width"=78)                     # to tie down the print() statement width

Modified: pkg/blotter/tests/runitCalcValues.R
===================================================================
--- pkg/blotter/tests/runitCalcValues.R	2010-08-16 15:30:39 UTC (rev 372)
+++ pkg/blotter/tests/runitCalcValues.R	2010-08-16 18:04:41 UTC (rev 373)
@@ -1,4 +1,4 @@
-# Copyright 2010.  All rights reserved.
+# Author: Peter Carl, RUnit port by Ben McCann
 
 test.calcTxnValue <- function() {
   checkEquals(99, calcTxnValue(TxnQty=10, TxnPrice=10, TxnFees=1))

Added: pkg/blotter/tests/runitUpdatePortf.R
===================================================================
--- pkg/blotter/tests/runitUpdatePortf.R	                        (rev 0)
+++ pkg/blotter/tests/runitUpdatePortf.R	2010-08-16 18:04:41 UTC (rev 373)
@@ -0,0 +1,34 @@
+# Author: Peter Carl, RUnit port by Ben McCann
+
+.tearDown <- function() {
+  rm(list=ls(all=TRUE, pos=.blotter), pos=.blotter)
+  rm(list=ls(all=TRUE, pos=.instrument), pos=.instrument)
+}
+
+test.txnFees <- function() {
+  data(IBM)                               # data included in package
+  currency("USD")
+  symbols <- c("IBM")
+  for (symbol in symbols){
+    stock(symbol, currency="USD", multiplier=1)
+  }
+
+  ## simple portfolio with one transaction
+  p1 <- initPortf(name="p1", symbols=symbols)
+  p1 <- addTxn(Portfolio="p1", Symbol="IBM", TxnDate='2007-01-04', TxnQty=100, TxnPrice=96.5, TxnFees=0.05*100)
+  p1 <- updatePortf(Portfolio="p1", Dates='2007-01-03::2007-01-10')
+  a1 <- initAcct(name="a1", portfolios="p1")
+  a1 <- updateAcct(a1,'2007-01')
+  a1 <- updateEndEq(a1,'2007-01')
+
+  ## (really) simple transaction cost function
+  fiveCents <- function(qty, prc) return(0.05*qty)
+  p2 <- initPortf(name="p2", symbols=symbols)
+  p2 <- addTxn(Portfolio="p2", Symbol="IBM", TxnDate='2007-01-04', TxnQty=100, TxnPrice=96.5, TxnFees=fiveCents)
+  p2 <- updatePortf(Portfolio="p2", Dates='2007-01-03::2007-01-10')
+  a2 <- initAcct(name="a2", portfolios="p2")
+  a2 <- updateAcct(a2,'2007-01')
+  a2 <- updateEndEq(a2,'2007-01')
+
+  checkEquals(getAccount('a1')$TOTAL$End.Eq, getAccount('a2')$TOTAL$End.Eq)
+}

Modified: pkg/blotter/tests/testSuite.R
===================================================================
--- pkg/blotter/tests/testSuite.R	2010-08-16 15:30:39 UTC (rev 372)
+++ pkg/blotter/tests/testSuite.R	2010-08-16 18:04:41 UTC (rev 373)
@@ -1,3 +1,5 @@
+# RUnit blotter port/framework by Ben McCann
+
 # Set working directory to this directory before running
 
 # Load deps
@@ -3,7 +5,8 @@
 library(RUnit)
 library(quantmod)
+library(blotter)
 
-# Load blotter
-for (file in dir("../R", pattern="*.R", full.names=TRUE)) {
+#Load blotter files.  When is this necessary?
+for (file in list.files("../R", pattern="*.R$", full.names=TRUE)) {
   source(file)
 }