[Blotter-commits] r145 - pkg/blotter/R

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

Author: braverock
Date: 2010-01-12 20:47:21 +0100 (Tue, 12 Jan 2010)
New Revision: 145

Modified:
   pkg/blotter/R/chart.Posn.R
Log:
-update chart.Posn to better handle irregular/intraday time series and match them top periodicity of price data

Modified: pkg/blotter/R/chart.Posn.R
===================================================================
--- pkg/blotter/R/chart.Posn.R	2010-01-12 18:13:25 UTC (rev 144)
+++ pkg/blotter/R/chart.Posn.R	2010-01-12 19:47:21 UTC (rev 145)
@@ -25,9 +25,12 @@
     # TODO: add date scoping
     Prices=get(Symbol)
 
-    Buys = Portfolio[[Symbol]]$txn$Txn.Price*(Portfolio[[Symbol]]$txn$Txn.Qty>0)
-    Sells = Portfolio[[Symbol]]$txn$Txn.Price*(Portfolio[[Symbol]]$txn$Txn.Qty<0)
-    Position = Portfolio[[Symbol]]$posPL$Pos.Qty
+    Trades = Portfolio[[Symbol]]$txn$Txn.Price*Portfolio[[Symbol]]$txn$Txn.Qty
+    Buys = Portfolio[[Symbol]]$txn$Txn.Price[which(Trades>0)]
+    Sells = Portfolio[[Symbol]]$txn$Txn.Price[which(Trades<0)]
+    #Position = Portfolio[[Symbol]]$posPL$Pos.Qty # use $txn instead, and make it match the prices index
+    Position = Portfolio[[Symbol]]$txn$Pos.Qty
+    Position = na.locf(merge(Position,index(Prices)))
     CumPL = cumsum(Portfolio[[Symbol]]$posPL$Trading.PL)
     #     # These aren't quite right, as abs(Pos.Qty) should be less than prior abs(Pos.Qty)
     # SellCover = Portfolio[[Symbol]]$txn$Txn.Price * (Portfolio[[Symbol]]$txn$Txn.Qty<0) * (Portfolio[[Symbol]]$txn$Pos.Qty==0)