[Blotter-commits] r173 - pkg/blotter/R

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

Author: braverock
Date: 2010-01-17 15:41:23 +0100 (Sun, 17 Jan 2010)
New Revision: 173

Modified:
   pkg/blotter/R/updatePosPL.R
Log:
- make updatePosPL robust to lack of price data, iterating until it has data without fatal error

Modified: pkg/blotter/R/updatePosPL.R
===================================================================
--- pkg/blotter/R/updatePosPL.R	2010-01-16 10:04:19 UTC (rev 172)
+++ pkg/blotter/R/updatePosPL.R	2010-01-17 14:41:23 UTC (rev 173)
@@ -43,6 +43,9 @@
 #          if(i>1) # if it isn't the first price in the time series
             #PrevDate = time(Prices[grep(CurrentDate,time(Prices))-1])
         PrevDate = time(Prices[Prices[CurrentDate,which.i=TRUE]-1]) # which.i is new in [.xts
+        if (length(PrevDate)==0) next() #no price data, keep looking
+        # NOTE the line above iterates to the next Date in the Dates collection, 
+        # this can be the case as with contract rolls, or missing data.  price data may not cover the entire period
         PrevDateWidth = xts:::.parseISO8601(PrevDate)
         PrevDateLast = PrevDateWidth$last.time
         PriorPrevDate = time(Prices[Prices[CurrentDate,which.i=TRUE]-1])