[Blotter-commits] r203 - pkg/blotter/R

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

Author: braverock
Date: 2010-01-26 18:30:20 +0100 (Tue, 26 Jan 2010)
New Revision: 203

Added:
   pkg/blotter/R/addPortfInstr.R
Modified:
   pkg/blotter/R/initPortf.R
   pkg/blotter/R/updatePortf.R
Log:
- remove special handling for synthetics, include addPortfInstr

Added: pkg/blotter/R/addPortfInstr.R
===================================================================
--- pkg/blotter/R/addPortfInstr.R	                        (rev 0)
+++ pkg/blotter/R/addPortfInstr.R	2010-01-26 17:30:20 UTC (rev 203)
@@ -0,0 +1,34 @@
+addPortfInstr <- function(Portfolio,symbols,...,verbose=TRUE) 
+{
+    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"))
+
+    msymbols<-match(names(portfolio),symbols)
+    symbols<-symbols[which(is.na(msymbols))]
+    
+    if(missing(initPosQty)) initPosQty=rep(0, length(symbols))
+    
+    for(instrument in symbols){
+        i = match(instrument, symbols)
+        portfolio[[instrument]]$txn = initTxn(initDate = initDate, initPosQty = initPosQty[i])
+        portfolio[[instrument]]$posPL = initPosPL(initDate = initDate, initPosQty = initPosQty[i])
+    }
+    
+    assign(paste("portfolio",as.character(pname),sep='.'),portfolio,envir=.blotter)
+    
+}
+
+###############################################################################
+# Blotter: Tools for transaction-oriented trading systems development
+# for R (see http://r-project.org/)
+# Copyright (c) 2008-2010 Peter Carl and Brian G. Peterson
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################
+


Property changes on: pkg/blotter/R/addPortfInstr.R
___________________________________________________________________
Name: svn:keywords
   + Revision Id Date Author

Modified: pkg/blotter/R/initPortf.R
===================================================================
--- pkg/blotter/R/initPortf.R	2010-01-25 21:51:02 UTC (rev 202)
+++ pkg/blotter/R/initPortf.R	2010-01-26 17:30:20 UTC (rev 203)
@@ -21,7 +21,7 @@
 initPortf <- function(name="default", symbols, initPosQty = 0, initDate = '1950-01-01')
 { # @author Peter Carl
     if(exists(paste("portfolio",name,sep='.'), envir=.blotter,inherits=TRUE))
-        stop(paste("Portfolio",name,"already exists, use updatePortf() to update it."))
+        stop(paste("Portfolio",name,"already exists, use updatePortf() or addPortfInstr() to update it."))
     
     # FUNCTION
     portfolio=vector("list",length=length(symbols))

Modified: pkg/blotter/R/updatePortf.R
===================================================================
--- pkg/blotter/R/updatePortf.R	2010-01-25 21:51:02 UTC (rev 202)
+++ pkg/blotter/R/updatePortf.R	2010-01-26 17:30:20 UTC (rev 203)
@@ -7,7 +7,7 @@
 #' These dates must appear in the price stream
 #' 
 #' Outputs
-#' Regular time series of position information and PL
+#' assigns position information and PL into the environment
 #' 
 #' @param Portfolio 
 #' @param Dates 
@@ -15,18 +15,23 @@
 updatePortf <- function(Portfolio, Dates)
 { #' @author Peter Carl
     pname<-Portfolio
-    Portfolio<-get(paste("portfolio",pname,sep='.'),envir=.blotter,inherits=TRUE)
+    Portfolio<-try(get(paste("portfolio",pname,sep='.'),envir=.blotter),silent=TRUE)
     if(inherits(Portfolio,"try-error"))
-        stop(paste("Portfolio",pname," not found, use initPortf() to create a new account"))
+        stop(paste("Portfolio",pname," not found, use initPortf() to create a new portfolio"))
     
 
     # FUNCTION
     symbols = names(Portfolio)
     for(symbol in symbols){
-      Portfolio = updatePosPL(pname, symbol, Dates, Cl(get(symbol)))
-  }
-  assign(paste("portfolio",pname,sep='.'),Portfolio,envir=.blotter) 
-  return(pname) #not sure this is a good idea
+        tmp_instr<-try(getInstrument(symbol))
+        if(inherits(tmp_instr,"try-error") | !is.instrument(tmp_instr)){
+            message(paste("Instrument",symbol," not found, assuming non-synthetic"))
+        } else {
+            updatePosPL(pname, symbol, Dates, Cl(get(symbol)))            
+        }  
+    }
+    assign(paste("portfolio",pname,sep='.'),Portfolio,envir=.blotter) 
+    return(pname) #not sure this is a good idea
 }
 
 ###############################################################################