[Blotter-commits] r743 - in pkg/FinancialInstrument: . R man

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Thu Aug 25 23:15:26 CEST 2011 

Author: gsee
Date: 2011-08-25 23:15:26 +0200 (Thu, 25 Aug 2011)
New Revision: 743

Added:
   pkg/FinancialInstrument/man/make_spread_id.Rd
Modified:
   pkg/FinancialInstrument/NAMESPACE
   pkg/FinancialInstrument/R/buildSpread.R
   pkg/FinancialInstrument/R/synthetic.R
   pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd
Log:
 - add make_spread_id fun that creates a spread_id from the primary_ids of its members
 - add auto.assign and env args to fn_SpreadBuilder
 - fn_SpreadBuilder now defines the spread and assigns the xts data in env by default 


Modified: pkg/FinancialInstrument/NAMESPACE
===================================================================
--- pkg/FinancialInstrument/NAMESPACE	2011-08-25 21:12:43 UTC (rev 742)
+++ pkg/FinancialInstrument/NAMESPACE	2011-08-25 21:15:26 UTC (rev 743)
@@ -26,6 +26,7 @@
 export(is.instrument)
 export(load.instruments)
 export(M2C)
+export(make_spread_id)
 export(month_cycle2numeric)
 export(next.future_id)
 export(option)

Modified: pkg/FinancialInstrument/R/buildSpread.R
===================================================================
--- pkg/FinancialInstrument/R/buildSpread.R	2011-08-25 21:12:43 UTC (rev 742)
+++ pkg/FinancialInstrument/R/buildSpread.R	2011-08-25 21:15:26 UTC (rev 743)
@@ -149,10 +149,10 @@
 #' Alternatively, \code{prod2} can be omitted, and a vector of 2 instrument names can be given to \code{prod1}. 
 #' See the last example for this usage.
 #' 
-#' If \code{prod1} and \code{prod2} are names (not xts data), it will try to get data for \code{prod1} and \code{prod2} from .GlobalEnv.  
-#' If it cannot find the data, it will get it with a call to getSymbols. 
+#' If \code{prod1} and \code{prod2} are names (not xts data), it will try to get data for \code{prod1} and \code{prod2} 
+#' from \code{env} (.GlobalEnv by default).  If it cannot find the data, it will get it with a call to getSymbols. 
 #' Prices are multiplied by multipliers and exchange rates to get notional values in the currency specified.
-#' The second leg's notional values are multiplied by the ratio.
+#' The second leg's notional values are multiplied by \code{ratio}.
 #' Then the difference is taken between the notionals of leg1 and the new values for leg2.
 #' 
 #' \sQuote{make.index.unique} uses the xts function \code{make.index.unique} 
@@ -168,8 +168,10 @@
 #' @param to to Date to pass through to getSymbols if needed.
 #' @param session_times ISO-8601 time subset for the session time, in GMT, in the format 'T08:00/T14:59'
 #' @param unique_method method for making the time series unique
+#' @param auto.assign if \code{TRUE} (the default) the constructed spread will be stored in symbol created with \code{\link{make_spread_id}}. instrument metadata will also be created and stored with the same primary_id.
+#' @param env if \code{auto.assign} is \code{TRUE} this is the environment in which to store the data (.GlobalEnv by default) 
 #' @param silent silence warnings? (FALSE by default)
-#' @param \dots any other passthrough parameters 
+#' @param \dots other arguments to pass to \code{getSymbols} and/or \code{\link{make_spread_id}}
 #' @return 
 #' an xts object with
 #' Bid, Ask, Mid columns, 
@@ -199,11 +201,12 @@
 #' # in 1 arg instead of using both prod1 and prod2.
 #' fSB4 <- fn_SpreadBuilder(c("SPY","DIA"))
 #' #download data and plot the closing values of a spread in one line
-#' chartSeries(Cl(fn_SpreadBuilder(getSymbols(c("SPY","DIA")))))
+#' chartSeries(Cl(fn_SpreadBuilder(getSymbols(c("SPY","DIA")),auto.assign=FALSE)))
 #' }
 #' @export
 fn_SpreadBuilder <- function(prod1, prod2, ratio=1, currency='USD', from=NULL, to=NULL, session_times=NULL, 
-    unique_method=c('make.index.unique','duplicated','least.liq','price.change'), silent=FALSE, ...)
+    unique_method=c('make.index.unique','duplicated','least.liq','price.change'), silent=FALSE, 
+    auto.assign=TRUE, env=.GlobalEnv, ...)
 {
 ##TODO: allow for different methods for calculating Bid and Ask 
     if (!("package:quantmod" %in% search() || require("quantmod",quietly=TRUE))) {
@@ -372,13 +375,44 @@
                 
             }
     )
-##TODO: look to see if there is an instrument defined for this spread (using whatever is the spread naming convention).
-## If it is not defined, then define it, adding fn_SpreadBuilder to the type, or indicating in some other way that it was
-## auto-defined.
+    if (auto.assign) { #store the data in 
+        members <- c(prod1,prod2)
+        id <- make_spread_id(members, ...) #can pass 'root' or 'format' through dots
+        spread(id, currency=currency, members=members, memberratio=c(1,-ratio), defined.by='fn_SpreadBuilder')
+        assign(id, Spread, pos=env)
+        id
+    } else Spread  
+}
 
-    Spread  
+
+#' construct a primary_id for a spread instrument from the primary_ids of its members
+#'
+#' @param x vector of member primary_ids
+#' @param root optional character string of root_id to use.
+#' @param format string indicating how to format the suffix_ids of the spread.  If \code{NULL} (the default), or \code{FALSE}, no formatting will be done.  the See \code{\link{format_id}} for other accepted values for \code{format}
+#' @return character string that can be used as a primary_id for a \code{\link{spread}} instrument
+#' @author Garrett See
+#' @seealso \code{\link{spread}}, \code{\link{build_spread_symbols}},  \code{\link{build_series_symbols}}
+#' @examples
+#' ids <- c('VX_aug1','VX_U11')
+#' make_spread_id(ids, format='CY')
+#' make_spread_id(ids, format=FALSE)
+#' make_spread_id(c("VIX_JAN11","VIX_FEB11"),root='VX',format='CY')
+#' @export
+make_spread_id <- function(x, root=NULL, format=NULL){
+#    if (length(x) != 2) stop("x must be a vector of length 2")
+    if (is.null(root)) {
+        root <- unlist(unique(sapply(x, parse_id)['root',]))
+    }
+    if (length(root) != 1) return(paste(format_id(x, format=format),collapse="."))
+    suff <- paste(unlist(unique(sapply(x,parse_id)['suffix',])),collapse='.')
+	#if (is.character(format)) suff <- paste(sapply(strsplit(suff,"\\.")[[1]], format_id, format=format, parse='suffix'), collapse=".")
+    if (!is.null(format) && is.character(format)) 
+		suff <- paste(format_id(strsplit(suff,"\\.")[[1]], format=format, parse='suffix'), collapse=".")
+    return(paste(root,suff, sep="_"))        
 }
 
+
 #' format the price of a synthetic instrument
 #'
 #' Divides the notional spread price by the spread multiplier and rounds prices to the nearest \code{tick_size}.

Modified: pkg/FinancialInstrument/R/synthetic.R
===================================================================
--- pkg/FinancialInstrument/R/synthetic.R	2011-08-25 21:12:43 UTC (rev 742)
+++ pkg/FinancialInstrument/R/synthetic.R	2011-08-25 21:15:26 UTC (rev 743)
@@ -135,7 +135,7 @@
         }
         for (member in members) {
             tmp_symbol <- member
-            tmp_instr <- try(getInstrument(member))
+            tmp_instr <- try(getInstrument(member, silent=TRUE))
             if (inherits(tmp_instr, "try-error") | !is.instrument(tmp_instr)) {
                 message(paste("Instrument", tmp_symbol, " not found, using currency of", 
                   currency))
@@ -234,3 +234,7 @@
 	tick_size=tick_size, ... = ..., type = c("guaranteed_spread", "spread", 
 	"synthetic.instrument", "synthetic"))
 }
+
+
+
+

Modified: pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd
===================================================================
--- pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd	2011-08-25 21:12:43 UTC (rev 742)
+++ pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd	2011-08-25 21:15:26 UTC (rev 743)
@@ -5,7 +5,8 @@
   fn_SpreadBuilder(prod1, prod2, ratio = 1, currency =
   "USD", from = NULL, to = NULL, session_times = NULL,
   unique_method = c("make.index.unique", "duplicated",
-  "least.liq", "price.change"), silent = FALSE, ...)
+  "least.liq", "price.change"), silent = FALSE, auto.assign
+  = TRUE, env = .GlobalEnv, ...)
 }
 \arguments{
   \item{prod1}{chr name of instrument that will be the 1st
@@ -34,9 +35,19 @@
   \item{unique_method}{method for making the time series
   unique}
 
+  \item{auto.assign}{if \code{TRUE} (the default) the
+  constructed spread will be stored in symbol created with
+  \code{\link{make_spread_id}}. instrument metadata will
+  also be created and stored with the same primary_id.}
+
+  \item{env}{if \code{auto.assign} is \code{TRUE} this is
+  the environment in which to store the data (.GlobalEnv by
+  default)}
+
   \item{silent}{silence warnings? (FALSE by default)}
 
-  \item{\dots}{any other passthrough parameters}
+  \item{\dots}{other arguments to pass to \code{getSymbols}
+  and/or \code{\link{make_spread_id}}}
 }
 \value{
   an xts object with Bid, Ask, Mid columns, or Open, Close,
@@ -56,13 +67,14 @@
 
   If \code{prod1} and \code{prod2} are names (not xts
   data), it will try to get data for \code{prod1} and
-  \code{prod2} from .GlobalEnv. If it cannot find the data,
-  it will get it with a call to getSymbols. Prices are
-  multiplied by multipliers and exchange rates to get
-  notional values in the currency specified. The second
-  leg's notional values are multiplied by the ratio. Then
-  the difference is taken between the notionals of leg1 and
-  the new values for leg2.
+  \code{prod2} from \code{env} (.GlobalEnv by default).  If
+  it cannot find the data, it will get it with a call to
+  getSymbols. Prices are multiplied by multipliers and
+  exchange rates to get notional values in the currency
+  specified. The second leg's notional values are
+  multiplied by \code{ratio}. Then the difference is taken
+  between the notionals of leg1 and the new values for
+  leg2.
 
   \sQuote{make.index.unique} uses the xts function
   \code{make.index.unique} \sQuote{least.liq} subsets the
@@ -91,7 +103,7 @@
 # in 1 arg instead of using both prod1 and prod2.
 fSB4 <- fn_SpreadBuilder(c("SPY","DIA"))
 #download data and plot the closing values of a spread in one line
-chartSeries(Cl(fn_SpreadBuilder(getSymbols(c("SPY","DIA")))))
+chartSeries(Cl(fn_SpreadBuilder(getSymbols(c("SPY","DIA")),auto.assign=FALSE)))
 }
 }
 \author{

Added: pkg/FinancialInstrument/man/make_spread_id.Rd
===================================================================
--- pkg/FinancialInstrument/man/make_spread_id.Rd	                        (rev 0)
+++ pkg/FinancialInstrument/man/make_spread_id.Rd	2011-08-25 21:15:26 UTC (rev 743)
@@ -0,0 +1,39 @@
+\name{make_spread_id}
+\alias{make_spread_id}
+\title{construct a primary_id for a spread instrument from the primary_ids of its members}
+\usage{
+  make_spread_id(x, root = NULL, format = NULL)
+}
+\arguments{
+  \item{x}{vector of member primary_ids}
+
+  \item{root}{optional character string of root_id to use.}
+
+  \item{format}{string indicating how to format the
+  suffix_ids of the spread.  If \code{NULL} (the default),
+  or \code{FALSE}, no formatting will be done.  the See
+  \code{\link{format_id}} for other accepted values for
+  \code{format}}
+}
+\value{
+  character string that can be used as a primary_id for a
+  \code{\link{spread}} instrument
+}
+\description{
+  construct a primary_id for a spread instrument from the
+  primary_ids of its members
+}
+\examples{
+ids <- c('VX_aug1','VX_U11')
+make_spread_id(ids, format='CY')
+make_spread_id(ids, format=FALSE)
+make_spread_id(c("VIX_JAN11","VIX_FEB11"),root='VX',format='CY')
+}
+\author{
+  Garrett See
+}
+\seealso{
+  \code{\link{spread}}, \code{\link{build_spread_symbols}},
+  \code{\link{build_series_symbols}}
+}
+

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