[Blotter-commits] r524 - pkg/blotter/R

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

Author: braverock
Date: 2011-01-04 17:16:13 +0100 (Tue, 04 Jan 2011)
New Revision: 524

Modified:
   pkg/blotter/R/addTxn.R
   pkg/blotter/R/calcPosAvgCost.R
   pkg/blotter/R/calcTxnAvgCost.R
   pkg/blotter/R/calcTxnValue.R
Log:
- move several non-exported calc* functions to .calc*
- adjust addTxn to call .calc fns
- remove abs() in calcPosAvgCost to account for negative prices

Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2011-01-04 12:40:10 UTC (rev 523)
+++ pkg/blotter/R/addTxn.R	2011-01-04 16:16:13 UTC (rev 524)
@@ -57,8 +57,8 @@
     if(TxnFees>0) warning('Positive Transaction Fees should only be used in the case of broker/exchange rebates for TxnFees ',TxnFees,'. See Documentation.')
     
     # Calculate the value and average cost of the transaction
-    TxnValue = calcTxnValue(TxnQty, TxnPrice, 0, ConMult) # Gross of Fees
-    TxnAvgCost = calcTxnAvgCost(TxnValue, TxnQty, ConMult)
+    TxnValue = .calcTxnValue(TxnQty, TxnPrice, 0, ConMult) # Gross of Fees
+    TxnAvgCost = .calcTxnAvgCost(TxnValue, TxnQty, ConMult)
 
     # Calculate the change in position
     PrevPosQty = getPosQty(pname, Symbol, TxnDate)
@@ -66,7 +66,7 @@
 
     # Calculate the resulting position's average cost
     PrevPosAvgCost = .getPosAvgCost(pname, Symbol, TxnDate)
-    PosAvgCost = calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult)
+    PosAvgCost = .calcPosAvgCost(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult)
 
 	
     # Calculate any realized profit or loss (net of fees) from the transaction
@@ -134,11 +134,11 @@
         TxnPrice       <- as.numeric(TxnData[row,'Price'])
         TxnFee         <- 0 #TODO FIXME support transaction fees in addTxns
         #TxnFee         <- ifelse( is.function(TxnFees), TxnFees(TxnQty, TxnPrice), TxnFees)
-        TxnValue       <- calcTxnValue(TxnQty, TxnPrice, TxnFee, ConMult)
-        TxnAvgCost     <- calcTxnAvgCost(TxnValue, TxnQty, ConMult)
+        TxnValue       <- .calcTxnValue(TxnQty, TxnPrice, TxnFee, ConMult)
+        TxnAvgCost     <- .calcTxnAvgCost(TxnValue, TxnQty, ConMult)
         #PrevPosQty     <- getPosQty(pname, Symbol, index(TxnData[row,]))
         PosQty         <- PrevPosQty+TxnQty
-        PosAvgCost     <- calcPosAvgCost(PrevPosQty, PrevPosAvgCost, 0, PosQty, ConMult) # lag this over the data?
+        PosAvgCost     <- .calcPosAvgCost(PrevPosQty, PrevPosAvgCost, 0, PosQty, ConMult) # lag this over the data?
 		GrossTxnRealizedPL = TxnQty * ConMult * (PrevPosAvgCost - TxnAvgCost)
 		NetTxnRealizedPL = GrossTxnRealizedPL - TxnFee
         PrevPosQty     <- PosQty

Modified: pkg/blotter/R/calcPosAvgCost.R
===================================================================
--- pkg/blotter/R/calcPosAvgCost.R	2011-01-04 12:40:10 UTC (rev 523)
+++ pkg/blotter/R/calcPosAvgCost.R	2011-01-04 16:16:13 UTC (rev 524)
@@ -6,12 +6,13 @@
 #' @param TxnValue total value of the transaction, including fees
 #' @param PosQty total units (shares) of the resulting position
 #' @param ConMult multiplier from instrument data
-calcPosAvgCost <- function(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult=1)
+.calcPosAvgCost <- function(PrevPosQty, PrevPosAvgCost, TxnValue, PosQty, ConMult=1)
 { # @author Peter Carl
     if(PosQty == 0)
         PosAvgCost = 0
     else {
-        PosAvgCost = abs((PrevPosQty * PrevPosAvgCost * ConMult + TxnValue)/(PosQty*ConMult))
+        # PosAvgCost = abs((PrevPosQty * PrevPosAvgCost * ConMult + TxnValue)/(PosQty*ConMult))
+        PosAvgCost = (PrevPosQty * PrevPosAvgCost * ConMult + TxnValue)/(PosQty*ConMult)
     }
     return(PosAvgCost)
 }

Modified: pkg/blotter/R/calcTxnAvgCost.R
===================================================================
--- pkg/blotter/R/calcTxnAvgCost.R	2011-01-04 12:40:10 UTC (rev 523)
+++ pkg/blotter/R/calcTxnAvgCost.R	2011-01-04 16:16:13 UTC (rev 524)
@@ -3,7 +3,7 @@
 #' @param TxnQty total units (shares) of the transaction
 #' @param ConMult multiplier from instrument data
 #' @return TxnAvgCost: unit normalized (per share) cost implied by the transaction
-calcTxnAvgCost <- function(TxnValue, TxnQty, ConMult=1)
+.calcTxnAvgCost <- function(TxnValue, TxnQty, ConMult=1)
 { # @author Peter Carl
     TxnAvgCost = TxnValue/(TxnQty*ConMult)
     return(TxnAvgCost)

Modified: pkg/blotter/R/calcTxnValue.R
===================================================================
--- pkg/blotter/R/calcTxnValue.R	2011-01-04 12:40:10 UTC (rev 523)
+++ pkg/blotter/R/calcTxnValue.R	2011-01-04 16:16:13 UTC (rev 524)
@@ -4,7 +4,7 @@
 #' @param TxnFees fees associated with the transaction, e.g. commissions
 #' @param ConMult multiplier from instrument data
 #' @return TxnValue: total dollar value of the transaction, including fees
-calcTxnValue <- function(TxnQty, TxnPrice, TxnFees, ConMult=1)
+.calcTxnValue <- function(TxnQty, TxnPrice, TxnFees, ConMult=1)
 { # @author Peter Carl
     TxnValue = TxnQty * TxnPrice * ConMult - TxnFees
     return(TxnValue)