From noreply at r-forge.r-project.org  Tue Jul  2 17:43:37 2013
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue,  2 Jul 2013 17:43:37 +0200 (CEST)
Subject: [Blotter-commits] r1481 - in pkg/blotter: . R sandbox
Message-ID: <20130702154337.E5469183263@r-forge.r-project.org>

Author: peter_carl
Date: 2013-07-02 17:43:37 +0200 (Tue, 02 Jul 2013)
New Revision: 1481

Added:
   pkg/blotter/R/addAcctTxn.R
   pkg/blotter/sandbox/
   pkg/blotter/sandbox/ex-AcctTxns.R
Modified:
   pkg/blotter/NAMESPACE
   pkg/blotter/R/initAcct.R
   pkg/blotter/R/updateAcct.R
Log:
- introduced rudimentary account transaction functionality 
- modified initAcct and updateAcct to handle account txns
- added addAcctTxn for passing data in

Modified: pkg/blotter/NAMESPACE
===================================================================
--- pkg/blotter/NAMESPACE	2013-06-25 02:45:10 UTC (rev 1480)
+++ pkg/blotter/NAMESPACE	2013-07-02 15:43:37 UTC (rev 1481)
@@ -2,6 +2,7 @@
 export(addDiv)
 export(addPortfInstr)
 export(addTxn)
+export(addAcctTxn)
 export(calcPortfWgt)
 export(chart.ME)
 export(chart.Posn)

Added: pkg/blotter/R/addAcctTxn.R
===================================================================
--- pkg/blotter/R/addAcctTxn.R	                        (rev 0)
+++ pkg/blotter/R/addAcctTxn.R	2013-07-02 15:43:37 UTC (rev 1481)
@@ -0,0 +1,42 @@
+#' Add capital account transactions, such as capital additions and withdrawals or interest income (expense)
+#' 
+#' For the specified Account, take in the date, amount, and type of transaction and append it to the correct list in the account object
+#' 
+#' @param name Account name, as string
+#' @param TxnDate  transaction date as ISO 8601, e.g., '2008-09-01' or '2010-01-05 09:54:23.12345'
+#' @param TxnType string indicating the type of account transaction, only "Addition", "Withdrawal", or "Interest" are currently supported
+#' @param amount As of now, the currency of the transaction MUST MATCH the currency of the Account.  Patches welcome.
+#' @param \dots any other passthrough parameters  
+#' @param verbose  If TRUE (default) the function prints the elements of the transaction in a line to the screen, e.g., "2007-01-08 Withdrawal 15,012,235". Suppress using FALSE.
+#' @details
+#' Adds capital transactions to a rudimentary transactions table in the Account object.  This may be useful when tracking the denominator of returns when there are changes to the account's capital or significant interest income.
+#' In the Account$summary table, there are several placeholder columns that mimic the CFTC's 13-column report.  Columns of interest here are "Additions", "Withdrawals", and "Interest".  
+#' Transactions added with this function will be added into the appropriate one of three slots in the Account object (Account$additions, Account$withdrawals, or Account$Interest), which contains an xts object of individual transactions with a date and amount.  The \code{\link{updateAcct}} function will read the transactions from each list in turn, aggregate them by the specified date scope, and slot them into the \code{Account$summary} table as it's built. \code{\link{UpdateEndEq}} should then just work.
+#' 
+#' @seealso \code{\link{initAcct}}, \code{\link{updateAcct}}, \code{\link{updateEndEq}}
+#' @author Peter Carl
+#' @export
+addAcctTxn <- function(Account, TxnDate, TxnType = c("Additions", "Withdrawals", "Interest"), Amount, ..., verbose=TRUE)
+{ # @author Peter Carl    
+  aname <- Account
+  
+  if(!is.timeBased(TxnDate) ){
+    TxnDate<-as.POSIXct(TxnDate)
+  }
+  
+  Account<-get(paste("account",aname,sep='.'),envir=.blotter)
+  
+  NewTxn = xts(t(c(Amount)), order.by=TxnDate)
+  # case:
+  switch(TxnType,
+         Additions = { Account$Additions<-rbind(Account$Additions, NewTxn) },
+         Withdrawals = { Account$Withdrawals<-rbind(Account$Withdrawals, NewTxn) },
+         Interest = { Account$Interest<-rbind(Account$Interest, NewTxn) },
+         stop("Not a valid transaction type. Select from 'Additions', 'Withdrawals', or 'Interest'.")
+    )
+  
+  if(verbose)
+    print(paste(format(TxnDate, "%Y-%m-%d %H:%M:%S"), TxnType, Amount, sep=" "))
+  
+  assign(paste("account",aname,sep='.'), Account, envir=.blotter)
+}
\ No newline at end of file

Modified: pkg/blotter/R/initAcct.R
===================================================================
--- pkg/blotter/R/initAcct.R	2013-06-25 02:45:10 UTC (rev 1480)
+++ pkg/blotter/R/initAcct.R	2013-07-02 15:43:37 UTC (rev 1481)
@@ -27,7 +27,7 @@
 #' several different ways and is best left as a function.
 #' 
 #' To get to the CFTC thirteen columns add:
-#' Gross.Realized, Commission, Net.Realized, Int.Income, Ch.Unrealized,
+#' Gross.Realized, Commission, Net.Realized, Interest, Ch.Unrealized,
 #' Advisory.Fees, Wealth.Index 
 #' Again, no need to add Wealth.Index. Eventually, these additional 
 #' columns will be useful.  
@@ -59,7 +59,16 @@
     account$portfolios=vector("list",length=length(portfolios))
     names(account$portfolios)=portfolios
     account$summary = xts( as.matrix(t(c(0,0,0,0,0,0,0,0,0,0,initEq))), order.by=as.POSIXct(initDate,...=...), ...=... )
-    colnames(account$summary) = c('Additions', 'Withdrawals', 'Realized.PL', 'Unrealized.PL', 'Int.Income', 'Gross.Trading.PL', 'Txn.Fees', 'Net.Trading.PL', 'Advisory.Fees', 'Net.Performance', 'End.Eq')
+    colnames(account$summary) = c('Additions', 'Withdrawals', 'Realized.PL', 'Unrealized.PL', 'Interest', 'Gross.Trading.PL', 'Txn.Fees', 'Net.Trading.PL', 'Advisory.Fees', 'Net.Performance', 'End.Eq')
+    
+    # track capital additions, withdrawals, and interest
+    account$Additions = xts( as.matrix(t(c(0))), order.by=as.POSIXct(initDate,...=...), ...=... )
+    colnames(account$Additions) = c('Additions')
+    account$Withdrawals = xts( as.matrix(t(c(0))), order.by=as.POSIXct(initDate,...=...), ...=... )
+    colnames(account$Withdrawals) = c('Withdrawals')
+    account$Interest = xts( as.matrix(t(c(0))), order.by=as.POSIXct(initDate,...=...), ...=... )
+    colnames(account$Interest) = c('Interest')
+    
     for(portfolio in portfolios){
         account$portfolios[[portfolio]] = .initSummary(initDate=initDate)
     }

Modified: pkg/blotter/R/updateAcct.R
===================================================================
--- pkg/blotter/R/updateAcct.R	2013-06-25 02:45:10 UTC (rev 1480)
+++ pkg/blotter/R/updateAcct.R	2013-07-02 15:43:37 UTC (rev 1481)
@@ -87,7 +87,7 @@
     obsDates = index(table)
 
     # Now aggregate the portfolio information into the $summary slot
-    Attributes = c('Additions', 'Withdrawals', 'Realized.PL', 'Unrealized.PL', 'Int.Income', 'Gross.Trading.PL', 'Txn.Fees', 'Net.Trading.PL', 'Advisory.Fees', 'Net.Performance', 'End.Eq')
+    Attributes = c('Additions', 'Withdrawals', 'Realized.PL', 'Unrealized.PL', 'Interest', 'Gross.Trading.PL', 'Txn.Fees', 'Net.Trading.PL', 'Advisory.Fees', 'Net.Performance', 'End.Eq')
 
     for(Attribute in Attributes) {
         switch(Attribute,
@@ -99,9 +99,15 @@
                 table = .getByPortf(Account, Attribute, Dates)
                 result = xts(rowSums(table,na.rm=TRUE),order.by=index(table))
             },
-            Additions = , 
-            Withdrawals = , 
-            Int.Income = ,
+            Additions = {
+                result = period.apply(Account$Additions[obsDates], endpoints(Account$Additions[obsDates], on=periodicity(table)$units), sum) # aggregates multiple account txns 
+            }, 
+            Withdrawals = {
+                result = period.apply(Account$Withdrawals[obsDates], endpoints(Account$Withdrawals[obsDates], on=periodicity(table)$units), sum)
+            }, 
+            Interest = {
+              result = period.apply(Account$Interest[obsDates], endpoints(Account$Interest[obsDates], on=periodicity(table)$units), sum)
+            },
             Advisory.Fees = ,
             Net.Performance = ,
             End.Eq = { 
@@ -113,6 +119,7 @@
         if(is.null(summary)) {summary=result}
         else {summary=cbind(summary,result)}
     }
+    summary[is.na(summary)] <- 0 # replace any NA's with zero
     Account$summary <- rbind(Account$summary, summary)
     # This function does not calculate End.Eq 
 

Added: pkg/blotter/sandbox/ex-AcctTxns.R
===================================================================
--- pkg/blotter/sandbox/ex-AcctTxns.R	                        (rev 0)
+++ pkg/blotter/sandbox/ex-AcctTxns.R	2013-07-02 15:43:37 UTC (rev 1481)
@@ -0,0 +1,56 @@
+# Example for testing new account txn functionality
+
+# load required packages
+require(blotter)
+# Try to clean up in case the demo was run previously
+try(rm("account.a","portfolio.p",pos=.blotter),silent=TRUE)
+
+
+# Make sure timezone is set correctly
+Sys.setenv(TZ="UTC")
+
+# Define a currency and a couple stocks
+require(FinancialInstrument)
+currency("USD")
+symbols = c("IBM","F")
+for(symbol in symbols){ # establish tradable instruments
+  stock(symbol, currency="USD", multiplier=1)
+}
+
+# Download price data
+require(quantmod)
+getSymbols(symbols, from='2007-01-01', to='2007-01-31', src='yahoo')
+
+# Add a portfolio with some transactions
+initPortf('p', symbols=symbols, currency="USD")
+
+addTxn(Portfolio = "p", Symbol = "IBM", TxnDate = '2007-01-03', TxnQty = 50, 
+       TxnPrice = 96.5, TxnFees = -0.05*50)
+addTxn("p", "IBM", '2007-01-04', 50, 97.1, TxnFees = -0.05*50)
+addTxn("p", "F", '2007-01-03', -100, 7.60, TxnFees = pennyPerShare(-100))
+addTxn("p", "F", '2007-01-04', 50, 7.70, TxnFees = pennyPerShare(50))
+addTxn("p", "F", '2007-01-10', 50, 7.78, TxnFees = pennyPerShare(50))
+
+updatePortf(Portfolio="p",Dates='2007-01')
+
+initAcct(name="a", portfolios="p", initEq=10000, currency="USD")
+
+# Add transactions at the account level for capital additions, withdrawals, and interest income
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-05"), TxnType="Additions", Amount=5000)
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-05"), TxnType="Additions", Amount=1000)
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-05"), TxnType="Additions", Amount=600)
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-09"), TxnType="Additions", Amount=5000)
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-09"), TxnType="Additions", Amount=1000)
+# @TODO: Add a check for positive/negative values in each type
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-22"), TxnType="Withdrawals", Amount=-1600)
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-31"), TxnType="Withdrawals", Amount=-5000)
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-31"), TxnType="Withdrawals", Amount=-1000)
+addAcctTxn("a", TxnDate=as.POSIXct("2007-01-31"), TxnType="Interest", Amount=5.25)
+a=getAccount("a")
+# debug(updateAcct)
+updateAcct("a",'2007-01')
+updateEndEq("a",'2007-01')
+
+a=getAccount("a")
+a$summary
+


From noreply at r-forge.r-project.org  Tue Jul  2 17:45:19 2013
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue,  2 Jul 2013 17:45:19 +0200 (CEST)
Subject: [Blotter-commits] r1482 - pkg/blotter
Message-ID: <20130702154519.CE459184AAF@r-forge.r-project.org>

Author: peter_carl
Date: 2013-07-02 17:45:19 +0200 (Tue, 02 Jul 2013)
New Revision: 1482

Modified:
   pkg/blotter/DESCRIPTION
Log:
- added addAcctTxn to collate

Modified: pkg/blotter/DESCRIPTION
===================================================================
--- pkg/blotter/DESCRIPTION	2013-07-02 15:43:37 UTC (rev 1481)
+++ pkg/blotter/DESCRIPTION	2013-07-02 15:45:19 UTC (rev 1482)
@@ -32,6 +32,7 @@
     'PortfReturns.R'
     'addPortfInstr.R'
     'addTxn.R'
+    'addAcctTxn.R'
     'calcPortfWgt.R'
     'calcPosAvgCost.R'
     'calcTxnAvgCost.R'


From noreply at r-forge.r-project.org  Mon Jul 22 03:27:15 2013
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Mon, 22 Jul 2013 03:27:15 +0200 (CEST)
Subject: [Blotter-commits] r1483 - pkg/blotter/demo
Message-ID: <20130722012716.16EB9183C75@r-forge.r-project.org>

Author: bodanker
Date: 2013-07-22 03:27:14 +0200 (Mon, 22 Jul 2013)
New Revision: 1483

Modified:
   pkg/blotter/demo/longtrend.R
   pkg/blotter/demo/turtles.R
Log:
- update demos to run with new quantmod/xts code


Modified: pkg/blotter/demo/longtrend.R
===================================================================
--- pkg/blotter/demo/longtrend.R	2013-07-02 15:45:19 UTC (rev 1482)
+++ pkg/blotter/demo/longtrend.R	2013-07-22 01:27:14 UTC (rev 1483)
@@ -47,6 +47,8 @@
 require(TTR)
 require(blotter)
 
+Sys.setenv(TZ="UTC")
+
 # Try to clean up in case the demo was run previously
 try(rm("account.longtrend","portfolio.longtrend",pos=.blotter),silent=TRUE)
 try(rm("ltaccount","ltportfolio","ClosePrice","CurrentDate","equity","GSPC","i","initDate","initEq","Posn","UnitSize","verbose"),silent=TRUE)
@@ -61,7 +63,7 @@
 currency("USD")
 stock("GSPC",currency="USD",multiplier=1)
 getSymbols('^GSPC', src='yahoo', index.class=c("POSIXt","POSIXct"),from='1998-01-01')
-GSPC=to.monthly(GSPC, indexAt='endof')
+GSPC=to.monthly(GSPC, indexAt='endof', drop.time=FALSE)
 
 # Set up indicators with TTR
 print("Setting up indicators")

Modified: pkg/blotter/demo/turtles.R
===================================================================
--- pkg/blotter/demo/turtles.R	2013-07-02 15:45:19 UTC (rev 1482)
+++ pkg/blotter/demo/turtles.R	2013-07-22 01:27:14 UTC (rev 1483)
@@ -6,6 +6,8 @@
 require(TTR)
 require(blotter)
 
+Sys.setenv(TZ="UTC")
+
 # Try to clean up in case the demo was run previously
 try(rm("account.turtles","portfolio.turtles",pos=.blotter),silent=TRUE)
 try(rm("portfolio","account","N","symbol","symbols","ClosePrice","CurrentDate","equity","Units","maxUnits","size","Stop","equity","TxnPrice","initDate","initEq","Posn","verbose"),silent=TRUE)


From noreply at r-forge.r-project.org  Mon Jul 22 23:21:13 2013
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Mon, 22 Jul 2013 23:21:13 +0200 (CEST)
Subject: [Blotter-commits] r1484 - pkg/blotter/R
Message-ID: <20130722212113.4288318443C@r-forge.r-project.org>

Author: peter_carl
Date: 2013-07-22 23:21:12 +0200 (Mon, 22 Jul 2013)
New Revision: 1484

Modified:
   pkg/blotter/R/updateAcct.R
Log:
- fixed condition where periodicity cannot be determined in account summary of attributes

Modified: pkg/blotter/R/updateAcct.R
===================================================================
--- pkg/blotter/R/updateAcct.R	2013-07-22 01:27:14 UTC (rev 1483)
+++ pkg/blotter/R/updateAcct.R	2013-07-22 21:21:12 UTC (rev 1484)
@@ -85,6 +85,10 @@
     table = .getByPortf(Account, 'Net.Trading.PL', Dates)
     obsLength = length(index(table))
     obsDates = index(table)
+    if(obsLength > 1) # can't estimate periodicity of one observation
+      on=periodicity(table)$units
+    else
+      on="none"
 
     # Now aggregate the portfolio information into the $summary slot
     Attributes = c('Additions', 'Withdrawals', 'Realized.PL', 'Unrealized.PL', 'Interest', 'Gross.Trading.PL', 'Txn.Fees', 'Net.Trading.PL', 'Advisory.Fees', 'Net.Performance', 'End.Eq')
@@ -100,13 +104,22 @@
                 result = xts(rowSums(table,na.rm=TRUE),order.by=index(table))
             },
             Additions = {
-                result = period.apply(Account$Additions[obsDates], endpoints(Account$Additions[obsDates], on=periodicity(table)$units), sum) # aggregates multiple account txns 
+                result = if(on=="none")
+                  as.xts(sum(Account$Additions[paste("::",obsDates, sep="")]), order.by=index(table))
+                else
+                  period.apply(Account$Additions[obsDates], endpoints(Account$Additions[obsDates], on=on), sum) # aggregates multiple account txns 
             }, 
             Withdrawals = {
-                result = period.apply(Account$Withdrawals[obsDates], endpoints(Account$Withdrawals[obsDates], on=periodicity(table)$units), sum)
+              result = if(on=="none")
+                as.xts(sum(Account$Withdrawals[paste("::",obsDates, sep="")]), order.by=index(table))
+              else
+                period.apply(Account$Withdrawals[obsDates], endpoints(Account$Withdrawals[obsDates], on=periodicity(table)$units), sum)
             }, 
             Interest = {
-              result = period.apply(Account$Interest[obsDates], endpoints(Account$Interest[obsDates], on=periodicity(table)$units), sum)
+              result = if(on=="none")
+                as.xts(sum(Account$Interest[paste("::",obsDates, sep="")]),, order.by=index(table))
+              else
+                period.apply(Account$Interest[obsDates], endpoints(Account$Interest[obsDates], on=periodicity(table)$units), sum)
             },
             Advisory.Fees = ,
             Net.Performance = ,


From noreply at r-forge.r-project.org  Tue Jul 23 19:49:22 2013
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue, 23 Jul 2013 19:49:22 +0200 (CEST)
Subject: [Blotter-commits] r1485 - pkg/blotter/R
Message-ID: <20130723174923.04234185450@r-forge.r-project.org>

Author: bodanker
Date: 2013-07-23 19:49:22 +0200 (Tue, 23 Jul 2013)
New Revision: 1485

Modified:
   pkg/blotter/R/chart.Posn.R
Log:
- only use first element of Symbol


Modified: pkg/blotter/R/chart.Posn.R
===================================================================
--- pkg/blotter/R/chart.Posn.R	2013-07-22 21:21:12 UTC (rev 1484)
+++ pkg/blotter/R/chart.Posn.R	2013-07-23 17:49:22 UTC (rev 1485)
@@ -14,6 +14,7 @@
     pname<-Portfolio
     Portfolio<-getPortfolio(pname)
     if (missing(Symbol)) Symbol <- names(Portfolio$symbols)[[1]]
+    else Symbol <- Symbol[1]
     # FUNCTION
 
     require(quantmod)