From noreply at r-forge.r-project.org  Thu Apr  3 19:34:35 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu,  3 Apr 2014 19:34:35 +0200 (CEST)
Subject: [Blotter-commits] r1597 - pkg/blotter/R
Message-ID: <20140403173436.05CFA186FBE@r-forge.r-project.org>

Author: bodanker
Date: 2014-04-03 19:34:35 +0200 (Thu, 03 Apr 2014)
New Revision: 1597

Modified:
   pkg/blotter/R/perTradeStats.R
Log:
- slightly faster perTradeStats (at Samo Pahor's request)


Modified: pkg/blotter/R/perTradeStats.R
===================================================================
--- pkg/blotter/R/perTradeStats.R	2014-03-30 17:21:55 UTC (rev 1596)
+++ pkg/blotter/R/perTradeStats.R	2014-04-03 17:34:35 UTC (rev 1597)
@@ -92,49 +92,68 @@
         else
             trades$Start <- head(trades$Start, -1)
     }
+
+    # pre-allocate trades list
+    N <- length(trades$End)
+    trades <- c(trades, list(
+        Init.Pos = numeric(N),
+        Max.Pos = numeric(N),
+        Num.Txns = integer(N),
+        Max.Notional.Cost = numeric(N),
+        Net.Trading.PL = numeric(N),
+        MAE = numeric(N),
+        MFE = numeric(N),
+        Pct.Net.Trading.PL = numeric(N),
+        Pct.MAE = numeric(N),
+        Pct.MFE = numeric(N),
+        tick.Net.Trading.PL = numeric(N),
+        tick.MAE = numeric(N),
+        tick.MFE = numeric(N)))
     
     # calculate information about each trade
-    for(i in 1:length(trades$End))
+    for(i in 1:N)
     {
         timespan <- seq.int(trades$Start[i], trades$End[i])
         trade <- posPL[timespan]
+        n <- nrow(trade)
 
-        # add cost basis column
-        trade$Pos.Cost.Basis <- cumsum(trade$Txn.Value)
-        #add running posPL column
-        trade$PosPL <- trade$Pos.Value-trade$Pos.Cost.Basis
-        
-        #position sizes
-        trades$Init.Pos[i] <- first(trade$Pos.Qty)
-        trades$Max.Pos[i] <- first(trade[which(abs(trade$Pos.Qty)==max(abs(trade$Pos.Qty))),]$Pos.Qty)
+        # calculate cost basis, PosPL, Pct.PL, tick.PL columns
+        Pos.Qty <- trade[,"Pos.Qty"]                   # avoid repeated subsetting
+        Pos.Cost.Basis <- cumsum(trade[,"Txn.Value"])
+        Pos.PL <- trade[,"Pos.Value"]-Pos.Cost.Basis
+        Pct.PL <- Pos.PL/abs(Pos.Cost.Basis)           # broken for last timestamp (fixed below)
+        Tick.PL <- Pos.PL/abs(Pos.Qty)/tick_value      # broken for last timestamp (fixed below)
+        Max.Pos.Qty.loc <- which.max(Pos.Qty)          # find max position quantity location
 
-        #count number of transactions
-        trades$Num.Txns[i]<-length(which(trade$Txn.Value!=0))
+        # position sizes
+        trades$Init.Pos[i] <- Pos.Qty[1]
+        trades$Max.Pos[i] <- Pos.Qty[Max.Pos.Qty.loc]
+
+        # count number of transactions
+        trades$Num.Txns[i] <- sum(trade[,"Txn.Value"]!=0)
         
         # investment
-        trades$Max.Notional.Cost[i] <- first(trade[which(abs(trade$Pos.Qty)==max(abs(trade$Pos.Qty))),]$Pos.Cost.Basis)
+        trades$Max.Notional.Cost[i] <- Pos.Cost.Basis[Max.Pos.Qty.loc]
         
         # cash P&L
-        trades$Net.Trading.PL[i] <- last(trade)$PosPL
-        trades$MAE[i] <- min(0,trade$PosPL)
-        trades$MFE[i] <- max(0,trade$PosPL)
+        trades$Net.Trading.PL[i] <- Pos.PL[n]
+        trades$MAE[i] <- min(0,Pos.PL)
+        trades$MFE[i] <- max(0,Pos.PL)
         
         # percentage P&L
-        trade$Pct.PL <- trade$PosPL/abs(trade$Pos.Cost.Basis) #broken for last timestamp
-        trade$Pct.PL[length(trade$Pct.PL)]<-last(trade)$PosPL/abs(trades$Max.Notional.Cost[i])
+        Pct.PL[n] <- Pos.PL[n]/abs(trades$Max.Notional.Cost[i])
         
-        trades$Pct.Net.Trading.PL[i] <- last(trade$Pct.PL)
-        trades$Pct.MAE[i] <- min(0,trade$Pct.PL)
-        trades$Pct.MFE[i] <- max(0,trade$Pct.PL)
+        trades$Pct.Net.Trading.PL[i] <- Pct.PL[n]
+        trades$Pct.MAE[i] <- min(0,Pct.PL)
+        trades$Pct.MFE[i] <- max(0,Pct.PL)
         
         # tick P&L
-        #Net.Trading.PL/position/tick value=ticks
-        trade$tick.PL <- trade$PosPL/abs(trade$Pos.Qty)/tick_value #broken for last observation
-        trade$tick.PL[length(trade$tick.PL)] <- last(trade$PosPL)/abs(trades$Max.Pos[i])/tick_value
+        # Net.Trading.PL/position/tick value = ticks
+        Tick.PL[n] <- Pos.PL[n]/abs(trades$Max.Pos[i])/tick_value
         
-        trades$tick.Net.Trading.PL[i] <- last(trade$tick.PL)
-        trades$tick.MAE[i] <- min(0,trade$tick.PL)
-        trades$tick.MFE[i] <- max(0,trade$tick.PL)
+        trades$tick.Net.Trading.PL[i] <- Tick.PL[n]
+        trades$tick.MAE[i] <- min(0,Tick.PL)
+        trades$tick.MFE[i] <- max(0,Tick.PL)
     }
     trades$Start <- index(posPL)[trades$Start]
     trades$End <- index(posPL)[trades$End]


From noreply at r-forge.r-project.org  Fri Apr  4 01:27:10 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri,  4 Apr 2014 01:27:10 +0200 (CEST)
Subject: [Blotter-commits] r1598 - in pkg/quantstrat: R man
Message-ID: <20140403232710.883AE186F72@r-forge.r-project.org>

Author: braverock
Date: 2014-04-04 01:27:09 +0200 (Fri, 04 Apr 2014)
New Revision: 1598

Modified:
   pkg/quantstrat/R/rebalance.rules.R
   pkg/quantstrat/man/addOrder.Rd
   pkg/quantstrat/man/rulePctEquity.Rd
   pkg/quantstrat/man/ruleSignal.Rd
Log:
- update docs

Modified: pkg/quantstrat/R/rebalance.rules.R
===================================================================
--- pkg/quantstrat/R/rebalance.rules.R	2014-04-03 17:34:35 UTC (rev 1597)
+++ pkg/quantstrat/R/rebalance.rules.R	2014-04-03 23:27:09 UTC (rev 1598)
@@ -30,7 +30,7 @@
 #' add.rule(strategy.name, 'rulePctEquity',
 #'         arguments=list(rebalance_on='months',
 #'                        trade.percent=.02,
-#'                        refprice=quote(last(getPrice(mktdata)[paste('::',timestamp,sep='')])[,1]),
+#'                        refprice=quote(last(getPrice(mktdata)[paste('::',curIndex,sep='')])[,1]),
 #'                        digits=0
 #'         ),
 #'         type='rebalance',

Modified: pkg/quantstrat/man/addOrder.Rd
===================================================================
--- pkg/quantstrat/man/addOrder.Rd	2014-04-03 17:34:35 UTC (rev 1597)
+++ pkg/quantstrat/man/addOrder.Rd	2014-04-03 23:27:09 UTC (rev 1598)
@@ -4,7 +4,7 @@
 \usage{
 addOrder(portfolio, symbol, timestamp, qty, price, ordertype, side,
   threshold = NULL, orderset = "", status = "open",
-  statustimestamp = "", prefer = NULL, delay = 1e-05, tmult = FALSE,
+  statustimestamp = "", prefer = NULL, delay = 0.00001, tmult = FALSE,
   replace = TRUE, return = FALSE, ..., TxnFees = 0, label = "",
   time.in.force = "")
 }

Modified: pkg/quantstrat/man/rulePctEquity.Rd
===================================================================
--- pkg/quantstrat/man/rulePctEquity.Rd	2014-04-03 17:34:35 UTC (rev 1597)
+++ pkg/quantstrat/man/rulePctEquity.Rd	2014-04-03 23:27:09 UTC (rev 1598)
@@ -50,7 +50,7 @@
 add.rule(strategy.name, 'rulePctEquity',
         arguments=list(rebalance_on='months',
                        trade.percent=.02,
-                       refprice=quote(last(getPrice(mktdata)[paste('::',timestamp,sep='')])[,1]),
+                       refprice=quote(last(getPrice(mktdata)[paste('::',curIndex,sep='')])[,1]),
                        digits=0
         ),
         type='rebalance',

Modified: pkg/quantstrat/man/ruleSignal.Rd
===================================================================
--- pkg/quantstrat/man/ruleSignal.Rd	2014-04-03 17:34:35 UTC (rev 1597)
+++ pkg/quantstrat/man/ruleSignal.Rd	2014-04-03 23:27:09 UTC (rev 1598)
@@ -4,7 +4,7 @@
 \usage{
 ruleSignal(mktdata = mktdata, timestamp, sigcol, sigval, orderqty = 0,
   ordertype, orderside = NULL, orderset = NULL, threshold = NULL,
-  tmult = FALSE, replace = TRUE, delay = 1e-04, osFUN = "osNoOp",
+  tmult = FALSE, replace = TRUE, delay = 0.0001, osFUN = "osNoOp",
   pricemethod = c("market", "opside", "active"), portfolio, symbol, ...,
   ruletype, TxnFees = 0, prefer = NULL, sethold = FALSE, label = "",
   order.price = NULL, chain.price = NULL, time.in.force = "")


From noreply at r-forge.r-project.org  Wed Apr 16 18:09:40 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed, 16 Apr 2014 18:09:40 +0200 (CEST)
Subject: [Blotter-commits] r1599 - in pkg/blotter: R man
Message-ID: <20140416160940.5936D180384@r-forge.r-project.org>

Author: braverock
Date: 2014-04-16 18:09:40 +0200 (Wed, 16 Apr 2014)
New Revision: 1599

Modified:
   pkg/blotter/R/tradeStats.R
   pkg/blotter/man/tradeStats.Rd
Log:
- add option inclZeroDays to tradeStats

Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R	2014-04-03 23:27:09 UTC (rev 1598)
+++ pkg/blotter/R/tradeStats.R	2014-04-16 16:09:40 UTC (rev 1599)
@@ -17,6 +17,14 @@
 #' something like \code{textplot} or \code{\link{data.frame}}, with rounding, 
 #' fancy formatting, etc. as your needs dictate.
 #' 
+#' Option \code{inclZeroDays}, if \code{TRUE}, will include all transaction P&L, 
+#' including for days in which the strategy was not in the market, 
+#' for daily statistics.  
+#' This can prevent irrationally good looking daily statistics for strategies
+#' which spend a fair amount of time out of the market.  For strategies which 
+#' are always in the market, the statistics should be (nearly) the same.  
+#' Default is \code{FALSE} for backwards compatibility.
+#' 
 #' If you have additional trade statistics you want added here, please share.  
 #' We find it unlikely that any transaction-level statistics that can be  
 #' calculated independently of strategy rules could be considered proprietary.
@@ -37,6 +45,7 @@
 #' @param Symbols character vector of symbol strings, default NULL
 #' @param use for determines whether numbers are calculated from transactions or round-trip trades (for tradeStats) or equity curve (for dailyStats)  
 #' @param tradeDef string to determine which definition of 'trade' to use. Currently "flat.to.flat" (the default) and "flat.to.reduced" are implemented.
+#' @param inclZeroDays TRUE/FALSE, whether to include zero P&L days in daily calcs, default FALSE for backwards compatibility.
 #' @author Lance Levenson, Brian Peterson
 #' @export
 #' @importFrom zoo as.Date
@@ -88,7 +97,7 @@
 #' Buy and hold return
 #' 
 #' Josh has suggested adding \%-return based stats too
-tradeStats <- function(Portfolios, Symbols ,use=c('txns','trades'), tradeDef='flat.to.flat')
+tradeStats <- function(Portfolios, Symbols ,use=c('txns','trades'), tradeDef='flat.to.flat',inclZeroDays=FALSE)
 {
     ret <- NULL
     use <- use[1] #use the first(default) value only if user hasn't specified
@@ -116,7 +125,9 @@
                 next
             }
 
-            DailyPL    <- apply.daily(PL.ne0,sum)
+            if(!isTRUE(inclZeroDays)) DailyPL <- apply.daily(PL.ne0,sum)
+            else DailyPL <- apply.daily(txn$Net.Txn.Realized.PL,sum)
+            
             AvgDailyPL <- mean(DailyPL)
             MedDailyPL <- median(DailyPL)
             StdDailyPL <- sd(as.numeric(as.vector(DailyPL)))

Modified: pkg/blotter/man/tradeStats.Rd
===================================================================
--- pkg/blotter/man/tradeStats.Rd	2014-04-03 23:27:09 UTC (rev 1598)
+++ pkg/blotter/man/tradeStats.Rd	2014-04-16 16:09:40 UTC (rev 1599)
@@ -4,7 +4,7 @@
 \title{calculate statistics on transactions and P&L for a symbol or symbols in a portfolio or portfolios}
 \usage{
 tradeStats(Portfolios, Symbols, use = c("txns", "trades"),
-  tradeDef = "flat.to.flat")
+  tradeDef = "flat.to.flat", inclZeroDays = FALSE)
 
 dailyStats(Portfolios, use = c("equity", "txns"))
 }
@@ -21,6 +21,10 @@
   \item{tradeDef}{string to determine which definition of
   'trade' to use. Currently "flat.to.flat" (the default)
   and "flat.to.reduced" are implemented.}
+
+  \item{inclZeroDays}{TRUE/FALSE, whether to include zero
+  P&L days in daily calcs, default FALSE for backwards
+  compatibility.}
 }
 \value{
 a \code{data.frame} containing:
@@ -48,7 +52,7 @@
 \code{\link{dailyStats}} for all days }
 \item{Med.Daily.PL}{ median daily P&L }
 \item{Std.Dev.Daily.PL}{ standard deviation of daily P&L }
-\item{Ann.Sharpe}{annualized Sharpe-like ratio, assuming no
+\item(Ann.Sharpe){annualized Sharpe-like ratio, assuming no
 outside capital additions and 252 day count convention}
 \item{Max.Drawdown}{ max drawdown }
 \item{Avg.WinLoss.Ratio}{ ratio of mean winning over mean
@@ -80,6 +84,15 @@
 \code{\link{data.frame}}, with rounding, fancy formatting,
 etc. as your needs dictate.
 
+Option \code{inclZeroDays}, if \code{TRUE}, will include
+all transaction P&L, including for days in which the
+strategy was not in the market, for daily statistics. This
+can prevent irrationally good looking daily statistics for
+strategies which spend a fair amount of time out of the
+market.  For strategies which are always in the market, the
+statistics should be (nearly) the same. Default is
+\code{FALSE} for backwards compatibility.
+
 If you have additional trade statistics you want added
 here, please share. We find it unlikely that any
 transaction-level statistics that can be calculated


From noreply at r-forge.r-project.org  Wed Apr 16 23:16:27 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed, 16 Apr 2014 23:16:27 +0200 (CEST)
Subject: [Blotter-commits] r1600 - pkg/blotter/R
Message-ID: <20140416211627.A82381867C0@r-forge.r-project.org>

Author: efmrforge
Date: 2014-04-16 23:16:27 +0200 (Wed, 16 Apr 2014)
New Revision: 1600

Modified:
   pkg/blotter/R/addTxn.R
Log:
Added checking for TxnQty and TxnPrice column names


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2014-04-16 16:09:40 UTC (rev 1599)
+++ pkg/blotter/R/addTxn.R	2014-04-16 21:16:27 UTC (rev 1600)
@@ -173,9 +173,19 @@
     # initialize new transaction object
     NewTxns <- xts(matrix(NA_real_, nrow(TxnData), 10L), index(TxnData))
     colnames(NewTxns) <- c('Txn.Qty', 'Txn.Price', 'Txn.Value', 'Txn.Avg.Cost', 'Pos.Qty', 'Pos.Avg.Cost', 'Gross.Txn.Realized.PL', 'Txn.Fees', 'Net.Txn.Realized.PL', 'Con.Mult')
-
-    NewTxns$Txn.Qty <- as.numeric(TxnData$TxnQty)
-    NewTxns$Txn.Price <- as.numeric(TxnData$TxnPrice)
+1
+    if(!("TxnQty" %in% colnames(TxnData))) {
+	warning(paste("No TxnQty column found, what did you call it?"))
+    } else {
+      NewTxns$Txn.Qty <- as.numeric(TxnData$TxnQty)
+	}
+    if(!("TxnPrice" %in% colnames(TxnData))) {
+	warning(paste("No TxnPrice column found, what did you call it?"))
+    } else {
+      NewTxns$Txn.Qty <- as.numeric(TxnData$TxnPrice)
+	}
+    #NewTxns$Txn.Qty <- as.numeric(TxnData$TxnQty)
+    #NewTxns$Txn.Price <- as.numeric(TxnData$TxnPrice)
     if("TxnFees" %in% colnames(TxnData)) {
       NewTxns$Txn.Fees <- as.numeric(TxnData$TxnFees)
     } else {
@@ -303,7 +313,7 @@
 ###############################################################################
 # Blotter: Tools for transaction-oriented trading systems development
 # for R (see http://r-project.org/)
-# Copyright (c) 2008-2014 Peter Carl and Brian G. Peterson
+# Copyright (c) 2008-2011 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


From noreply at r-forge.r-project.org  Wed Apr 16 23:19:46 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed, 16 Apr 2014 23:19:46 +0200 (CEST)
Subject: [Blotter-commits] r1601 - pkg/blotter/R
Message-ID: <20140416211946.6C040186A67@r-forge.r-project.org>

Author: efmrforge
Date: 2014-04-16 23:19:45 +0200 (Wed, 16 Apr 2014)
New Revision: 1601

Modified:
   pkg/blotter/R/addTxn.R
Log:
Fixed copyright


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2014-04-16 21:16:27 UTC (rev 1600)
+++ pkg/blotter/R/addTxn.R	2014-04-16 21:19:45 UTC (rev 1601)
@@ -313,7 +313,7 @@
 ###############################################################################
 # Blotter: Tools for transaction-oriented trading systems development
 # for R (see http://r-project.org/)
-# Copyright (c) 2008-2011 Peter Carl and Brian G. Peterson
+# Copyright (c) 2008-2014 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


From noreply at r-forge.r-project.org  Thu Apr 17 22:08:39 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu, 17 Apr 2014 22:08:39 +0200 (CEST)
Subject: [Blotter-commits] r1602 - pkg/quantstrat/demo
Message-ID: <20140417200840.1DE76187600@r-forge.r-project.org>

Author: efmrforge
Date: 2014-04-17 22:08:38 +0200 (Thu, 17 Apr 2014)
New Revision: 1602

Modified:
   pkg/quantstrat/demo/luxor.1.strategy.basic.R
Log:
Removed redundant requires(quantstrat)


Modified: pkg/quantstrat/demo/luxor.1.strategy.basic.R
===================================================================
--- pkg/quantstrat/demo/luxor.1.strategy.basic.R	2014-04-16 21:19:45 UTC (rev 1601)
+++ pkg/quantstrat/demo/luxor.1.strategy.basic.R	2014-04-17 20:08:38 UTC (rev 1602)
@@ -10,8 +10,6 @@
 
 require(quantstrat)
 
-require(quantstrat)
-
 ##### PLACE DEMO AND TEST DATES HERE #################
 #
 #if(isTRUE(options('in_test')$in_test))


From noreply at r-forge.r-project.org  Mon Apr 21 00:07:47 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Mon, 21 Apr 2014 00:07:47 +0200 (CEST)
Subject: [Blotter-commits] r1603 - pkg/quantstrat/R
Message-ID: <20140420220754.53063187681@r-forge.r-project.org>

Author: ilya_kipnis
Date: 2014-04-21 00:07:43 +0200 (Mon, 21 Apr 2014)
New Revision: 1603

Modified:
   pkg/quantstrat/R/paramsets.R
Log:
Removing verbose arg from line 503 of paramsets.R

Modified: pkg/quantstrat/R/paramsets.R
===================================================================
--- pkg/quantstrat/R/paramsets.R	2014-04-17 20:08:38 UTC (rev 1602)
+++ pkg/quantstrat/R/paramsets.R	2014-04-20 22:07:43 UTC (rev 1603)
@@ -500,7 +500,7 @@
         }
 
         strategy <- install.param.combo(strategy, param.combo, paramset.label)
-        applyStrategy(strategy, portfolios=result$portfolio.st, mktdata=mktdata, verbose=verbose, ...)
+        applyStrategy(strategy, portfolios=result$portfolio.st, mktdata=mktdata, ...)
 
         if(exists('redisContext'))
         {


From noreply at r-forge.r-project.org  Fri Apr 25 14:57:49 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri, 25 Apr 2014 14:57:49 +0200 (CEST)
Subject: [Blotter-commits] r1604 - pkg/quantstrat/R
Message-ID: <20140425125749.ACE1A187327@r-forge.r-project.org>

Author: braverock
Date: 2014-04-25 14:57:49 +0200 (Fri, 25 Apr 2014)
New Revision: 1604

Modified:
   pkg/quantstrat/R/orders.R
Log:
- add is.null check in TxnFees

Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2014-04-20 22:07:43 UTC (rev 1603)
+++ pkg/quantstrat/R/orders.R	2014-04-25 12:57:49 UTC (rev 1604)
@@ -285,6 +285,7 @@
     if(is.na(qty)) stop("qty",qty,"must not be NA")
     if(!is.numeric(price)) stop (paste("Price must be numeric:",price))
     if(is.null(price)) stop("price ",price," must not be NULL")
+    if(is.null(TxnFees)) stop("TxnFees ",TxnFees," must not be NULL")
     if(is.na(price)) stop("order at timestamp ", timestamp, " must not have price of NA")
     #spreads can have a zero price
     #if(price==0) warning(paste(ordertype, "order for", qty, "has a price of zero."))


From noreply at r-forge.r-project.org  Sun Apr 27 07:27:17 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sun, 27 Apr 2014 07:27:17 +0200 (CEST)
Subject: [Blotter-commits] r1605 - pkg/blotter/R
Message-ID: <20140427052717.BBC87186D62@r-forge.r-project.org>

Author: bodanker
Date: 2014-04-27 07:26:52 +0200 (Sun, 27 Apr 2014)
New Revision: 1605

Modified:
   pkg/blotter/R/addTxn.R
Log:
- Fixes to addTxns


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2014-04-25 12:57:49 UTC (rev 1604)
+++ pkg/blotter/R/addTxn.R	2014-04-27 05:26:52 UTC (rev 1605)
@@ -173,7 +173,7 @@
     # initialize new transaction object
     NewTxns <- xts(matrix(NA_real_, nrow(TxnData), 10L), index(TxnData))
     colnames(NewTxns) <- c('Txn.Qty', 'Txn.Price', 'Txn.Value', 'Txn.Avg.Cost', 'Pos.Qty', 'Pos.Avg.Cost', 'Gross.Txn.Realized.PL', 'Txn.Fees', 'Net.Txn.Realized.PL', 'Con.Mult')
-1
+
     if(!("TxnQty" %in% colnames(TxnData))) {
 	warning(paste("No TxnQty column found, what did you call it?"))
     } else {
@@ -182,10 +182,8 @@
     if(!("TxnPrice" %in% colnames(TxnData))) {
 	warning(paste("No TxnPrice column found, what did you call it?"))
     } else {
-      NewTxns$Txn.Qty <- as.numeric(TxnData$TxnPrice)
+      NewTxns$Txn.Price <- as.numeric(TxnData$TxnPrice)
 	}
-    #NewTxns$Txn.Qty <- as.numeric(TxnData$TxnQty)
-    #NewTxns$Txn.Price <- as.numeric(TxnData$TxnPrice)
     if("TxnFees" %in% colnames(TxnData)) {
       NewTxns$Txn.Fees <- as.numeric(TxnData$TxnFees)
     } else {