[Blotter-commits] r1644 - in pkg/blotter: . R man

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

Author: braverock
Date: 2014-11-01 21:32:11 +0100 (Sat, 01 Nov 2014)
New Revision: 1644

Modified:
   pkg/blotter/DESCRIPTION
   pkg/blotter/R/addTxn.R
   pkg/blotter/man/addTxn.Rd
   pkg/blotter/man/pennyPerShare.Rd
Log:
- resolves R-Forge feature request 5968 by adding arguments to TxnFees fn

Modified: pkg/blotter/DESCRIPTION
===================================================================
--- pkg/blotter/DESCRIPTION	2014-10-27 21:06:03 UTC (rev 1643)
+++ pkg/blotter/DESCRIPTION	2014-11-01 20:32:11 UTC (rev 1644)
@@ -2,7 +2,7 @@
 Type: Package
 Title: Tools for transaction-oriented trading systems
     development.
-Version: 0.9.1643
+Version: 0.9.1644
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>

Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2014-10-27 21:06:03 UTC (rev 1643)
+++ pkg/blotter/R/addTxn.R	2014-11-01 20:32:11 UTC (rev 1644)
@@ -34,6 +34,12 @@
 #' have "TxnQty" and "TxnPrice" columns, while the "TxnFees"
 #' column is optional.
 #' 
+#' If \code{TxnFees} is the name of a function, the function 
+#' will be called with \code{TxnFees(TxnQty, TxnPrice, Symbol)}
+#' so a user supplied fee function must at the very least take 
+#' dots to avoid an error. We have chosen not to use named arguments 
+#' to reduce issues from user-supplied fee functions. 
+#' 
 #' @param Portfolio  A portfolio name that points to a portfolio object structured with \code{initPortf()}
 #' @param Symbol An instrument identifier for a symbol included in the portfolio, e.g., "IBM"
 #' @param TxnDate  Transaction date as ISO 8601, e.g., '2008-09-01' or '2010-01-05 09:54:23.12345'
@@ -98,8 +104,12 @@
         if (!inherits(TF,"try-error")) TxnFees<-TF
     }
     # Compute transaction fees if a function was supplied
-    if (is.function(TxnFees)) txnfees <- TxnFees(TxnQty, TxnPrice) else txnfees<- as.numeric(TxnFees)
-
+    if (is.function(TxnFees)) {
+      txnfees <- TxnFees(TxnQty, TxnPrice, Symbol) 
+    } else {
+      txnfees<- as.numeric(TxnFees)
+    }
+      
     if(is.null(txnfees) | is.na(txnfees)) txnfees = 0
     if(txnfees>0 && !isTRUE(allowRebates)) stop('Positive Transaction Fees should only be used in the case of broker/exchange rebates for TxnFees ',TxnFees,'. See Documentation.')
     
@@ -141,8 +151,9 @@
 #' Example TxnFee cost function
 #' @param TxnQty total units (such as shares or contracts) transacted.  Positive values indicate a 'buy'; negative values indicate a 'sell'
 #' This is an example intended to demonstrate how a cost function could be used in place of a flat numeric fee.
+#' @param \dots any other passthrough parameters
 #' @export
-pennyPerShare <- function(TxnQty) {
+pennyPerShare <- function(TxnQty, ...) {
     return(abs(TxnQty) * -0.01)
 }
 

Modified: pkg/blotter/man/addTxn.Rd
===================================================================
--- pkg/blotter/man/addTxn.Rd	2014-10-27 21:06:03 UTC (rev 1643)
+++ pkg/blotter/man/addTxn.Rd	2014-11-01 20:32:11 UTC (rev 1644)
@@ -70,6 +70,12 @@
 adding them one at a time. The \code{TxnData} object must
 have "TxnQty" and "TxnPrice" columns, while the "TxnFees"
 column is optional.
+
+If \code{TxnFees} is the name of a function, the function
+will be called with \code{TxnFees(TxnQty, TxnPrice, Symbol)}
+so a user supplied fee function must at the very least take
+dots to avoid an error. We have chosen not to use named arguments
+to reduce issues from user-supplied fee functions.
 }
 \note{
 The addTxn function will eventually also handle other transaction types,

Modified: pkg/blotter/man/pennyPerShare.Rd
===================================================================
--- pkg/blotter/man/pennyPerShare.Rd	2014-10-27 21:06:03 UTC (rev 1643)
+++ pkg/blotter/man/pennyPerShare.Rd	2014-11-01 20:32:11 UTC (rev 1644)
@@ -3,11 +3,13 @@
 \alias{pennyPerShare}
 \title{Example TxnFee cost function}
 \usage{
-pennyPerShare(TxnQty)
+pennyPerShare(TxnQty, ...)
 }
 \arguments{
 \item{TxnQty}{total units (such as shares or contracts) transacted.  Positive values indicate a 'buy'; negative values indicate a 'sell'
 This is an example intended to demonstrate how a cost function could be used in place of a flat numeric fee.}
+
+\item{\dots}{any other passthrough parameters}
 }
 \description{
 Example TxnFee cost function