From noreply at r-forge.r-project.org  Thu Apr  2 03:06:32 2015
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu,  2 Apr 2015 03:06:32 +0200 (CEST)
Subject: [Blotter-commits] r1682 - pkg/blotter/R
Message-ID: <20150402010632.A0B54187616@r-forge.r-project.org>

Author: bodanker
Date: 2015-04-02 03:06:31 +0200 (Thu, 02 Apr 2015)
New Revision: 1682

Modified:
   pkg/blotter/R/updateAcct.R
Log:
Initialize invert to FALSE

Reported on stackoverflow:
http://stackoverflow.com/q/29367523/271616


Modified: pkg/blotter/R/updateAcct.R
===================================================================
--- pkg/blotter/R/updateAcct.R	2015-02-12 12:34:19 UTC (rev 1681)
+++ pkg/blotter/R/updateAcct.R	2015-04-02 01:06:31 UTC (rev 1682)
@@ -51,6 +51,7 @@
                 FXrate.str<-paste(p.ccy.str,a.ccy.str,sep='') # currency quote convention is EURUSD which reads as "USD per EUR"
                 FXrate<-try(get(FXrate.str), silent=TRUE)
                 #TODO FIXME: this uses convention to sort out the rate, we should check $currency and $counter_currency and make sure directionality is correct 
+                invert=FALSE
                 if(inherits(FXrate,"try-error")){
                     FXrate.str<-paste(a.ccy.str,p.ccy.str,sep='')
                     FXrate<-try(get(FXrate.str), silent=TRUE)


From noreply at r-forge.r-project.org  Wed Apr  8 19:55:18 2015
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed,  8 Apr 2015 19:55:18 +0200 (CEST)
Subject: [Blotter-commits] r1683 - pkg/blotter/R
Message-ID: <20150408175519.092F118740F@r-forge.r-project.org>

Author: bodanker
Date: 2015-04-08 19:55:18 +0200 (Wed, 08 Apr 2015)
New Revision: 1683

Modified:
   pkg/blotter/R/addTxn.R
Log:
Warn if txn timestamp is not after initDate

It doesn't make sense for a portfolio to have a transaction before it
was created, and it can cause problems for other functions that
operate on the portfolio.


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2015-04-02 01:06:31 UTC (rev 1682)
+++ pkg/blotter/R/addTxn.R	2015-04-08 17:55:18 UTC (rev 1683)
@@ -142,6 +142,11 @@
     #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')
     Portfolio$symbols[[Symbol]]$txn<-rbind(Portfolio$symbols[[Symbol]]$txn, NewTxn)
 
+    # Warn if the transaction timestamp is not after initDate
+    if(.index(NewTxn) <= .index(Portfolio$symbols[[Symbol]]$txn[1L,1L]))
+      warning("Transaction timestamp (", index(NewTxn[1L,]), ") ",
+              "is not after initDate (", index(Portfolio$symbols[[Symbol]]$txn[1L,1L]), ").")
+
     if(verbose)
       # print(paste(TxnDate, Symbol, TxnQty, "@",TxnPrice, sep=" "))
       print(paste(format(TxnDate, "%Y-%m-%d %H:%M:%S"), Symbol, TxnQty, "@",TxnPrice, sep=" "))
@@ -181,6 +186,11 @@
     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')
 
+    # Warn if the transaction timestamp is not after initDate
+    if(.index(NewTxns[1L,1L]) <= .index(Portfolio$symbols[[Symbol]]$txn[1L,1L]))
+      warning("First transaction timestamp (", index(NewTxns[1L,1L]), ") ",
+              "is not after initDate (", index(Portfolio$symbols[[Symbol]]$txn[1L,1L]), ").")
+
     if(!("TxnQty" %in% colnames(TxnData))) {
 	warning(paste("No TxnQty column found, what did you call it?"))
     } else {


From noreply at r-forge.r-project.org  Thu Apr  9 20:39:29 2015
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu,  9 Apr 2015 20:39:29 +0200 (CEST)
Subject: [Blotter-commits] r1684 - in pkg/quantstrat: R man
Message-ID: <20150409183929.E9457184B75@r-forge.r-project.org>

Author: bodanker
Date: 2015-04-09 20:39:29 +0200 (Thu, 09 Apr 2015)
New Revision: 1684

Modified:
   pkg/quantstrat/R/signals.R
   pkg/quantstrat/man/distributional.boxplot.Rd
Log:
Parens to curly brace in distributional.boxplot.Rd

Fixes #6069. Thanks to Claymore Marshall for the report.


Modified: pkg/quantstrat/R/signals.R
===================================================================
--- pkg/quantstrat/R/signals.R	2015-04-08 17:55:18 UTC (rev 1683)
+++ pkg/quantstrat/R/signals.R	2015-04-09 18:39:29 UTC (rev 1684)
@@ -856,7 +856,7 @@
 
 #' Visualization of Single Signal 
 #' 
-#' This function employs \code(plotSimpleGamlss) in package \code(gamlss.util).
+#' This function employs \code{plotSimpleGamlss} in package \code{gamlss.util}.
 #'                          
 #' @param signal list of paramset forward looking price changes by asset
 #' @param x.val he values of the explanatory variable where we want to see the distribution

Modified: pkg/quantstrat/man/distributional.boxplot.Rd
===================================================================
--- pkg/quantstrat/man/distributional.boxplot.Rd	2015-04-08 17:55:18 UTC (rev 1683)
+++ pkg/quantstrat/man/distributional.boxplot.Rd	2015-04-09 18:39:29 UTC (rev 1684)
@@ -25,7 +25,7 @@
 plot
 }
 \description{
-This function employs \code(plotSimpleGamlss) in package \code(gamlss.util).
+This function employs \code{plotSimpleGamlss} in package \code{gamlss.util}.
 }
 \author{
 Michael Guan


From noreply at r-forge.r-project.org  Wed Apr 15 04:33:21 2015
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed, 15 Apr 2015 04:33:21 +0200 (CEST)
Subject: [Blotter-commits] r1685 - pkg/blotter/R
Message-ID: <20150415023321.8E894187708@r-forge.r-project.org>

Author: bodanker
Date: 2015-04-15 04:33:20 +0200 (Wed, 15 Apr 2015)
New Revision: 1685

Modified:
   pkg/blotter/R/addTxn.R
Log:
Update txnfees if txn takes position across zero

Update txnfees (instead of TxnFees) when a transaction causes the
position to cross zero. txnfees, not TxnFees, is used when creating
the new transaction, so the updated transaction fee was not being
used for the second transaction.

Thanks to Ivan Popivanov for the report and patch.


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2015-04-09 18:39:29 UTC (rev 1684)
+++ pkg/blotter/R/addTxn.R	2015-04-15 02:33:20 UTC (rev 1685)
@@ -100,7 +100,7 @@
         TxnDate=TxnDate+2*eps #transactions need unique timestamps, so increment a bit
         TxnQty=TxnQty+PrevPosQty
         PrevPosQty=0
-        TxnFees=txnFeeQty*abs(TxnQty+PrevPosQty)
+        txnfees=txnFeeQty*abs(TxnQty+PrevPosQty)
     }
     
     if(is.null(ConMult) | !hasArg(ConMult)){