[Blotter-commits] r1681 - pkg/blotter/R

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

Author: bodanker
Date: 2015-02-12 13:34:19 +0100 (Thu, 12 Feb 2015)
New Revision: 1681

Modified:
   pkg/blotter/R/addTxn.R
Log:
- Call match.fun(TxnFees) before splitting transactions that cross through
  zero. Fixes #5808.


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2015-02-10 19:40:01 UTC (rev 1680)
+++ pkg/blotter/R/addTxn.R	2015-02-12 12:34:19 UTC (rev 1681)
@@ -74,10 +74,27 @@
     if(!is.timeBased(TxnDate) ){
         TxnDate<-as.POSIXct(TxnDate)
     }
+
+    # Coerce the transaction fees to a function if a string was supplied
+    if(is.character(TxnFees)) {
+        TF <- try(match.fun(TxnFees), silent=TRUE)
+        if (!inherits(TF,"try-error")) TxnFees<-TF
+    }
+    # Compute transaction fees if a function was supplied
+    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.')
+    
     # split transactions that would cross through zero
     if(PrevPosQty!=0 && sign(PrevPosQty+TxnQty)!=sign(PrevPosQty) && PrevPosQty!=-TxnQty){
-        txnFeeQty=TxnFees/abs(TxnQty) # calculate fees pro-rata by quantity
+        txnFeeQty=txnfees/abs(TxnQty) # calculate fees pro-rata by quantity
         addTxn(Portfolio=pname, Symbol=Symbol, TxnDate=TxnDate, TxnQty=-PrevPosQty, TxnPrice=TxnPrice, ..., 
                 TxnFees = txnFeeQty*abs(PrevPosQty), ConMult = ConMult, verbose = verbose, eps=eps)
         TxnDate=TxnDate+2*eps #transactions need unique timestamps, so increment a bit
@@ -96,23 +113,6 @@
         }
     }
 
-    # FUNCTION
-    # Coerce the transaction fees to a function if a string was supplied
-    
-    if(is.character(TxnFees)) {
-        TF <- try(match.fun(TxnFees), silent=TRUE)
-        if (!inherits(TF,"try-error")) TxnFees<-TF
-    }
-    # Compute transaction fees if a function was supplied
-    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.')
-    
     # Calculate the value and average cost of the transaction
     TxnValue = .calcTxnValue(TxnQty, TxnPrice, 0, ConMult) # Gross of Fees
     TxnAvgCost = .calcTxnAvgCost(TxnValue, TxnQty, ConMult)