adjustedPrice or raw Price in blotter
blotter calls getPrice. If you look at the documentation and code for getPrice, you can pass a 'prefer' argument to use whatever column you want. The way that you've adjusted it means that it will get the adjusted price, though. I don't think you need to do anything else. If your adjusted series is named for the symbol, then that is the price that blotter will find. You can of course verify this by calling that code: getPrice(get(symbol, envir=as.environment(.GlobalEnv))) and I think you will see the adjusted price. If not, experiment with the prefer= argument or provide us with a reproducible example we can work from to help you further. Regards, - Brian Regards, - Brian
On Sat, 11 Dec 2010 11:12:07 -0800, Lei Jin <leijin56 at gmail.com> wrote:
Hi, I would like to get some advice on what Price should I use in backtesting with blotter. For example, I just ran a script with adjustedPrice. In my script, I have symbol<-adjustOHLC(symbol,use.Adjusted=T) But I noticed that blotter function updatePosPL() gets its price using the rawPrice. Therefore, it seems to me that I can't use adjustOHLC with blotter. But then, how do you adjust for event like split, dividend, in the script.
=================================================================================
.updatePosPL <- function(Portfolio, Symbol, Dates=NULL, Prices=NULL,
ConMult=NULL, ...)
{ # @author Peter Carl, Brian Peterson
rmfirst=FALSE
pname<-Portfolio
Portfolio<-getPortfolio(pname)
p.ccy.str<-attr(Portfolio,'currency')
if(is.null(p.ccy.str)) p.ccy.str<-'NA'
tmp_instr<-try(getInstrument(Symbol))
if(inherits(tmp_instr,"try-error") | !is.instrument(tmp_instr)){
warning(paste("Instrument",Symbol," not found, things may break"))
}
if(is.null(Prices)){
prices=getPrice(get(Symbol, envir=as.environment(.GlobalEnv)))
<======= gets the raw price
}
=================================================================================
Thanks, -lji
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Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock