On Sun, Aug 31, 2014 at 10:23 PM, domodo <1111938 at qq.com> wrote:
hi,guys,I'm learning blotter package,and have coded several trade strategies in R. all are good when the strategis run on daily data,but when I run on intraday data, function 'addtxn' runs incorrectly.
addTxn is working correctly. See below.
the strategy stores trade signals of each bar,when close price cross over
sma,signal = 1,close price cross under sma, signal = -1,otherwise, signal =
0
and the bar-by-bar treatment are:
#Bar-by-bar treatment
for( i in 17:nrow(if2) )
{
currentDate <- time(if2)[i]
equity<-getEndEq(b.strategy, currentDate)
Posn <- getPosQty(b.strategy, Symbol='if2', Date=currentDate)
#cat(as.character(i),"position on current bar is ",Posn, append = FALSE)
if(!is.na(MA[i-2]))
{
if( Posn == 0 ) { #no marketposition
if( signal[i] == 1 ) {
#long entry
#openprice <- as.double((Op(if2[i]))) #the result is the same as
the following line
openprice <- as.double((Op(if2[currentDate])))
unitsize <- abs(as.numeric(trunc(equity/(openprice*300*0.15))))
addTxn(b.strategy, Symbol='if2', TxnDate=currentDate,
TxnPrice=openprice, TxnQty = unitsize ,
TxnFees=-openprice*300*0.00005*unitsize, verbose = F)
}
}
else {
if( signal[i] == -1 ) {
#exit position
openprice <- as.double((Op(if2[currentDate])))
unitsize <- abs(getPosQty(b.strategy, Symbol='if2',
Date=currentDate))
addTxn(b.strategy, Symbol='if2', TxnDate=currentDate,
TxnPrice=openprice, TxnQty = -unitsize ,
TxnFees=-openprice*300*0.00005*unitsize, verbose = F)
}
}
}
updatePortf(b.strategy, Dates = currentDate)
updateAcct(b.strategy, Dates = currentDate)
updateEndEq(b.strategy, Dates = currentDate)
}
these are signal's table
<snip>
relating trades info when getting by function 'getTxns':
Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost
Net.Txn.Realized.PL
2012-01-18 00:00:00 0 0.0 0 0 0
0
2012-01-18 09:35:00 0 2580.0 0 0 NaN
NaN
2012-01-18 09:54:00 0 2580.8 0 0 NaN
NaN
2012-01-18 09:58:00 0 2581.8 0 0 NaN
NaN
2012-01-18 10:33:00 0 2552.6 0 0 NaN
NaN
2012-01-18 10:40:00 0 2552.6 0 0 NaN
NaN
2012-01-18 10:57:00 0 2555.4 0 0 NaN
NaN
2012-01-18 11:00:00 0 2559.6 0 0 NaN
NaN
2012-01-18 11:14:00 0 2562.8 0 0 NaN
NaN
2012-01-18 11:26:00 0 2555.8 0 0 NaN
NaN
2012-01-18 11:29:00 0 2553.4 0 0 NaN
NaN
2012-01-18 13:01:00 0 2556.0 0 0 NaN
NaN
2012-01-18 13:26:00 0 2549.2 0 0 NaN
NaN
2012-01-18 13:44:00 0 2553.8 0 0 NaN
NaN
from the table, only time and trade price are added, TxnQty, TxnFees, and
other info are ignored.
They are not ignored. TxnQty=0, TxnFees=0, Txn.Avg.Cost=NaN, and Net.Txn.Realized.PL=NaN.
why it happen,do I miss something?
Yes. It's fairly obvious that, since TxnQty=0, TxnFees will also equal zero, and the two values I mentioned above will be NaN. TxnQty=unitsize, so why does unitsize=0? It's likely because equity=0. So the question isn't "why isn't addTxn working?"; it's "Why does equity=0?". You need to provide more information for anyone to be able to help you answer that question.
regards.
Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com