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Getting started with blotter (adding transactions)

8 messages · Peter Chan, Bos, Roger, Brian G. Peterson +2 more

Original
Bos, Roger
# 
All,

I am trying to learn how to use the blotter package.  I would eventually like to use it to calculate the P&L of a small portfolio.  In my (hopefully) reproducible example below it allows me to add the first transaction, but not the second.
I also get a warning that the instrument is not found.  Could someone point me in the right direction here?  If I have overlooked a good tutorial on this, please let me know that as well.  Here is the error message I get:
[1] "2015-05-13 00:00:00 EWJ 328 @ 30.51"
Warning messages:
1: In getInstrument(Symbol) :
  instrument EWJ not found, please create it first.
2: In addTxn(portfolio, Symbol = "EWJ", TxnDate = "2015-05-13", TxnPrice = 30.51,  :
  Instrument EWJ  not found, using contract multiplier of 1
Error in last(PosData[which(index(PosData) <= Date), ][, Columns], n = n) :
  unused argument (n = n)
****

require(xts)
require(quantmod)
require(blotter)

Sys.setenv(TZ="EST")

# xts object must be created with explicit index class:
initDate <- '2000-01-01'
getSymbols('SPY', from=initDate, index.class=c("POSIXt","POSIXct"))

portfolio <- "bos"
account <- "acct"
initEq <- 0

# When the test is conducted all blotter related values are written into .blotter environment. If you want repeat the same test, then you need to get rid of all .blotter values. So, you have to run something like this:
rm(list=ls(envir=.blotter), envir = .blotter)

# Add some symbols
sym <- c("EWJ","EWI")
initPortf(name=portfolio, sym, initDate = initDate)
initAcct(account,portfolios=c(portfolio), initDate = initDate, initEq = initEq)

# Add some transactions
addTxn(portfolio, Symbol='EWJ',  TxnDate='2015-05-13', TxnPrice=30.51, TxnQty = 328, TxnFees=0, verbose=TRUE)
addTxn(portfolio, Symbol='EWJ',  TxnDate='2015-05-15', TxnPrice=31.51, TxnQty = -328, TxnFees=0, verbose=TRUE)




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Peter Chan
# 
Hi Roger

There's an example in the help pages under the "blotter-package" entry.  You need to setup your instruments first eg

# Use the FinancialInstrument package to manage information about tradable 
# instruments
require(FinancialInstrument)
# Define a currency and a couple stocks
currency("USD")
symbols = c("EWJ","EWI")
for(symbol in symbols){ # establish tradable instruments
    stock(symbol, currency="USD", multiplier=1)
}

Thanks

Peter
www.returnandrisk.com



---- On Tue, 02 Jun 2015 19:17:53 +0000  Bos<roger.bos at rothschild.com> wrote ---- 
 > All, 
 >  
 > I am trying to learn how to use the blotter package.  I would eventually like to use it to calculate the P&L of a small portfolio.  In my (hopefully) reproducible example below it allows me to add the first transaction, but not the second. 
 > I also get a warning that the instrument is not found.  Could someone point me in the right direction here?  If I have overlooked a good tutorial on this, please let me know that as well.  Here is the error message I get: 
 >  
 > > # Add some transactions 
 > > addTxn(portfolio, Symbol='EWJ',  TxnDate='2015-05-13', TxnPrice=30.51, TxnQty = 328, TxnFees=0, verbose=TRUE) 
 > [1] "2015-05-13 00:00:00 EWJ 328 @ 30.51" 
 > Warning messages: 
 > 1: In getInstrument(Symbol) : 
 >   instrument EWJ not found, please create it first. 
 > 2: In addTxn(portfolio, Symbol = "EWJ", TxnDate = "2015-05-13", TxnPrice = 30.51,  : 
 >   Instrument EWJ  not found, using contract multiplier of 1 
 > > addTxn(portfolio, Symbol='EWJ',  TxnDate='2015-05-15', TxnPrice=31.51, TxnQty = -328, TxnFees=0, verbose=TRUE) 
 > Error in last(PosData[which(index(PosData) <= Date), ][, Columns], n = n) : 
 >   unused argument (n = n) 
 > > 
 >  
 > **** 
 >  
 > require(xts) 
 > require(quantmod) 
 > require(blotter) 
 >  
 > Sys.setenv(TZ="EST") 
 >  
 > # xts object must be created with explicit index class: 
 > initDate <- '2000-01-01' 
 > getSymbols('SPY', from=initDate, index.class=c("POSIXt","POSIXct")) 
 >  
 > portfolio <- "bos" 
 > account <- "acct" 
 > initEq <- 0 
 >  
 > # When the test is conducted all blotter related values are written into .blotter environment. If you want repeat the same test, then you need to get rid of all .blotter values. So, you have to run something like this: 
 > rm(list=ls(envir=.blotter), envir = .blotter) 
 >  
 > # Add some symbols 
 > sym <- c("EWJ","EWI") 
 > initPortf(name=portfolio, sym, initDate = initDate) 
 > initAcct(account,portfolios=c(portfolio), initDate = initDate, initEq = initEq) 
 >  
 > # Add some transactions 
 > addTxn(portfolio, Symbol='EWJ',  TxnDate='2015-05-13', TxnPrice=30.51, TxnQty = 328, TxnFees=0, verbose=TRUE) 
 > addTxn(portfolio, Symbol='EWJ',  TxnDate='2015-05-15', TxnPrice=31.51, TxnQty = -328, TxnFees=0, verbose=TRUE) 
 >  
 >  
 >  
 >  
 > *************************************************************** 
 > This message and any attachments are for the named person's use only. 
 > This message may contain confidential, proprietary or legally privileged 
 > information. No right to confidential or privileged treatment 
 > of this message is waived or lost by an error in transmission. 
 > If you have received this message in error, please immediately 
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 > copies from your system and destroy any hard copies. You must 
 > not, directly or indirectly, use, disclose, distribute, 
 > print or copy any part of this message or any attachments if you are not 
 > the intended recipient. 
 >  
 >  
 > _______________________________________________ 
 > R-SIG-Finance at r-project.org mailing list 
 > https://stat.ethz.ch/mailman/listinfo/r-sig-finance 
 > -- Subscriber-posting only. If you want to post, subscribe first. 
 > -- Also note that this is not the r-help list where general R questions should go. 
 >
Joshua Ulrich
# 
As Peter said, you need to create a currency and instruments to avoid
the warnings.  I cannot replicate the error using blotter from
revision 1688 on R-Forge.  What's your sessionInfo() output?
On Tue, Jun 2, 2015 at 10:20 PM, Peter Chan <peter at returnandrisk.com> wrote:

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Bos, Roger
    

    

      
      #
    

  


  

      
Peter, all,

I added the code for FInancialInstruments and I am fine with that, but re-installing blotter (to make sure I have the latest version) is giving me a lot of problems.  In the past I have always been successful running the following (on Windows):

            

      
      
      
    

        
Package which is only available in source form, and may need
  compilation of C/C++/Fortran: ?blotter?
  These will not be installed

            

      
      
      
    

        
So I tried building it from source, but that fails as well:

            

      
      
      
    

        
trying URL 'http://R-Forge.R-project.org/src/contrib/blotter_0.9.1666.tar.gz'
Content type 'application/x-gzip' length 72129 bytes (70 KB)
downloaded 70 KB

'\\rinnycs0051\research\R_HOME'
CMD.EXE was started with the above path as the current directory.
UNC paths are not supported.  Defaulting to Windows directory.
Loading required package: grDevices
Loading required package: graphics
Loading required package: stats
Loading required package: utils
Loading required package: XLConnectJars
XLConnect 0.2-11 by Mirai Solutions GmbH [aut],
  Martin Studer [cre],
  The Apache Software Foundation [ctb, cph] (Apache POI, Apache Commons
    Codec),
  Stephen Colebourne [ctb, cph] (Joda-Time Java library)
http://www.mirai-solutions.com ,
http://miraisolutions.wordpress.com
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric


Attaching package: 'ggplot2'

The following object is masked _by_ '.GlobalEnv':

    %+%


Attaching package: 'dplyr'

The following objects are masked from 'package:plyr':

    arrange, count, desc, failwith, id, mutate, rename, summarise,
    summarize

The following objects are masked from 'package:xts':

    first, last

The following object is masked from 'package:MASS':

    select

The following object is masked from 'package:stats':

    filter

The following objects are masked from 'package:base':

    intersect, setdiff, setequal, union


Attaching package: 'lubridate'

The following object is masked from 'package:plyr':

    here


Attaching package: 'testthat'

The following object is masked from 'package:prettyR':

    describe

Loading required package: gsubfn
Loading required package: proto
Loading required package: RSQLite
Loading required package: DBI
* installing *source* package 'blotter' ...
** libs
Warning: running command 'make -f "C:/PROGRA~1/R/R-32~1.0PA/etc/x64/Makeconf" -f "C:/PROGRA~1/R/R-32~1.0PA/share/make/winshlib.mk" SHLIB="blotter.dll" WIN=64 TCLBIN=64 OBJECTS="calcPosAvgCost.o"' had status 127
ERROR: compilation failed for package 'blotter'
* removing 'C:/Program Files/R/R-3.2.0patched/library/blotter'
Warning: closing unused RODBC handle 4
Warning: closing unused RODBC handle 3
Warning: closing unused RODBC handle 2
Warning: closing unused RODBC handle 1

The downloaded source packages are in
        ?C:\Users\bosr\AppData\Local\Temp\RtmpkzHy2W\downloaded_packages?
Warning messages:
1: running command '"C:/PROGRA~1/R/R-32~1.0PA/bin/x64/R" CMD INSTALL -l "C:\Program Files\R\R-3.2.0patched\library" C:\Users\bosr\AppData\Local\Temp\RtmpkzHy2W/downloaded_packages/blotter_0.9.1666.tar.gz' had status 1
2: In install.packages("blotter", repos = "http://R-Forge.R-project.org",  :
  installation of package ?blotter? had non-zero exit status

            

      
      
      
    

        
I do have Rtools version 3.3.0.1958 installed and can install any other package I have tried.  Finally, here is my sessionInfo()

            

      
      
      
    

        
R version 3.2.0 Patched (2015-06-01 r68455)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 7 x64 (build 7601) Service Pack 1

locale:
[1] LC_COLLATE=English_United States.1252
[2] LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

attached base packages:
[1] datasets  tools     utils     stats     graphics  grDevices methods
[8] base

other attached packages:
 [1] sqldf_0.4-10        RSQLite_1.0.0       DBI_0.3.1
 [4] gsubfn_0.6-6        proto_0.3-10        Rcpp_0.11.6
 [7] Quandl_2.6.0        testthat_0.10.0     lubridate_1.3.3
[10] sendmailR_1.2-1     rmarkdown_0.6.1     devtools_1.8.0
[13] Rpad_1.3.0          formatR_1.2         dplyr_0.4.1
[16] plyr_1.8.2          reshape2_1.4.1      ggplot2_1.0.1
[19] xts_0.9-7           zoo_1.7-12          XLConnect_0.2-11
[22] XLConnectJars_0.2-9 timeDate_3012.100   R2HTML_2.3.1
[25] RODBC_1.3-11        quadprog_1.5-5      prettyR_2.1-1
[28] MASS_7.3-40         fortunes_1.5-2      corpcor_1.6.7
[31] manipulate_1.0.1

loaded via a namespace (and not attached):
 [1] git2r_0.10.1     base64enc_0.1-2  bitops_1.0-6     digest_0.6.8
 [5] memoise_0.2.1    gtable_0.1.2     lattice_0.20-31  parallel_3.2.0
 [9] rJava_0.9-6      knitr_1.10.5     httr_0.6.1       stringr_1.0.0
[13] rversions_1.0.0  grid_3.2.0       tcltk_3.2.0      XML_3.98-1.2
[17] magrittr_1.5     htmltools_0.2.6  scales_0.2.4     assertthat_0.1
[21] colorspace_1.2-6 stringi_0.4-1    RCurl_1.95-4.6   munsell_0.4.2
[25] chron_2.3-45     crayon_1.2.1

Thanks,

Roger




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-----Original Message-----
From: Joshua Ulrich [mailto:josh.m.ulrich at gmail.com]
Sent: Wednesday, June 03, 2015 7:46 AM
To: Peter Chan
Cc: Bos, Roger; r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Getting started with blotter (adding transactions)

As Peter said, you need to create a currency and instruments to avoid the warnings.  I cannot replicate the error using blotter from revision 1688 on R-Forge.  What's your sessionInfo() output?

        
On Tue, Jun 2, 2015 at 10:20 PM, Peter Chan <peter at returnandrisk.com> wrote:

            

      
      
      
    

        

      
      
    

        
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2015 | www.rinfinance.com

  
  


  


      

    

    

      
      

        


  

        

      Brian G. Peterson
    

    

      
      #
    

  


  

      
On Wed, 2015-06-03 at 18:21 +0000, Bos, Roger wrote:

            

      
      
      
    

        
There is your hint.  You need to install Rtools on Windows.

Regards,

Brian

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Joshua Ulrich
    

    

      
      #
    

  


  

      
On Wed, Jun 3, 2015 at 1:21 PM, Bos, Roger <roger.bos at rothschild.com> wrote:

            

      
      
      
    

        
This seems to suggest something is wrong with your Rtools installation.  I get:

            

      
      
      
    

        
Warning: dependencies 'Hmisc', 'RUnit' are not available
Package which is only available in source form, and may need
compilation of C/C++/Fortran: 'blotter'
Do you want to attempt to install these from sources?
y/n:

            

      
      
      
    

        
<snip package loading>

            

      
      
      
    

        
I just installed R-3.2.0 and Rtools 3.3.0.1958 on 64-bit Windows 7,
and I have no issue installing blotter from source.  I do notice that
you're running R-patched.  Perhaps that has something to do with your
issue?

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Bos, Roger
    

    

      
      #
    

  


  

      
Jushua, all,

I don't want to take up too much of anyone's time with this, but I want to tell you what I tried:

I installed R 3.2.0 (non-patched) and I uninstalled Rtools 3.3 and re-downloaded it and re-installed it.  I was able to install all my packages, be they from CRAN, R-Forge, or github, except blotter.

When I try to install blotter from source and error message seems to complain about calcPosAvgCost.o:

Warning: running command 'make -f "C:/PROGRA~1/R/R-32~1.0/etc/x64/Makeconf" -f "C:/PROGRA~1/R/R-32~1.0/share/make/winshlib.mk" SHLIB="blotter.dll" WIN=64 TCLBIN=64 OBJECTS="calcPosAvgCost.o"' had status 127
ERROR: compilation failed for package 'blotter'

So I went to R-forge and found the zip file for blotter.  I downloaded it and used "Install packages from local zip file" and it seems to have worked.  I was wondering why I was able to install binaries before.  I see that the last windows binary was built on April 15th.  I will wait for the next binary, but if anything thinks of anything else I can try, I would appreciate it.

Thanks,

Roger



***************************************************************
This message and any attachments are for the named person's use only.
This message may contain confidential, proprietary or legally privileged
information. No right to confidential or privileged treatment
of this message is waived or lost by an error in transmission.
If you have received this message in error, please immediately
notify the sender by e-mail, delete the message, any attachments and all
copies from your system and destroy any hard copies. You must
not, directly or indirectly, use, disclose, distribute,
print or copy any part of this message or any attachments if you are not
the intended recipient.



-----Original Message-----
From: Joshua Ulrich [mailto:josh.m.ulrich at gmail.com]
Sent: Thursday, June 04, 2015 8:08 AM
To: Bos, Roger
Cc: Peter Chan; r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] Getting started with blotter (adding transactions)

        
On Wed, Jun 3, 2015 at 1:21 PM, Bos, Roger <roger.bos at rothschild.com> wrote:

            

      
      
      
    

        
This seems to suggest something is wrong with your Rtools installation.  I get:

            

      
      
      
    

        
Warning: dependencies 'Hmisc', 'RUnit' are not available Package which is only available in source form, and may need compilation of C/C++/Fortran: 'blotter'
Do you want to attempt to install these from sources?
y/n:

            

      
      
      
    

        
<snip package loading>

            

      
      
      
    

        
I just installed R-3.2.0 and Rtools 3.3.0.1958 on 64-bit Windows 7, and I have no issue installing blotter from source.  I do notice that you're running R-patched.  Perhaps that has something to do with your issue?

            

      
      
      
    

        

      
      
    

        

      
      
    

            

      
      
      
    

        
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2015 | www.rinfinance.com

  
  


  


      

    

    

      
      

        


  

        

      Bob Jansen
    

    

      
      #
    

  


  

      
Hi Roger,

It could be that it trips over the path your using which is mangled as you
can see. You might have better results if you install Rtools to the root of
a drive, e.g. C:. At the very least it's one less worry.

        
On Thu, Jun 4, 2015 at 4:00 PM, Bos, Roger <roger.bos at rothschild.com> wrote: