Do the blotter demos work?

8 messages · Joshua Ulrich, Jim Green, Mark Knecht +1 more

Original

1

8

Sun, Jul 21, 2013 6:34 PM #

Mark,

It's been awhile, but I finally looked at this and patched it in
revision 1483.  It's forces the session timezone to UTC... not ideal,
but it works.

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

On Sat, May 11, 2013 at 7:04 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:

The "longtrend" and "turtles" demos appear to be broken by recent
changes to xts and quantmod (regarding timezone issues with
Date-classed indexes).  I don't have time to work on a fix at the
moment, but wanted to answer in case others might investigate and work
on a patch.

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

R/Finance 2013: Applied Finance with R  | www.RinFinance.com


On Fri, May 10, 2013 at 4:47 PM, Mark Knecht <markknecht at gmail.com> wrote:

Hi,
   I'm struggling to get any of the demos in the blotter package to
work. Using a command such as:

demo(longtrend, package="blotter")

it runs along for a second and then fails with this message:

+     # Calculate P&L and resulting equity with blotter
+     updatePortf(ltportfolio, Dates = CurrentDate)
+     updateAcct(ltaccount, Dates = CurrentDate)
+     updateEndEq(ltaccount, Dates = CurrentDate)
+ } # End dates loop
.
[1] "1998-10-30 00:00:00 GSPC 91 @ 1098.67"
Error in lag.xts(TmpPeriods$Pos.Value, 1) :
  abs(k) must be less than nrow(x)
In addition: Warning messages:
1: In rm("account.longtrend", "portfolio.longtrend", pos = .blotter) :
  object 'account.longtrend' not found
2: In rm("account.longtrend", "portfolio.longtrend", pos = .blotter) :
  object 'portfolio.longtrend' not found
3: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", "equity",  :
  object 'ltaccount' not found
4: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", "equity",  :
  object 'ltportfolio' not found
5: In rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", "equity",  :
  object 'GSPC' not found
6: In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,  :
  downloaded length 236151 != reported length 200

   I suspect I'm just not running it correctly but don't know what I'm
doing wrong.

   I've generally had trouble with all demos having to do with
blotter. Are they still working or are they no longer maintained?

   The quantstrat demos, at least the couple I've tried, do seem to work.

   This is R-2.15.3 running in RStudio=0.97.336/

Thanks,
Mark

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Jim Green

Sun, Jul 21, 2013 7:01 PM #

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Mon, Jul 22, 2013 2:38 PM #

Jim,

Thanks for noticing this.  It was a separate issue in updateAcct that
was hidden by the timezone issue.  Should be fixed in rev1484.

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Sun, Jul 21, 2013 at 9:01 PM, Jim Green

<student.northwestern at gmail.com> wrote:

Mark Knecht

Mon, Jul 22, 2013 3:06 PM #

On Mon, Jul 22, 2013 at 2:38 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:

Hey Joshua,
   Thanks for looking into this and no worries about the delay.

   Question: I'm working in R-Studio in Windows 7. When I look at the
packages tab it says my version of blotter is 0.8.14 and no updates
appear to be available. (Or rather, I did whatever updates it offered
and that's the version I have. Anyway, I think I downgraded R to
version 2.15.3 back when I was trying this stuff out. I'd like to move
to a newer version if it's supported. Maybe I just need to wait a few
days for your newer package to show up on CRAN @ Bezerkley? Inputs?

Thanks,
Mark

Jim Green

Mon, Jul 22, 2013 3:14 PM #

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Mark Knecht

Mon, Jul 22, 2013 3:17 PM #

On Mon, Jul 22, 2013 at 3:14 PM, Jim Green

<student.northwestern at gmail.com> wrote:

Thanks Jim. As I'm focused on a lot of things in R right now I think
I'll wait a while and see what shows up. If I get some time then I'll
give that a try.

Cheers,
Mark

G See

Mon, Jul 22, 2013 4:27 PM #

Looks like it's built on r-forge.  You should be able to install it with

install.packages("blotter", repos="http://r-forge.r-project.org")

Regards,
Garrett

Mark Knecht

Mon, Jul 22, 2013 4:56 PM #

On Mon, Jul 22, 2013 at 4:27 PM, G See <gsee000 at gmail.com> wrote:

Thanks Garrett,
   I installed as per your suggestion. No errors but I still see
0.8.14. Maybe that's right, or possibly wrong. I don't know how that
number matches Joshua's version number of 1484. Unfortunately when I
run the longtrend demo it fails:

demo(longtrend)
---- ~~~~~~~~~

Type  <Return> to start :

<SNIP>

+     # Calculate P&L and resulting equity with blotter
+     updatePortf(ltportfolio, Dates = CurrentDate)
+     updateAcct(ltaccount, Dates = CurrentDate)
+     updateEndEq(ltaccount, Dates = CurrentDate)
+ } # End dates loop
.
[1] "1998-10-30 00:00:00 GSPC 91 @ 1098.67"
Error in lag.xts(TmpPeriods$Pos.Value, 1) :
  abs(k) must be less than nrow(x)
In addition: There were 16 warnings (use warnings() to see them)

   I'll be happy to try things out if it helps the group but someone
will have to make suggestions. If this requires a newer version of xts
or something else then I'd appreciate knowing where to look to figure
that out.

Thanks,
Mark