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blotter updatePortf issues

5 messages · Hideyoshi Maeda, OpenTrades, G See +1 more

Original
Hideyoshi Maeda
# 
Hi guys,

I am having a few issues with the updatePortf function...this error seems to keep re-occuring...but have managed to make a reproducible example...that occurs on the demos...fyi this error does not occur when running blotter version 0.8.9

when running
demo(macd)

the code stops with this error...
Error in if (length(c(year, month, day, hour, min, sec)) == 6 && c(year,  : 
  missing value where TRUE/FALSE needed
In addition: Warning message:
In as_numeric(YYYY) : NAs introduced by coercion

and running traceback() it shows this...
14: function (year = 1970, month = 12, day = 31, hour = 23, min = 59, 
        sec = 59, subsec = 0.99999, tz = "") 
    {
        if (!missing(sec) && sec%%1 != 0) 
            subsec <- 0
        sec <- ifelse(year < 1970, sec, sec + subsec)
        mon.lengths <- c(31, 28, 31, 30, 31, 30, 31, 31, 30, 31, 
            30, 31)
        if (missing(day)) {
            day <- ifelse(month %in% 2, ifelse(((year%%4 %in% 0 & 
                !year%%100 %in% 0) | (year%%400 %in% 0)), 29, 28), 
                mon.lengths[month])
        }
        if (length(c(year, month, day, hour, min, sec)) == 6 && c(year, 
            month, day, hour, min, sec) == c(1969, 12, 31, 23, 59, 
            59) && Sys.getenv("TZ") %in% c("", "GMT", "UTC")) 
            sec <- sec - 1
        ISOdatetime(year, month, day, hour, min, sec, tz)
    }(year = NA_real_, tz = "")
13: do.call(lastof, parse.side(intervals[2], intervals[1]))
12: as.POSIXlt(do.call(lastof, parse.side(intervals[2], intervals[1])))
11: .parseISO8601(ii, .index(x)[1], .index(x)[nr], tz = tz)
10: `[.xts`(prices, paste("/", .parseISO8601(Dates)$last.time, sep = ""))
9: prices[paste("/", .parseISO8601(Dates)$last.time, sep = "")]
8: index(prices[paste("/", .parseISO8601(Dates)$last.time, sep = "")])
7: .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), 
       Dates = Dates, Prices = Prices, ... = ...)
6: updatePortf(Portfolio = portfolio.st, Dates = paste("::", as.Date(Sys.time()), 
       sep = "")) at macd.R#80
5: eval(expr, envir, enclos)
4: eval(ei, envir)
3: withVisible(eval(ei, envir))
2: source(available, echo = echo, max.deparse.length = Inf, keep.source = TRUE)
1: demo(macd)

Other discussions have related the error messages to a non-updated version of xts...I think everything is pretty much up-to-date, but just in case here is my sessionInfo()
R version 2.15.1 (2012-06-22)
Platform: x86_64-apple-darwin9.8.0/x86_64 (64-bit)

locale:
[1] C/en_US.UTF-8/C/C/C/C

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

other attached packages:
 [1] XML_3.9-4                    Rook_1.0-5                  
 [3] brew_1.0-6                   lubridate_1.1.0             
 [5] knitr_0.6.3                  rJava_0.9-3                 
 [7] googleVis_0.2.16             RJSONIO_0.98-1              
 [9] timeDate_2160.95             plyr_1.7.1                  
[11] PerformanceAnalytics_1.0.4.4 quantstrat_0.6.8            
[13] blotter_0.8.10               FinancialInstrument_0.15.1  
[15] quantmod_0.3-19              Defaults_1.1-1              
[17] TTR_0.21-1                   xts_0.8-6                   
[19] zoo_1.7-7                   

loaded via a namespace (and not attached):
[1] digest_0.5.2   evaluate_0.4.2 formatR_0.5    grid_2.15.1    lattice_0.20-6
[6] stringr_0.6   

Any help would be greatly appreciated!

And thanks again to you guys who put in so much hard work to build this amazing software!

Thanks
OpenTrades
# 
Hi Hideyoshi,
On 10-07-12 02:44, Hideyoshi Maeda wrote:
Looks like you hit the same bug that I filed a couple of weeks ago, see: 
http://r-forge.r-project.org/tracker/index.php?func=detail&aid=2116&group_id=118&atid=516 
for a description and a workaround.

Please attach your reproducible example to my bug report, so the 
developers can fix the bug.

HTH,

Jan.

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      G See
    

    

      
      #
    

  


  

      
This does not have anything to do with xts.  It is a blotter bug that
was introduced in Rev. 1027
(http://r-forge.r-project.org/scm/viewvc.php/pkg/blotter/R/updatePosPL.R?sortby=rev&root=blotter&r1=1027&r2=1026&pathrev=1027)

You can see from Hideyoshi's traceback, that updatePortf was called
with Dates=paste("::", as.Date(Sys.time()))

6: updatePortf(Portfolio = portfolio.st, Dates = paste("::",
as.Date(Sys.time()),
       sep = "")) at macd.R#80

Then, later, in .updatePosPL, a "/" is added to the date string

8: index(prices[paste("/", .parseISO8601(Dates)$last.time, sep = "")])

So, it's trying to parse something that looks sort of like this "/::2012-07-10"

That said, I'm not sure how to patch.

Best,
Garrett

        
On Tue, Jul 10, 2012 at 4:12 AM, OpenTrades <jan at opentrades.nl> wrote:

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

      
      
    

  
  


  


      

    

    

      
      

        


  

        

      G See
    

    

      
      #
    

  


  

      
Apologies for the misinformation.  blotter was version 0.8.9 at Rev.
1027, and according to the OP version 0.8.9 does not have the error.

I am unable to reproduce the error.

Garrett

        
On Tue, Jul 10, 2012 at 8:20 AM, G See <gsee000 at gmail.com> wrote:

            

      
      
      
    

  
  


  


      

    

    
12 days later

    

      
      

        


  

        

      unsown
    

    

      
      #
    

  


  

      
Hi,

I seem to have exactly the same problem as Hideyoshi described. Here is the
code that produce the problem. 
http://r.789695.n4.nabble.com/file/n4637443/quantstrat_test.R
quantstrat_test.R 

The sessionInfo is:
R version 2.15.1 (2012-06-22)
Platform: i386-pc-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=Chinese (Simplified)_People's Republic of China.936 
[2] LC_CTYPE=Chinese (Simplified)_People's Republic of China.936   
[3] LC_MONETARY=Chinese (Simplified)_People's Republic of China.936
[4] LC_NUMERIC=C                                                   
[5] LC_TIME=Chinese (Simplified)_People's Republic of China.936    

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

other attached packages:
[1] quantstrat_0.6.8           blotter_0.8.10            
[3] FinancialInstrument_0.15.1 quantmod_0.3-17           
[5] Defaults_1.1-1             TTR_0.21-1                
[7] xts_0.8-6                  zoo_1.7-7                 

loaded via a namespace (and not attached):
[1] grid_2.15.1    lattice_0.20-6 tools_2.15.1



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