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I was previously using quantsrat_0.9.1739 & blotter_0.9.1741 for some time and it worked fine until I updated them to the latest version 0.10.7 with blotter 0.12.4.

Most of the simulations that I previously wrote throw in the following message: (This one has been extracted from the demo(macd))

Warning message: In .updatePosPL(Portfolio = pname, Symbol = as.character(symbol), : Could not parse ::2018-01-12 as ISO8601 string, or one/bothends of the range were outside the available prices: 2007-01-03/2014-05-30. Using all data instead.

It modifies the end results of nearly 50% of the backtest I generated in the past. If I go back to the previous version of quantstrat and run the same strategies everything goes back to normal.

I would appreciate if anyone who might have faced the same situation as me could let me know how this problem can be fixed.

Here is more info regarding my session:

 R version 3.4.3 (2017-11-30)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 7 x64 (build 7601) Service Pack 1

Matrix products: default

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

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

other attached packages:
 [1] quantstrat_0.10.7             foreach_1.4.4                 blotter_0.12.4               
 [4] PerformanceAnalytics_1.4.3541 FinancialInstrument_1.3.1     quantmod_0.4-12              
 [7] TTR_0.23-2                    xts_0.10-1                    zoo_1.8-1                    
[10] devtools_1.13.4              

loaded via a namespace (and not attached):
 [1] codetools_0.2-15 lattice_0.20-35  digest_0.6.13    withr_2.1.1      MASS_7.3-47      grid_3.4.3       R6_2.2.2        
 [8] git2r_0.21.0     httr_1.3.1       curl_3.1         boot_1.3-20      iterators_1.0.9  tools_3.4.3      compiler_3.4.3  
[15] memoise_1.1.0

Thanks in advance for any help you may provide !

Arnaud Pallini
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  • It's a warning, not an error, that's being printed. This warning is related to a patch change done recently, but I don't think it will affect your results. – FXQuantTrader Jan 12 '18 at 13:28
  • Thanks for your feedback. Actually yes it does change my results and quite dramatically for some simulation. Additionally I just re-ran a WFA with both versions of blotter and quantstrat and the new version throw me an error message. I will investigate further but the latest version of quantstrat does change most of my simulations – Arnaud Pallini Jan 12 '18 at 15:54

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