EDIT(1): This is the sessionInfo():
> sessionInfo()
R version 3.4.2 (2017-09-28)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 10 x64 (build 17134)
Matrix products: default
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] stats graphics grDevices utils
[5] datasets methods base
other attached packages:
[1] FSVBackTest_0.0.0.9000
[2] blotter_0.14.2
[3] FSVTradingRules_0.0.0.9000
[4] FinancialInstrument_1.2.0
[5] quantmod_0.4-13.1
[6] FSVIndicators_0.0.0.9000
[7] roxygen2_6.0.1
[8] dlm_1.1-4
[9] PerformanceAnalytics_1.4.3541
[10] xts_0.10-2.1
[11] zoo_1.8-2
[12] TTR_0.23-2
[13] FSVPositionSizing_0.0.0.9000
[14] FSVDataCheck_0.0.0.9000
[15] RevoUtils_10.0.6
[16] RevoUtilsMath_10.0.1
loaded via a namespace (and not attached):
[1] Rcpp_0.12.13 xml2_1.1.1
[3] magrittr_1.5 rtvs_1.0.0.0
[5] lattice_0.20-35 R6_2.2.0
[7] foreach_1.4.4 stringr_1.2.0
[9] tools_3.4.2 grid_3.4.2
[11] iterators_1.0.8 commonmark_1.4
[13] codetools_0.2-15 curl_3.0
[15] stringi_1.1.5 compiler_3.4.2
[17] boot_1.3-20
EDIT(2): To make this totally reproducible (hopefully), I created a new library (called DUMMY), added xts(0.10-2.1) as the only dependency, added the IBM.RData file from github blotter repo as the ONLY file (.R, .Rdata, .Rda, or otherwise), restarted R, loaded ONLY that library into the global environment, I get the following sessionInfo():
> sessionInfo()
R version 3.4.2 (2017-09-28)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows 10 x64 (build 17134)
Matrix products: default
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] stats graphics grDevices utils datasets methods
[7] base
other attached packages:
[1] DUMMY_0.0.0.9000 xts_0.10-2.1 zoo_1.8-2
[4] RevoUtils_10.0.6 RevoUtilsMath_10.0.1
loaded via a namespace (and not attached):
[1] compiler_3.4.2 grid_3.4.2 rtvs_1.0.0.0
[4] lattice_0.20-35
My DESCRIPTION file looks like this:
Package: DUMMY
Title: What the Package Does (one line, title case)
Version: 0.0.0.9000
Authors@R: person("First", "Last", email = "first.last@example.com", role = c("aut", "cre"))
Description: What the package does (one paragraph).
Depends: R (>= 3.4.2),
xts (>= 0.10-2.1)
License: What license is it under?
Encoding: UTF-8
LazyData: true
RoxygenNote: 6.0.1
Now when I call specific rows of IBM xts object, I get
> class(IBM)
[1] "xts" "zoo"
> IBM[1,]
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
> IBM[21,]
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
> IBM[20,]
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
> IBM[2,]
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
ORIGINAL QUESTION:
All of a sudden, I seem to be observing bizarre behavior with xts objects, and it is causing blotter (and quantstrat) functions to no longer work correctly. Even demos fail. For reference, I'm using xts_0.10-2.1, blotter_0.14.2 & zoo_1.8-2. If I use internal data from the blotter for IBM, referencing the first row of IBM yields the column names, rather than the first row of IBM price data.
> IBM[1,]
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume
IBM.Adjusted
for reference,
> dim(IBM)
[1] 21 6
To get the first row of IBM price data, I need to reference the first two rows of the xts object.
> IBM[1:2,]
IBM.Open IBM.High IBM.Low IBM.Close
2007-01-03 22:00:00 97.25 98.79 96.88 98.31
IBM.Volume IBM.Adjusted
2007-01-03 22:00:00 10524500 94.76
When I try to reference the last row of the IBM data, I get
> IBM[nrow(IBM), ]
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume
IBM.Adjusted
If I try to reference the last two rows of IBM data
> IBM[20:21,]
IBM.Open IBM.High IBM.Low IBM.Close
2007-01-31 22:00:00 98.97 99.18 97.96 99
IBM.Volume IBM.Adjusted
2007-01-31 22:00:00 6610700 95.43
If I try using tail,
> tail(IBM, 2)
IBM.Open IBM.High IBM.Low IBM.Close
2007-01-31 22:00:00 98.97 99.18 97.96 99
IBM.Volume IBM.Adjusted
2007-01-31 22:00:00 6610700 95.43
When I try to run the amzn_test demo from blotter,
> demo(package = "blotter")
> demo("amzn_test")
Type <Return> to start :
demo(amzn_test)
---- ~~~~~~~~~
> require(blotter)
> # Remove portfolio and account data if run previously
> try(rm("portfolio.amzn_port","account.amzn_acct",pos=.blotter), silent = TRUE)
> # load the example data
> data("amzn")
> currency("USD")
[1] "USD"
> stock("amzn",currency="USD",multiplier=1)
[1] "amzn"
> # Initialize the Portfolio
> initPortf("amzn_port",symbols="amzn",initDate="2010-01-14")
[1] "amzn_port"
> initAcct("amzn_acct",portfolios="amzn_port",initDate="2010-01-14", initEq=10000)
[1] "amzn_acct"
> # look at the transactions data
> amzn.trades
TxnPrice TxnQty
2010-01-14 07:18:50 127.49 -400
2010-01-14 07:18:53 127.49 400
2010-01-14 07:21:50 127.26 -300
2010-01-14 07:21:53 127.26 300
2010-01-14 07:23:07 127.17 100
2010-01-14 07:23:10 127.19 -100
2010-01-14 07:37:56 127.12 -400
2010-01-14 07:37:59 127.12 400
2010-01-14 07:38:32 127.23 -500
2010-01-14 07:38:35 127.23 500
2010-01-14 07:38:37 127.27 300
2010-01-14 07:38:40 127.30 -300
2010-01-14 07:46:08 126.95 -1300
2010-01-14 07:46:11 126.95 1300
> # Add the transactions to the portfolio
> blotter:::addTxns("amzn_port","amzn",TxnData=amzn.trades,verbose=TRUE)
Error in if (TxnDate < lastTxnDate) { : argument is of length zero
In addition: Warning messages:
1: In rm("portfolio.amzn_port", "account.amzn_acct", pos = .blotter) :
object 'portfolio.amzn_port' not found
2: In rm("portfolio.amzn_port", "account.amzn_acct", pos = .blotter) :
object 'account.amzn_acct' not found
>
I assume this error occurs because referencing the last row of data (where lastTxnDate comes from) yields the column names rather than the last row of data, from which index() will give us the date. Has anyone else seen this? It just started happening in the past few days, so very recent issue. Thank you for your help!
