Error in updatePortf() when using multiple currencies

[evgeniavolkova]

Sometimes updatePortf() throws

Error in NextMethod(.Generic) : 
  number of items to replace is not a multiple of replacement length

After searching for the source of the error, found that it's caused by the line CcyMult <- CcyMult[index(TmpPeriods)].

It produces duplicate redundant dates in CcyMult when dates (and a number of rows in CcyMult) are already aligned with TmpPeriods. After executing this line the number of rows in CcyMult becomes greater than in TmpPeriods, which causes the error mentioned above.

A possible and ugly fix:

if ((nrow(CcyMult) != nrow(TmpPeriods))){
	CcyMult <- CcyMult[index(TmpPeriods)]
}

It helps to avoid the error, but there should be a better solution.

[joshuaulrich]

Thanks for the report! Can you give a small, reproducible example that triggers the issue?

[evgeniavolkova]

It looks like the problem is in intraday deals.

devtools::install_github("braverock/blotter")
library('blotter')
library('quantmod')

options("getSymbols.warning4.0"=FALSE)
from ="2022-01-01"
to ="2022-01-15"
symbols = c("AAPL")
currency("USD")
currency("RUB")
getSymbols(symbols, from=from, to=to, 
           adjust=TRUE)
stock(symbols, currency="USD", multiplier=1)
getSymbols("RUB=X",src="yahoo",from="2022-01-01")
RUBUSD = `RUB=X`

initPortf('p', symbols = symbols, currency = 'RUB')

addTxn(Portfolio = 'p', Symbol = 'AAPL', TxnDate = as.Date("2022-01-04"),
       TxnQty = 1, TxnPrice = 179.70)
addTxn(Portfolio = 'p', Symbol = 'AAPL', TxnDate = as.Date("2022-01-04"),
       TxnQty = -1, TxnPrice = 179.70)

updatePortf('p')

[fmoudoute]

hi @evgeniavolkova did you find a way around this please ? I am facing the same issue on intraday trades

[braverock]

I can't replicate the issue, so I suspect maybe a timezone problem creating duplicate entries on different timestamps or dates. I always run R in 'UTC' timezone, and all of our local data is 'UTC', and 'Date' indexed data is UTC.

The Currency multiplier from the last observation should be applied until there is a new observation.

from ="2022-01-01"
to ="2022-01-15"
symbols = c("AAPL")
currency("USD")
currency("RUB")
getSymbols(symbols, from=from, to=to, 
           adjust=TRUE)
stock(symbols, currency="USD", multiplier=1)
getSymbols("RUB=X",src="yahoo",from="2022-01-01")
RUBUSD = `RUB=X`

initPortf('p', symbols = symbols, currency = 'RUB')

addTxn(Portfolio = 'p', Symbol = 'AAPL', TxnDate = as.Date("2022-01-04"),
       TxnQty = 1, TxnPrice = 179.70)
addTxn(Portfolio = 'p', Symbol = 'AAPL', TxnDate = as.Date("2022-01-04"),
       TxnQty = -1, TxnPrice = 179.70)

updatePortf('p')
[1] "USD"
[1] "RUB"
NULL
[1] "AAPL"
[1] "RUB=X"
[1] "p"
[1] "2022-01-04 00:00:00 AAPL 1 @ 179.7"
[1] "2022-01-04 00:00:00 AAPL -1 @ 179.7"

Also, we routinely use intraday trade and FX quote data with currency quotes that are not aligned to transaction timestamps, so at least at that level, we don't experience this problem either.