Ensure transactions are added in order

The portfolio accounting could be wrong if transactions are added out
of order. Given that this is a strict requirement for correctness, add
a paragraph to the Note section of ?addTxn, and throw an error if
addTxn or addTxns are called with a date before the last date in the
portfolio.

NAMESPACE

@@ -66,6 +66,7 @@ importFrom(graphics,points)
 importFrom(graphics,text)
 importFrom(methods,hasArg)
 importFrom(stats,complete.cases)
+importFrom(stats,end)
 importFrom(stats,lag)
 importFrom(stats,median)
 importFrom(stats,na.omit)

R/addTxn.R

@@ -53,6 +53,13 @@
 #' @param eps value to add to force unique indices
 #' @param TxnData  An xts object containing all required txn fields (for addTxns)
 #' @note 
+#' Transactions must be added in date-time order.  All per-transaction
+#' accounting is calculated when appending transactions to the 'txn' table.
+#' Adding transactions out of order will cause incorrect accounting, and is
+#' therefore not allowed.  Both \code{addTxn} and \code{addTxns} will throw an
+#' error if called with a \code{TxnDate} (or an xts index value) before the
+#' last date in the 'txn' table.
+#'
 #' The addTxn function will eventually also handle other transaction types, 
 #' such as adjustments for corporate actions or expire/assign for options. 
 #' See \code{\link{addDiv}} 
@@ -75,6 +82,12 @@ addTxn <- function(Portfolio, Symbol, TxnDate, TxnQty, TxnPrice, ..., TxnFees=0,
         TxnDate<-as.POSIXct(TxnDate)
     }
 
+    lastTxnDate <- end(Portfolio$symbols[[Symbol]]$txn)
+    if (TxnDate < lastTxnDate) {
+      stop("Transactions must be added in order. TxnDate (", TxnDate, ") is ",
+           "before last transaction in portfolio (", lastTxnDate, ") for ", Symbol)
+    }
+
     # Coerce the transaction fees to a function if a string was supplied
     if(is.character(TxnFees)) {
         TF <- try(match.fun(TxnFees), silent=TRUE)
@@ -172,6 +185,13 @@ addTxns<- function(Portfolio, Symbol, TxnData , verbose=FALSE, ..., ConMult=NULL
         addPortfInstr(Portfolio=pname, symbols=Symbol)
     Portfolio <- .getPortfolio(pname)
 
+    TxnDate <- start(TxnData)
+    lastTxnDate <- end(Portfolio$symbols[[Symbol]]$txn)
+    if (TxnDate < lastTxnDate) {
+      stop("Transactions must be added in order. First TxnDate (", TxnDate, ") is ",
+           "before last transaction in portfolio (", lastTxnDate, ") for ", Symbol)
+    }
+
     if(is.null(ConMult) | !hasArg(ConMult)){
         tmp_instr<-try(getInstrument(Symbol), silent=TRUE)
         if(inherits(tmp_instr,"try-error") | !is.instrument(tmp_instr)){

R/blotter-package.R

@@ -190,6 +190,6 @@
 #'@importFrom graphics abline grid plot points
 #'@importFrom grDevices dev.new
 #'@importFrom methods hasArg
-#'@importFrom stats complete.cases lag median na.omit quantile qnorm sd start
+#'@importFrom stats complete.cases lag median na.omit quantile qnorm sd start end
 #'@importFrom utils View head tail
 NULL

tests/unitTests/runitAddTxn.R

@@ -41,6 +41,27 @@ test.addTxn <- function() {
   # summary <- calcPortfSummary(portfolio)
 }
 
+test.addTxn_TxnDate_out_of_order_errors <- function() {
+  on.exit({
+    # remove objects created by unit tests
+    try(rm_currencies("USD"))
+    try(rm_stocks("A"))
+    try(rm(list=paste0("portfolio.",p), pos=.blotter))
+  })
+
+  currency("USD")
+  stock("A", currency = "USD")
+  initPortf("TxnDateOrder", "A")
+
+  # Initialize a portfolio object 'p'
+  # Creating portfolio:
+  p <- initPortf("runitAddTxn", symbols="A")
+
+  # Trades must be made in date order.
+  addTxn(p, "A", "2007-01-04", -50,  97.1)
+  checkException(addTxn(p, "A", "2007-01-03",  50,  96.5))
+}
+
 test.addTxns <- function() {
   on.exit({
     # remove objects created by unit tests
@@ -76,3 +97,24 @@ test.addTxns <- function() {
   checkIdentical(t1, t2)
 }
 
+test.addTxns_TxnDate_out_of_order_errors <- function() {
+  on.exit({
+    # remove objects created by unit tests
+    try(rm_currencies("USD"), silent=TRUE)
+    try(rm_stocks("A"), silent=TRUE)
+    try(rm(list=c("account.amzn_acct","portfolio.amzn_txn","portfolio.amzn_txns"), pos=.blotter), silent=TRUE)
+  })
+
+  currency("USD")
+  stock("AMZN", currency="USD", multiplier=1)
+
+  # Initialize the account/portfolios
+  initAcct("amzn_acct", portfolios="amzn_txns", initEq=10000)
+  initPortf("amzn_txns", symbols="AMZN")
+
+  # Add the transactions to the portfolios
+  addTxns("amzn_txns", "AMZN", TxnData=amzn.trades)
+  # Trades must be made in date order.
+  checkException(addTxns("amzn_txns", "AMZN", TxnData=amzn.trades[1:2,]))
+}
+