[Blotter-commits] r330 - pkg/quantstrat/R

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2010-04-20 14:08:58 +0200 (Tue, 20 Apr 2010)
New Revision: 330

Added:
   pkg/quantstrat/R/parameters.R
Log:
- initial revision of parameter functions, not complete yet

Added: pkg/quantstrat/R/parameters.R
===================================================================
--- pkg/quantstrat/R/parameters.R	                        (rev 0)
+++ pkg/quantstrat/R/parameters.R	2010-04-20 12:08:58 UTC (rev 330)
@@ -0,0 +1,95 @@
+#' @export
+add.parameter <- 
+function (strategy, 
+          type = c('indicator','signal'), 
+          add.to.name,
+          method = c('lookup','lookup.range','calc'), 
+          arguments = NULL, 
+          label = NULL,
+          ...,
+          store=FALSE) 
+{
+    if(!is.strategy(strategy)) stop("You must pass in a strategy object to manipulate")
+    # perhaps I should add parameters and parameter.args as arguments to the constructors...
+    
+    tmp.param<-list()
+    
+    type=type[1] #this should probably come out eventually
+    
+    method = method[1] #only use the first if the user didn't specify, or over-specified
+    
+    if(is.null(label)) {
+        label<-method
+    }
+    tmp.param$label <- label
+    tmp.param$method <- method
+    tmp.param$call <- match.call()
+    tmp.param$arguments <- arguments
+    class(tmp.param)<-'quantstrat.parameter'
+    
+    switch(type,
+            indicator = {type='indicators'},
+            signal = {type='signals'},
+            rule = {type='rules'}) #NOTE rules not supported yet, since they need a rule type too
+    
+    # need to think about how to create a 'parameters' list, and whether 
+    # it should be at the strategy level or lower down, on the individual 
+    # signal/indicator/rule
+    
+    if(!is.list(strategy[[type]][[add.to.name]]$parameters)){
+        strategy[[type]][[add.to.name]]$parameters <- list()
+    }
+    strategy[[type]][[add.to.name]][['parameters']][[method]] <- tmp.param
+    
+    if (store) assign(strategy$name,strategy,envir=as.environment(.strategy))
+    else return(strategy)
+}
+
+
+paramLookup <- function(strategy, symbol , type, name, parameter, ...) {
+    # should take in a strategy and parameter object, and return an argument list for 'symbol'
+    #as.pairlist(paramTable[,symbol]
+    paramTable<-get(paste(strategy,type,name,'table',pos=.strategy))
+    as.pairlist(paramTable[,symbol])
+}
+
+#' @export
+add.paramLookupTable <- function(strategy, type, name, paramTable){
+    assign(paste(strategy,type,name,'table',pos=.strategy),paramTable)
+}
+
+#' get parameterized arguments list out of the strategy environment
+#' @param strategy 
+#' @param symbol 
+#' @param type 
+#' @param name 
+getParams <- function (strategy, symbol, type, name)
+{
+    
+    params <- strategy[[type]][[name]]$parameters
+    param.ret<-list()
+    for (param in params) {
+        switch(param$method,
+                lookup = {param.ret<-c(param.ret,paramLookup(strategy,symbol,parameter=param))},
+                lookup.range = {},
+                calc = {},
+                {warning("parameter method",param$method,'not recognized for',type,name); next()}
+              )
+    }
+    # return an arguments list back to the 'apply*' fn
+    return(param.ret)
+}
+
+
+###############################################################################
+# R (http://r-project.org/) Quantitative Strategy Model Framework
+#
+# Copyright (c) 2009-2010
+# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################


Property changes on: pkg/quantstrat/R/parameters.R
___________________________________________________________________
Name: svn:keywords
   + Revision Id Date Author