[Blotter-commits] r284 - pkg/quantstrat/R

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

Author: braverock
Date: 2010-03-15 21:52:14 +0100 (Mon, 15 Mar 2010)
New Revision: 284

Modified:
   pkg/quantstrat/R/orders.R
   pkg/quantstrat/R/signals.R
   pkg/quantstrat/R/traderules.R
Log:
- updates to fix issues in low-frequency strategy around timestamp matching

Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2010-03-14 17:53:29 UTC (rev 283)
+++ pkg/quantstrat/R/orders.R	2010-03-15 20:52:14 UTC (rev 284)
@@ -273,12 +273,12 @@
                         market = ,
                         limit = {
                             if (procorders[ii,]$Order.Type == 'market' ){
-                                txnprice=as.numeric(getPrice(mktdata[timestamp], prefer='close'))
+                                txnprice=as.numeric(getPrice(mktdata[as.character(timestamp)], prefer='close'))
                                 #if(!is.null(ncol(txnprice)) & ncol(txnprice)>1) txnprice = as.numeric(getPrice(mktdata[timestamp], symbol=symbol, prefer='close'))
                                 txntime=prevtime
                             } else {
                                 # check to see if price moved through the limit
-                                if(procorders[ii,]$Order.Price>Lo(mktdata[timestamp]) & procorders[ii,]$Order.Price<Hi(mktdata[timestamp]) ) {
+                                if(procorders[ii,]$Order.Price>Lo(mktdata[as.character(timestamp)]) & procorders[ii,]$Order.Price<Hi(mktdata[as.character(timestamp)]) ) {
                                     txnprice=as.numeric(procorders[ii,]$Order.Price)
                                     txntime=timestamp
                                 } else {

Modified: pkg/quantstrat/R/signals.R
===================================================================
--- pkg/quantstrat/R/signals.R	2010-03-14 17:53:29 UTC (rev 283)
+++ pkg/quantstrat/R/signals.R	2010-03-15 20:52:14 UTC (rev 284)
@@ -114,7 +114,7 @@
 #' 
 #' Comparison will be applied from the first to the second column in the \code{columns} vector.
 #' 
-#' Relationship 'op' means 'opposite side.  Reasonable attempt will be made to match.
+#' Relationship 'op' means 'opposite' side.  Reasonable attempt will be made to match.
 #' 
 #' @param label text label to apply to the output
 #' @param data data to apply comparison to

Modified: pkg/quantstrat/R/traderules.R
===================================================================
--- pkg/quantstrat/R/traderules.R	2010-03-14 17:53:29 UTC (rev 283)
+++ pkg/quantstrat/R/traderules.R	2010-03-15 20:52:14 UTC (rev 284)
@@ -30,7 +30,9 @@
 #' @export
 ruleSignal <- function(mktdata, timestamp, sigcol, sigval, orderqty=0, ordertype, orderside, threshold=NULL, replace=TRUE, delay=0.0001, osFUN='osNoOp', pricemethod=c('market','opside'), portfolio, symbol, ... ) {
     if(!is.function(osFUN)) osFUN<-match.fun(osFUN)
-    if (!is.na(mktdata[timestamp][,sigcol]) & mktdata[timestamp][,sigcol] == sigval) {
+    #print(paste(symbol,timestamp))
+    #print(mktdata[timestamp][,sigcol])
+    if (!is.na(mktdata[as.character(timestamp)][,sigcol]) & mktdata[as.character(timestamp)][,sigcol] == sigval) {
         #TODO add fancy formals matching for osFUN
         if(orderqty=='all'){
             orderqty=-1*getPosQty(Portfolio=portfolio,Symbol=symbol,Date=timestamp)    
@@ -42,19 +44,19 @@
         #calculate order price using pricemethod
         pricemethod<-pricemethod[1] #only use the first if not set by calling function
         switch(pricemethod,
-               opside = {
-                   if (orderqty>0) 
-                       prefer='ask'  # we're buying, so pay what they're asking
-                   else
-                       prefer='bid'  # we're selling, so give it to them for what they're bidding
-                   orderprice <- try(getPrice(x=mktdata,symbol=symbol,prefer=prefer))
-               }, 
-               market = { 
-                   orderprice <- try(getPrice(x=mktdata,symbol=symbol,prefer=NULL)) 
-               }  
+                opside = {
+                    if (orderqty>0) 
+                        prefer='ask'  # we're buying, so pay what they're asking
+                    else
+                        prefer='bid'  # we're selling, so give it to them for what they're bidding
+                    orderprice <- try(getPrice(x=mktdata,symbol=symbol,prefer=prefer))
+                }, 
+                market = { 
+                    orderprice <- try(getPrice(x=mktdata,symbol=symbol,prefer=NULL)) 
+                }  
         )
         if(inherits(orderprice,'try-error')) orderprice<-NULL
-        if(length(orderprice>1)) orderprice<-last(orderprice[timestamp])
+        if(length(orderprice>1)) orderprice<-last(orderprice[as.character(timestamp)])
         if(is.null(orderside) & !orderqty == 0){
             curqty<-getPosQty(Portfolio=portfolio, Symbol=symbol, Date=timestamp)
             if (curqty>0 ){
@@ -72,6 +74,7 @@
             }
         }
         if(!is.null(orderqty) & !orderqty == 0 & !is.null(orderprice)){
+            # print(orderprice)
             addOrder(portfolio=portfolio, symbol=symbol, timestamp=timestamp, qty=orderqty, price=orderprice, ordertype=ordertype, side=orderside, threshold=threshold, status="open", replace=replace , delay=delay, ...)
         }
     }
@@ -138,7 +141,7 @@
 getPosLimit <- function(portfolio, symbol, timestamp){
     portf<-getPortfolio(portfolio)
     # try to get on timestamp, otherwise find the most recent
-    toDate = paste('::', timestamp, sep="")
+    toDate = paste('::', as.character(timestamp), sep="")
     PosLimit = last(portf[[symbol]]$PosLimit[toDate])
     return(PosLimit)
 }