[Blotter-commits] r419 - pkg/quantstrat/R

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

Author: braverock
Date: 2010-10-12 17:56:29 +0200 (Tue, 12 Oct 2010)
New Revision: 419

Modified:
   pkg/quantstrat/R/orders.R
   pkg/quantstrat/R/rules.R
Log:
- fix bug in stoplimit processing on low-frequency data in ruleOrderPorc
- fix s/mkdata/mktdata/ typo in applyRules

Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2010-10-12 13:39:58 UTC (rev 418)
+++ pkg/quantstrat/R/orders.R	2010-10-12 15:56:29 UTC (rev 419)
@@ -372,20 +372,21 @@
                 # next process daily
                 for (ii in procorders ){
                     txnprice=NULL
-                    txntime=as.character(index(ordersubset[ii,]))
-                    txnfees=ordersubset[ii, ]$Txn.Fees
+					#txntime=as.character(index(ordersubset[ii,])) #wrong if order time and txn time are different
+					txntime=as.character(timestamp)
+					txnfees=ordersubset[ii, ]$Txn.Fees
 					if(is.null(txnfees)) txnfees=0
                     switch(ordersubset[ii,]$Order.Type,
                         market = {
-                                txnprice=as.numeric(getPrice(mktdata[txntime], prefer='close'))
+                                txnprice=as.numeric(getPrice(last(mktdata[timestamp]), prefer='close'))
                                 #if(!is.null(ncol(txnprice)) & ncol(txnprice)>1) txnprice = as.numeric(getPrice(mktdata[timestamp], symbol=symbol, prefer='close'))
                         },
                         limit = ,
 						stoplimit = {
 		                                # check to see if price moved through the limit
 										tmpprices<-last(mktdata[timestamp])
-		                                if ( isTRUE(ordersubset[ii, ]$Order.Price > getPrice(tmpprices, prefer = "Lo")) &  
-										     isTRUE(ordersubset[ii, ]$Order.Price < getPrice(tmpprices, prefer = "Hi")) ) {
+		                                if ( as.numeric(ordersubset[ii, ]$Order.Price) > getPrice(tmpprices, prefer = "Lo") &  
+										     as.numeric(ordersubset[ii, ]$Order.Price) < getPrice(tmpprices, prefer = "Hi"))  {
 		                                    txnprice=as.numeric(ordersubset[ii,]$Order.Price)
 		                                    txntime=as.character(timestamp)
 		                                } else {

Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2010-10-12 13:39:58 UTC (rev 418)
+++ pkg/quantstrat/R/rules.R	2010-10-12 15:56:29 UTC (rev 419)
@@ -242,7 +242,7 @@
         } #end type loop
     } # end dates loop
 
-    mkdata<<-mktdata
+    mktdata<<-mktdata
     if(is.null(ret)) {
         return(mktdata)
     }