[Blotter-commits] r1560 - in pkg/quantstrat: R man

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

Author: braverock
Date: 2013-10-31 13:14:45 +0100 (Thu, 31 Oct 2013)
New Revision: 1560

Modified:
   pkg/quantstrat/R/osFUNs.R
   pkg/quantstrat/man/addPosLimit.Rd
Log:
- update docs to add more detail to addPosLimit, thanks to Chinmay Patel for the request

Modified: pkg/quantstrat/R/osFUNs.R
===================================================================
--- pkg/quantstrat/R/osFUNs.R	2013-10-30 23:30:00 UTC (rev 1559)
+++ pkg/quantstrat/R/osFUNs.R	2013-10-31 12:14:45 UTC (rev 1560)
@@ -30,12 +30,37 @@
 
 #' add position and level limits at timestamp
 #' 
+#' Many strategies will not be allowed to trade unconstrained.
+#' Typically, constraints will include position sizing limits.
+#' 
+#' \code{addPosLimit} works with \code{\link{osMaxPos}} to set 
+#' and enforce position sizing limits.  If \code{levels=1},
+#' then all order sizing will be in the complete control of
+#' the strategy rules, up to the maximum position specified
+#' using \code{addPosLimit}'s \code{maxpos} and \code{minpos} 
+#' arguments.
+#'   
+#' Simply setting a position limit will not do anything.
+#' The strategy entry rules also need to specify an
+#' the use of order sizing function \code{\link{osMaxPos}}, 
+#' most typically as an argument to \code{\link{ruleSignal}}.
+#' 
 #' levels are a simplification of more complex (proprietary) 
 #' techniques sometimes used for order sizing.  
-#' the max orderqty returned will be the limit/levels
+#' the max orderqty returned will be the limit/levels.
 #' Obviously the strategy rules could ask for smaller order sizes, 
 #' but this is the default.  If you don't want to use levels, set 
 #' them to 1.
+#' 
+#' It is also important to note that position limits 
+#' may be time-varying.  
+#' If you only want one staic maximum position limit, then
+#' call \code{addPosLimit} with a \code{timestamp} argument
+#' before your first trade.  If you want time varying limits,
+#' typically in response to some rebalancing rule or risk
+#' rule, set the \code{timestamp} at the time which you wish 
+#' the limit to take effect.
+#'  
 #' @param portfolio text name of the portfolio to place orders in
 #' @param symbol identifier of the instrument to place orders for.  The name of any associated price objects (xts prices, usually OHLC) should match these
 #' @param timestamp timestamp coercible to POSIXct that will be the time the order will be inserted on 

Modified: pkg/quantstrat/man/addPosLimit.Rd
===================================================================
--- pkg/quantstrat/man/addPosLimit.Rd	2013-10-30 23:30:00 UTC (rev 1559)
+++ pkg/quantstrat/man/addPosLimit.Rd	2013-10-31 12:14:45 UTC (rev 1560)
@@ -28,12 +28,38 @@
   default longlevels}
 }
 \description{
+  Many strategies will not be allowed to trade
+  unconstrained. Typically, constraints will include
+  position sizing limits.
+}
+\details{
+  \code{addPosLimit} works with \code{\link{osMaxPos}} to
+  set and enforce position sizing limits.  If
+  \code{levels=1}, then all order sizing will be in the
+  complete control of the strategy rules, up to the maximum
+  position specified using \code{addPosLimit}'s
+  \code{maxpos} and \code{minpos} arguments.
+
+  Simply setting a position limit will not do anything. The
+  strategy entry rules also need to specify an the use of
+  order sizing function \code{\link{osMaxPos}}, most
+  typically as an argument to \code{\link{ruleSignal}}.
+
   levels are a simplification of more complex (proprietary)
   techniques sometimes used for order sizing. the max
-  orderqty returned will be the limit/levels Obviously the
+  orderqty returned will be the limit/levels. Obviously the
   strategy rules could ask for smaller order sizes, but
   this is the default.  If you don't want to use levels,
   set them to 1.
+
+  It is also important to note that position limits may be
+  time-varying. If you only want one staic maximum position
+  limit, then call \code{addPosLimit} with a
+  \code{timestamp} argument before your first trade.  If
+  you want time varying limits, typically in response to
+  some rebalancing rule or risk rule, set the
+  \code{timestamp} at the time which you wish the limit to
+  take effect.
 }
 \seealso{
   \code{\link{osMaxPos}} \code{\link{getPosLimit}}