From noreply at r-forge.r-project.org  Thu Jul  3 20:19:59 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu,  3 Jul 2014 20:19:59 +0200 (CEST)
Subject: [Blotter-commits] r1618 - pkg/quantstrat/R
Message-ID: <20140703181959.CA2C2186DA9@r-forge.r-project.org>

Author: bodanker
Date: 2014-07-03 20:19:59 +0200 (Thu, 03 Jul 2014)
New Revision: 1618

Modified:
   pkg/quantstrat/R/ruleSignal.R
Log:
- Patch check for orderprice with length > 1. Thanks to Joe Dunn for the report.


Modified: pkg/quantstrat/R/ruleSignal.R
===================================================================
--- pkg/quantstrat/R/ruleSignal.R	2014-06-28 15:00:02 UTC (rev 1617)
+++ pkg/quantstrat/R/ruleSignal.R	2014-07-03 18:19:59 UTC (rev 1618)
@@ -194,7 +194,7 @@
 		) # end switch
 
 		if(inherits(orderprice,'try-error')) orderprice<-NULL
-		if(length(orderprice>1) && !pricemethod=='maker') orderprice<-last(orderprice[timestamp])
+		if(length(orderprice)>1 && pricemethod!='maker') orderprice <- last(orderprice[timestamp])
 		if(!is.null(orderprice) && !is.null(ncol(orderprice))) orderprice <- orderprice[,1]
 	}
 


From noreply at r-forge.r-project.org  Tue Jul  8 15:50:56 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Tue,  8 Jul 2014 15:50:56 +0200 (CEST)
Subject: [Blotter-commits] r1619 - pkg/FinancialInstrument/R
Message-ID: <20140708135056.CAF451874D3@r-forge.r-project.org>

Author: signori
Date: 2014-07-08 15:50:56 +0200 (Tue, 08 Jul 2014)
New Revision: 1619

Modified:
   pkg/FinancialInstrument/R/saveInstruments.R
Log:
In saveInstruments, 'pos' should 'FinancialInstrument:::.instrument' (reverts to r1475)

Modified: pkg/FinancialInstrument/R/saveInstruments.R
===================================================================
--- pkg/FinancialInstrument/R/saveInstruments.R	2014-07-03 18:19:59 UTC (rev 1618)
+++ pkg/FinancialInstrument/R/saveInstruments.R	2014-07-08 13:50:56 UTC (rev 1619)
@@ -75,7 +75,7 @@
             "require(FinancialInstrument)\n\n", file=file.name)
         for (s in ls_instruments()) {
             sink(file.name, append=TRUE)
-            cat('assign("', s, '", pos=.instrument, ', 
+            cat('assign("', s, '", pos=FinancialInstrument:::.instrument, ', 
                 'value=\n', sep="", append=TRUE)
             dput(getInstrument(s))
             cat(")\n\n", append=TRUE)


From gsee000 at gmail.com  Tue Jul  8 19:31:01 2014
From: gsee000 at gmail.com (G See)
Date: Tue, 8 Jul 2014 12:31:01 -0500
Subject: [Blotter-commits] r1619 - pkg/FinancialInstrument/R
In-Reply-To: <20140708135056.CAF451874D3@r-forge.r-project.org>
References: <20140708135056.CAF451874D3@r-forge.r-project.org>
Message-ID: <CA+xi=qb3jga6oEy71F=pF4jGAHi9fBz=rz9nfjtoAN9puo1m2Q@mail.gmail.com>

You cannot do this due to CRAN policy.  The FinancialInstrument:::
should not be necessary because this function belongs to the
FinancialInstrument namespace.

On Tue, Jul 8, 2014 at 8:50 AM,  <noreply at r-forge.r-project.org> wrote:
> Author: signori
> Date: 2014-07-08 15:50:56 +0200 (Tue, 08 Jul 2014)
> New Revision: 1619
>
> Modified:
>    pkg/FinancialInstrument/R/saveInstruments.R
> Log:
> In saveInstruments, 'pos' should 'FinancialInstrument:::.instrument' (reverts to r1475)
>
> Modified: pkg/FinancialInstrument/R/saveInstruments.R
> ===================================================================
> --- pkg/FinancialInstrument/R/saveInstruments.R 2014-07-03 18:19:59 UTC (rev 1618)
> +++ pkg/FinancialInstrument/R/saveInstruments.R 2014-07-08 13:50:56 UTC (rev 1619)
> @@ -75,7 +75,7 @@
>              "require(FinancialInstrument)\n\n", file=file.name)
>          for (s in ls_instruments()) {
>              sink(file.name, append=TRUE)
> -            cat('assign("', s, '", pos=.instrument, ',
> +            cat('assign("', s, '", pos=FinancialInstrument:::.instrument, ',
>                  'value=\n', sep="", append=TRUE)
>              dput(getInstrument(s))
>              cat(")\n\n", append=TRUE)
>
> _______________________________________________
> Blotter-commits mailing list
> Blotter-commits at lists.r-forge.r-project.org
> https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/blotter-commits

From gsee000 at gmail.com  Tue Jul  8 19:43:48 2014
From: gsee000 at gmail.com (G See)
Date: Tue, 8 Jul 2014 12:43:48 -0500
Subject: [Blotter-commits] r1619 - pkg/FinancialInstrument/R
In-Reply-To: <CA+xi=qb3jga6oEy71F=pF4jGAHi9fBz=rz9nfjtoAN9puo1m2Q@mail.gmail.com>
References: <20140708135056.CAF451874D3@r-forge.r-project.org>
 <CA+xi=qb3jga6oEy71F=pF4jGAHi9fBz=rz9nfjtoAN9puo1m2Q@mail.gmail.com>
Message-ID: <CA+xi=qYUzcCjpdj2HKheLUhtSo+msEGjPVwKjndT-tQcP+Q7rg@mail.gmail.com>

Never mind.  I didn't look close enough.  This is fine.

Thank you
Garrett

On Tue, Jul 8, 2014 at 12:31 PM, G See <gsee000 at gmail.com> wrote:
> You cannot do this due to CRAN policy.  The FinancialInstrument:::
> should not be necessary because this function belongs to the
> FinancialInstrument namespace.
>
> On Tue, Jul 8, 2014 at 8:50 AM,  <noreply at r-forge.r-project.org> wrote:
>> Author: signori
>> Date: 2014-07-08 15:50:56 +0200 (Tue, 08 Jul 2014)
>> New Revision: 1619
>>
>> Modified:
>>    pkg/FinancialInstrument/R/saveInstruments.R
>> Log:
>> In saveInstruments, 'pos' should 'FinancialInstrument:::.instrument' (reverts to r1475)
>>
>> Modified: pkg/FinancialInstrument/R/saveInstruments.R
>> ===================================================================
>> --- pkg/FinancialInstrument/R/saveInstruments.R 2014-07-03 18:19:59 UTC (rev 1618)
>> +++ pkg/FinancialInstrument/R/saveInstruments.R 2014-07-08 13:50:56 UTC (rev 1619)
>> @@ -75,7 +75,7 @@
>>              "require(FinancialInstrument)\n\n", file=file.name)
>>          for (s in ls_instruments()) {
>>              sink(file.name, append=TRUE)
>> -            cat('assign("', s, '", pos=.instrument, ',
>> +            cat('assign("', s, '", pos=FinancialInstrument:::.instrument, ',
>>                  'value=\n', sep="", append=TRUE)
>>              dput(getInstrument(s))
>>              cat(")\n\n", append=TRUE)
>>
>> _______________________________________________
>> Blotter-commits mailing list
>> Blotter-commits at lists.r-forge.r-project.org
>> https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/blotter-commits

From noreply at r-forge.r-project.org  Fri Jul 11 03:40:10 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri, 11 Jul 2014 03:40:10 +0200 (CEST)
Subject: [Blotter-commits] r1620 - pkg/quantstrat/demo
Message-ID: <20140711014010.68DB8180194@r-forge.r-project.org>

Author: efmrforge
Date: 2014-07-11 03:40:08 +0200 (Fri, 11 Jul 2014)
New Revision: 1620

Modified:
   pkg/quantstrat/demo/00Index
Log:
Added faber_rebal description to index 


Modified: pkg/quantstrat/demo/00Index
===================================================================
--- pkg/quantstrat/demo/00Index	2014-07-08 13:50:56 UTC (rev 1619)
+++ pkg/quantstrat/demo/00Index	2014-07-11 01:40:08 UTC (rev 1620)
@@ -1,6 +1,7 @@
 bbands     Build a simple Bollinger Bands strategy using one indicator, three signals, and three trade rules
 faber      demonstrate a simple long term trend model using a 10-month SMA on a small portfolio of ETFs based on Mebane Faber paper
 faberMC    apply the Faber 10-month SMA strategy to a three-currency index portfolio
+faber_rebal    apply the Faber 10-month SMA strategy, rebalance quarterly
 macd       example of Moving Average Convergence/Divergence (MACD) used as a trend indicator
 maCross    classic 'Golden Cross' 50/200 period moving average cross strategy, long only, with long/short extra rules commented out
 pair_trade simple two-instrument long-short equity strategy demonstrating custom indicator and extended order sizing functionality


From noreply at r-forge.r-project.org  Fri Jul 11 15:32:09 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri, 11 Jul 2014 15:32:09 +0200 (CEST)
Subject: [Blotter-commits] r1621 - pkg/quantstrat/R
Message-ID: <20140711133209.86424187616@r-forge.r-project.org>

Author: bodanker
Date: 2014-07-11 15:32:09 +0200 (Fri, 11 Jul 2014)
New Revision: 1621

Modified:
   pkg/quantstrat/R/indicators.R
   pkg/quantstrat/R/rules.R
   pkg/quantstrat/R/signals.R
Log:
- Check mktdata for duplicate index values in applyIndicators/Signals/Rules
  call make.index.unique if necessary


Modified: pkg/quantstrat/R/indicators.R
===================================================================
--- pkg/quantstrat/R/indicators.R	2014-07-11 01:40:08 UTC (rev 1620)
+++ pkg/quantstrat/R/indicators.R	2014-07-11 13:32:09 UTC (rev 1621)
@@ -141,6 +141,12 @@
     
     # TODO check for symbol name in mktdata using Josh's code:
     # symbol <- strsplit(colnames(mktdata)[1],"\\.")[[1]][1]
+
+    # ensure no duplicate index values in mktdata
+    if(any(diff(.index(mktdata)) == 0)) {
+        warning("'mktdata' index contains duplicates; calling 'make.index.unique'")
+        mktdata <- make.index.unique(mktdata)
+    }
     
     if (!is.strategy(strategy)) {
         strategy<-try(getStrategy(strategy))

Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2014-07-11 01:40:08 UTC (rev 1620)
+++ pkg/quantstrat/R/rules.R	2014-07-11 13:32:09 UTC (rev 1621)
@@ -261,6 +261,12 @@
     
     # TODO handle indicator and signal lists as well as indicators/signals that were cbound to mktdata
 
+    # ensure no duplicate index values in mktdata
+    if(any(diff(.index(mktdata)) == 0)) {
+        warning("'mktdata' index contains duplicates; calling 'make.index.unique'")
+        mktdata <- make.index.unique(mktdata)
+    }
+
     # ported from IBrokers thanks to Jeff
     # environment for data to be stored/accessed during applyRules execution
     # an example of this functionality is for the "symbols" variable

Modified: pkg/quantstrat/R/signals.R
===================================================================
--- pkg/quantstrat/R/signals.R	2014-07-11 01:40:08 UTC (rev 1620)
+++ pkg/quantstrat/R/signals.R	2014-07-11 13:32:09 UTC (rev 1621)
@@ -78,6 +78,12 @@
 
     # TODO handle indicator lists as well as indicators that were cbound to mktdata
 
+    # ensure no duplicate index values in mktdata
+    if(any(diff(.index(mktdata)) == 0)) {
+        warning("'mktdata' index contains duplicates; calling 'make.index.unique'")
+        mktdata <- make.index.unique(mktdata)
+    }
+
     if (!is.strategy(strategy)) {
         strategy<-try(getStrategy(strategy))
         if(inherits(strategy,"try-error"))


From noreply at r-forge.r-project.org  Fri Jul 11 15:50:34 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri, 11 Jul 2014 15:50:34 +0200 (CEST)
Subject: [Blotter-commits] r1622 - in pkg/quantstrat: R man
Message-ID: <20140711135034.85566184928@r-forge.r-project.org>

Author: bodanker
Date: 2014-07-11 15:50:34 +0200 (Fri, 11 Jul 2014)
New Revision: 1622

Modified:
   pkg/quantstrat/R/rules.R
   pkg/quantstrat/man/applyRules.Rd
Log:
- Remove Dates arg from applyRules (it was never honored); update doc file


Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2014-07-11 13:32:09 UTC (rev 1621)
+++ pkg/quantstrat/R/rules.R	2014-07-11 13:50:34 UTC (rev 1622)
@@ -234,7 +234,6 @@
 #' @param symbol identfier of the instrument to find orders for.  The name of any associated price objects (xts prices, usually OHLC) should match these
 #' @param strategy an object of type 'strategy' to add the rule to
 #' @param mktdata an xts object containing market data.  depending on rules, may need to be in OHLCV or BBO formats, and may include indicator and signal information
-#' @param Dates default NULL, list of time stamps to iterate over, ignored if \code{path.dep=FALSE}
 #' @param indicators if indicator output is not contained in the mktdata object, it may be passed separately as an xts object or a list.
 #' @param signals if signal output is not contained in the mktdata object, it may be passed separately as an xts object or a list.
 #' @param parameters named list of parameters to be applied during evaluation of the strategy,default NULL, only needed if you need special names to avoid argument collision
@@ -248,7 +247,6 @@
                         symbol, 
                         strategy, 
                         mktdata, 
-                        Dates=NULL, 
                         indicators=NULL, 
                         signals=NULL, 
                         parameters=NULL,   
@@ -292,7 +290,7 @@
     } 
     ret <- NULL
     
-    Dates=unique(index(mktdata))  
+    Dates <- index(mktdata)
     
     #we could maybe do something more sophisticated, but this should work
     if(isTRUE(path.dep)){ #initialize the dimension reduction index (dindex)

Modified: pkg/quantstrat/man/applyRules.Rd
===================================================================
--- pkg/quantstrat/man/applyRules.Rd	2014-07-11 13:32:09 UTC (rev 1621)
+++ pkg/quantstrat/man/applyRules.Rd	2014-07-11 13:50:34 UTC (rev 1622)
@@ -2,9 +2,9 @@
 \alias{applyRules}
 \title{apply the rules in the strategy to arbitrary market data}
 \usage{
-applyRules(portfolio, symbol, strategy, mktdata, Dates = NULL,
-  indicators = NULL, signals = NULL, parameters = NULL, ...,
-  path.dep = TRUE, rule.order = NULL, debug = FALSE)
+applyRules(portfolio, symbol, strategy, mktdata, indicators = NULL,
+  signals = NULL, parameters = NULL, ..., path.dep = TRUE,
+  rule.order = NULL, debug = FALSE)
 }
 \arguments{
   \item{portfolio}{text name of the portfolio to associate
@@ -22,9 +22,6 @@
   formats, and may include indicator and signal
   information}
 
-  \item{Dates}{default NULL, list of time stamps to iterate
-  over, ignored if \code{path.dep=FALSE}}
-
   \item{indicators}{if indicator output is not contained in
   the mktdata object, it may be passed separately as an xts
   object or a list.}


From noreply at r-forge.r-project.org  Fri Jul 11 17:50:02 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri, 11 Jul 2014 17:50:02 +0200 (CEST)
Subject: [Blotter-commits] r1623 - pkg/quantstrat/R
Message-ID: <20140711155002.9731718624E@r-forge.r-project.org>

Author: bodanker
Date: 2014-07-11 17:50:02 +0200 (Fri, 11 Jul 2014)
New Revision: 1623

Modified:
   pkg/quantstrat/R/signals.R
Log:
- rename .firstThreshold to .firstCross in sigTimestamp (missed in r1572)
  Thanks to Jonathan Owen for the report in bug #5800


Modified: pkg/quantstrat/R/signals.R
===================================================================
--- pkg/quantstrat/R/signals.R	2014-07-11 13:50:34 UTC (rev 1622)
+++ pkg/quantstrat/R/signals.R	2014-07-11 15:50:02 UTC (rev 1623)
@@ -353,7 +353,7 @@
 
    # timestamp can be a time-based timestamp
    if(is.timeBased(timestamp)) {
-     after.sig <- .firstThreshold(index(data), timestamp, "lt")
+     after.sig <- .firstCross(index(data), timestamp, "lt")
      if(length(after.sig) != 0)
        ret$timestamp[after.sig] <- TRUE
    } else


From noreply at r-forge.r-project.org  Sat Jul 12 20:23:21 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sat, 12 Jul 2014 20:23:21 +0200 (CEST)
Subject: [Blotter-commits] r1624 - pkg/quantstrat/R
Message-ID: <20140712182321.E0F3D1853E2@r-forge.r-project.org>

Author: efmrforge
Date: 2014-07-12 20:23:21 +0200 (Sat, 12 Jul 2014)
New Revision: 1624

Modified:
   pkg/quantstrat/R/tradeGraphs.R
Log:
Fix of 5788 thanks to Jonathan Owen 


Modified: pkg/quantstrat/R/tradeGraphs.R
===================================================================
--- pkg/quantstrat/R/tradeGraphs.R	2014-07-11 15:50:02 UTC (rev 1623)
+++ pkg/quantstrat/R/tradeGraphs.R	2014-07-12 18:23:21 UTC (rev 1624)
@@ -49,10 +49,16 @@
         } else {
             data <- subset(stats, eval(parse(text=params.filter)), select =  c(var1, var2, var3))
         }
-        x <- recast(data, as.formula(paste0(var1, " ~ ", var2)) , id.var=c(var1,var2), measure.var=c(var3))$labels[[1]][,1]
-        y <-  recast(data, as.formula(paste0(var1, " ~ ", var2)) , id.var=c(var1,var2), measure.var=c(var3))$labels[[2]][,1]
-        z <-  recast(data, as.formula(paste0(var1, " ~ ", var2)) , id.var=c(var1,var2), measure.var=c(var3))$data
 
+        data_r = recast(data, as.formula(paste0(var1, " ~ ", var2)), id.var=c(var1,var2), measure.var=c(var3))
+        x <- data_r[, 1]
+         y <- as.numeric(colnames(data_r)[-1])
+z <- unlist(data_r[, -1])
+
+        # x <- recast(data, as.formula(paste0(var1, " ~ ", var2)) , id.var=c(var1,var2), measure.var=c(var3))$labels[[1]][,1]
+        # y <-  recast(data, as.formula(paste0(var1, " ~ ", var2)) , id.var=c(var1,var2), measure.var=c(var3))$labels[[2]][,1]
+        # z <-  recast(data, as.formula(paste0(var1, " ~ ", var2)) , id.var=c(var1,var2), measure.var=c(var3))$data
+
         col <- heat.colors(length(z))[rank(z)]
 
         open3d()


From noreply at r-forge.r-project.org  Sun Jul 27 02:54:14 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sun, 27 Jul 2014 02:54:14 +0200 (CEST)
Subject: [Blotter-commits] r1625 - pkg/quantstrat/R
Message-ID: <20140727005415.038B918619B@r-forge.r-project.org>

Author: bodanker
Date: 2014-07-27 02:54:14 +0200 (Sun, 27 Jul 2014)
New Revision: 1625

Modified:
   pkg/quantstrat/R/ruleSignal.R
Log:
- Revert bug accidentally introduced in r1594


Modified: pkg/quantstrat/R/ruleSignal.R
===================================================================
--- pkg/quantstrat/R/ruleSignal.R	2014-07-12 18:23:21 UTC (rev 1624)
+++ pkg/quantstrat/R/ruleSignal.R	2014-07-27 00:54:14 UTC (rev 1625)
@@ -217,10 +217,8 @@
                               orderprice=as.numeric(orderprice))
         }
 
-        if(!is.null(orderqty) && orderqty!=0 && length(orderprice) && is.numeric(orderprice[1])) #orderprice could have length > 1
+        if(!is.null(orderqty) && orderqty!=0 && length(orderprice))
         {
-          if(orderqty != 'all' || getPosQty(portfolio, symbol, timestamp) != 0)
-             {
                 addOrder(portfolio=portfolio, 
                          symbol=symbol, 
                          timestamp=timestamp, 
@@ -239,7 +237,6 @@
                          TxnFees=TxnFees,
                          label=label,
 			                   time.in.force=time.in.force)
-            }
         }
     }
     if(sethold) hold <<- TRUE


From noreply at r-forge.r-project.org  Sun Jul 27 10:31:43 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sun, 27 Jul 2014 10:31:43 +0200 (CEST)
Subject: [Blotter-commits] r1626 - pkg/blotter/R
Message-ID: <20140727083144.0367318757C@r-forge.r-project.org>

Author: bodanker
Date: 2014-07-27 10:31:43 +0200 (Sun, 27 Jul 2014)
New Revision: 1626

Modified:
   pkg/blotter/R/perTradeStats.R
Log:
- Fix bug in perTradeStats introduced during r1597 refactor


Modified: pkg/blotter/R/perTradeStats.R
===================================================================
--- pkg/blotter/R/perTradeStats.R	2014-07-27 00:54:14 UTC (rev 1625)
+++ pkg/blotter/R/perTradeStats.R	2014-07-27 08:31:43 UTC (rev 1626)
@@ -123,7 +123,7 @@
         Pos.PL <- trade[,"Pos.Value"]-Pos.Cost.Basis
         Pct.PL <- Pos.PL/abs(Pos.Cost.Basis)           # broken for last timestamp (fixed below)
         Tick.PL <- Pos.PL/abs(Pos.Qty)/tick_value      # broken for last timestamp (fixed below)
-        Max.Pos.Qty.loc <- which.max(Pos.Qty)          # find max position quantity location
+        Max.Pos.Qty.loc <- which.max(abs(Pos.Qty))     # find max position quantity location
 
         # position sizes
         trades$Init.Pos[i] <- Pos.Qty[1]