[Blotter-commits] r1633 - pkg/quantstrat/R

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

Author: bodanker
Date: 2014-09-18 23:17:10 +0200 (Thu, 18 Sep 2014)
New Revision: 1633

Modified:
   pkg/quantstrat/R/ruleOrderProc.R
Log:
- Fix bug #5895 (Stoplimit execution with OHLC price gaps)
  Thanks to Claymore Marshall for the report and for testing.


Modified: pkg/quantstrat/R/ruleOrderProc.R
===================================================================
--- pkg/quantstrat/R/ruleOrderProc.R	2014-09-16 14:00:04 UTC (rev 1632)
+++ pkg/quantstrat/R/ruleOrderProc.R	2014-09-18 21:17:10 UTC (rev 1633)
@@ -196,7 +196,10 @@
                    if( (has.Lo(mktdata) && orderPrice > as.numeric(Lo(mktdataTimestamp)[,1])) || 
                          (!has.Lo(mktdata) && orderPrice > as.numeric(getPrice(mktdataTimestamp, prefer=prefer)[,1])))
                    {
-                     txnprice = min(orderPrice, Hi(mktdataTimestamp)[,1])
+                     if(orderType == 'stoplimit')
+                         txnprice <- min(orderPrice, Op(mktdataTimestamp)[,1])
+                     else
+                         txnprice <- orderPrice
                      txntime = timestamp
                    } else next() # price did not move through my order, should go to next order  
                  } else if((orderQty < 0 && orderType != 'stoplimit') || (orderQty > 0 && (orderType=='stoplimit'))) { 
@@ -204,7 +207,10 @@
                    if ( (has.Hi(mktdata) && orderPrice < as.numeric(Hi(mktdataTimestamp)[,1])) ||
                           (!has.Hi(mktdata) && orderPrice < as.numeric(getPrice(mktdataTimestamp,prefer=prefer)[,1])) )
                    {
-                     txnprice = max(orderPrice, Lo(mktdataTimestamp)[,1])
+                     if(orderType == 'stoplimit')
+                         txnprice <- max(orderPrice, Op(mktdataTimestamp)[,1])
+                     else
+                         txnprice <- orderPrice
                      txntime = timestamp
                    } else next() # price did not move through my order, should go to next order 
                  } else {