[Blotter-commits] r229 - pkg/quantstrat/R

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

Author: braverock
Date: 2010-02-06 01:09:17 +0100 (Sat, 06 Feb 2010)
New Revision: 229

Added:
   pkg/quantstrat/R/traderules.R
Log:
- initial commit of add.rules

Added: pkg/quantstrat/R/traderules.R
===================================================================
--- pkg/quantstrat/R/traderules.R	                        (rev 0)
+++ pkg/quantstrat/R/traderules.R	2010-02-06 00:09:17 UTC (rev 229)
@@ -0,0 +1,70 @@
+#' add a rule to a strategy
+#' 
+#' Rules will be processed in a very particular manner, so it bears going over.
+#' 
+#' First, rules are either path dependent or non-path-dependent.  path dependent rules 
+#' will be processed in every time increment for the \code{mktdata} passed into
+#' \code{\link{applyStrategy}}.  Non path dependent rules will likely be quite rare in real life, 
+#' and will be applied after indicators and signals, and before path-dependent rules are processed.
+#' 
+#' All rules have a \code{type}.  These may be any of:
+#' \itemize{
+#'   \item{risk }{rules that check and react to risk of positions, may stop all other rule execution temporarily or permanently}
+#'   \item{order }{order processing of any open orders at time t, always path-dependent}
+#'   \item{rebalance }{rules executed specifically in a portfolio context, unnecessary in univariate strategies}
+#'   \item{exit}{rules to determine whether to exit a position}
+#'   \item{enter}{rules to determine whether to enter a position}
+#' }  
+#' The rules will be executed by type, in the order listed above.  
+#' Multiple rules of each type may be defined, as with signals and indicators, 
+#' they will be executed in order by index number with any other rules sharing the same 
+#' type.
+#' 
+#' We anticipate that rules will be the part of a strategy most likely to 
+#' not have suitable template code included with this package, as every strategy 
+#' and environment are different, especially in this respect.  
+#' We will attempt to provide enough examples and generic rules to give strategy
+#' authors a place to start.
+#'    
+#' @param strategy an object of type 'strategy' to add the rule to
+#' @param name name of the rule, must correspond to an R function
+#' @param arguments default arguments to be passed to an rule function when executed
+#' @param type 
+#' @param ... any other passthru parameters
+#' @param enabled TRUE/FALSE whether the rule is enabled for use in applying the strategy, default TRUE
+#' @param indexnum if you are updating a specific rule, the index number in the $rules list to update
+#' @param store TRUE/FALSE whether to store the strategy in the .strategy environment, or return it.  default FALSE
+#' @export
+add.rule <- function(strategy, name, arguments, label=NULL, type=c(NULL,"risk","order","rebalance","exit","entry"), ..., enabled=TRUE, indexnum=NULL, path.dep=TRUE, store=FALSE) {
+    if(!is.strategy(strategy)) stop("You must pass in a strategy object to manipulate")
+    type=type[1]
+    if(is.null(type)) stop("You must specify a type")
+    tmp_rule<-list()
+    tmp_rule$name<-name
+    tmp_rule$type<-type
+    # TODO change this to a separate slot!!!!!
+    tmp_rule$enabled<-enabled
+    if (!is.list(arguments)) stop("arguments must be passed as a named list")
+    arguments$label=label
+    tmp_rule$arguments<-arguments
+    if(!hasArg(indexnum) | (hasArg(indexnum) & is.null(indexnum))) indexnum = length(strategy$rules)+1
+    tmp_rule$call<-match.call()
+    strategy$rules[[indexnum]]<-tmp_rule
+    
+    if (store) assign(strategy$name,strategy,envir=as.environment(.strategy))
+    else return(strategy)
+}
+
+
+###############################################################################
+# R (http://r-project.org/) Quantitative Strategy Model Framework
+#
+# Copyright (c) 2009-2010
+# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################


Property changes on: pkg/quantstrat/R/traderules.R
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Name: svn:keywords
   + Revision Id Date Author