[Blotter-commits] r147 - pkg/blotter/R

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

Author: braverock
Date: 2010-01-13 23:37:01 +0100 (Wed, 13 Jan 2010)
New Revision: 147

Modified:
   pkg/blotter/R/chart.Posn.R
Log:
- add align.time to Prices and Trades to try to line things up so that irregular trades print on the bars
  alignment still seems off, need to work on fixing

Modified: pkg/blotter/R/chart.Posn.R
===================================================================
--- pkg/blotter/R/chart.Posn.R	2010-01-12 20:01:01 UTC (rev 146)
+++ pkg/blotter/R/chart.Posn.R	2010-01-13 22:37:01 UTC (rev 147)
@@ -24,10 +24,19 @@
     # TODO: check that Portfolio is a Portfolio object
     # TODO: add date scoping
     Prices=get(Symbol)
-
+    freq = periodicity(Prices)
+    switch(freq$scale,
+            seconds = { mult=1 },
+            minute = { mult=60 },
+            hourly = { mult=3600 },
+            daily = { mult=86400 },
+            {mult=86400}
+    )
+    n=round(freq$frequency/mult,0)*mult
+    Prices=align.time(Prices,n)
     Trades = Portfolio[[Symbol]]$txn$Txn.Price*Portfolio[[Symbol]]$txn$Txn.Qty
-    Buys = Portfolio[[Symbol]]$txn$Txn.Price[which(Trades>0)]
-    Sells = Portfolio[[Symbol]]$txn$Txn.Price[which(Trades<0)]
+    Buys = align.time(Portfolio[[Symbol]]$txn$Txn.Price[which(Trades>0)],n)
+    Sells = align.time(Portfolio[[Symbol]]$txn$Txn.Price[which(Trades<0)],n)
     #Position = Portfolio[[Symbol]]$posPL$Pos.Qty # use $txn instead, and make it match the prices index
     Position = Portfolio[[Symbol]]$txn$Pos.Qty
     Position = na.locf(merge(Position,index(Prices)))