[Blotter-commits] r355 - in pkg/quantstrat: R man

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

Author: braverock
Date: 2010-07-16 21:08:41 +0200 (Fri, 16 Jul 2010)
New Revision: 355

Modified:
   pkg/quantstrat/R/rules.R
   pkg/quantstrat/R/traderules.R
   pkg/quantstrat/man/add.rule.Rd
   pkg/quantstrat/man/osMaxPos.Rd
   pkg/quantstrat/man/osNoOp.Rd
Log:
- fix 'enter'/'entry' confusion
- normalize docs and code
- accept either argument

Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2010-07-16 18:00:48 UTC (rev 354)
+++ pkg/quantstrat/R/rules.R	2010-07-16 19:08:41 UTC (rev 355)
@@ -38,14 +38,14 @@
 #' @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 label arbitrary text label for rule output, NULL default will be converted to '<name>.rule'
-#' @param type one of "risk","order","rebalance","exit","entry", see Details
+#' @param type one of "risk","order","rebalance","exit","enter", see Details
 #' @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[type] list to update
 #' @param path.dep TRUE/FALSE whether rule is path dependent, default TRUE, see Details 
 #' @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) {
+add.rule <- function(strategy, name, arguments, label=NULL, type=c(NULL,"risk","order","rebalance","exit","enter"), ..., 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")
@@ -206,7 +206,7 @@
                             ruleOrderProc(portfolio=portfolio, symbol=symbol, mktdata=mktdata, timespan=timespan)
                         }
                     },
-                    rebalance =, exit = , enter = {
+                    rebalance =, exit = , enter = , entry = {
                         if(isTRUE(hold)) next()    
                         if(type=='exit'){
                             # must have a position for an exit rules to fire

Modified: pkg/quantstrat/R/traderules.R
===================================================================
--- pkg/quantstrat/R/traderules.R	2010-07-16 18:00:48 UTC (rev 354)
+++ pkg/quantstrat/R/traderules.R	2010-07-16 19:08:41 UTC (rev 355)
@@ -96,7 +96,7 @@
 #' @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 ... any other passthru parameters
-#' @param ruletype one of "risk","order","rebalance","exit","entry", see \code{\link{add.rule}}
+#' @param ruletype one of "risk","order","rebalance","exit","enter", see \code{\link{add.rule}}
 #' @export
 osNoOp <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...){
 	if(orderqty=='all'){
@@ -177,12 +177,13 @@
 #' @param orderside one of either "long" or "short" 
 #' @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 ruletype one of "risk","order","rebalance","exit","entry", see \code{\link{add.rule}}
+#' @param ruletype one of "risk","order","rebalance","exit","enter", see \code{\link{add.rule}}
 #' @param ... any other passthru parameters
 #' @seealso \code{\link{addPosLimit}},\code{\link{getPosLimit}}
 #' @export
 osMaxPos <- function(mktdata, timestamp, orderqty, ordertype, orderside, portfolio, symbol, ruletype, ...){
-    # check for current position
+	# TODO integrate orderqty='all' into osMaxPos by combining side 
+	# check for current position
     pos<-getPosQty(portfolio,symbol,timestamp)
     # check against max position
     PosLimit<-getPosLimit(portfolio,symbol,timestamp)

Modified: pkg/quantstrat/man/add.rule.Rd
===================================================================
--- pkg/quantstrat/man/add.rule.Rd	2010-07-16 18:00:48 UTC (rev 354)
+++ pkg/quantstrat/man/add.rule.Rd	2010-07-16 19:08:41 UTC (rev 355)
@@ -2,7 +2,7 @@
 \alias{add.rule}
 \title{add a rule to a strategy...}
 \usage{add.rule(strategy, name, arguments, label, type=c(NULL, "risk",
-    "order", "rebalance", "exit", "entry"), ..., enabled=TRUE,
+    "order", "rebalance", "exit", "enter"), ..., enabled=TRUE,
     indexnum, path.dep=TRUE, store=FALSE)}
 \description{add a rule to a strategy}
 \details{Rules will be processed in a very particular manner, so it bears going over.
@@ -42,7 +42,7 @@
 \item{name}{name of the rule, must correspond to an R function}
 \item{arguments}{default arguments to be passed to an rule function when executed}
 \item{label}{arbitrary text label for rule output, NULL default will be converted to '<name>.rule'}
-\item{type}{one of "risk","order","rebalance","exit","entry", see Details}
+\item{type}{one of "risk","order","rebalance","exit","enter", see Details}
 \item{...}{any other passthru parameters}
 \item{enabled}{TRUE/FALSE whether the rule is enabled for use in applying the strategy, default TRUE}
 \item{indexnum}{if you are updating a specific rule, the index number in the $rules[type] list to update}

Modified: pkg/quantstrat/man/osMaxPos.Rd
===================================================================
--- pkg/quantstrat/man/osMaxPos.Rd	2010-07-16 18:00:48 UTC (rev 354)
+++ pkg/quantstrat/man/osMaxPos.Rd	2010-07-16 19:08:41 UTC (rev 355)
@@ -18,5 +18,5 @@
 \item{orderside}{one of either "long" or "short"}
 \item{portfolio}{text name of the portfolio to place orders in}
 \item{symbol}{identifier of the instrument to place orders for.  The name of any associated price objects (xts prices, usually OHLC) should match these}
-\item{ruletype}{one of "risk","order","rebalance","exit","entry", see \code{\link{add.rule}}}
+\item{ruletype}{one of "risk","order","rebalance","exit","enter", see \code{\link{add.rule}}}
 \item{...}{any other passthru parameters}}

Modified: pkg/quantstrat/man/osNoOp.Rd
===================================================================
--- pkg/quantstrat/man/osNoOp.Rd	2010-07-16 18:00:48 UTC (rev 354)
+++ pkg/quantstrat/man/osNoOp.Rd	2010-07-16 19:08:41 UTC (rev 355)
@@ -11,4 +11,4 @@
 \item{portfolio}{text name of the portfolio to place orders in}
 \item{symbol}{identifier of the instrument to place orders for.  The name of any associated price objects (xts prices, usually OHLC) should match these}
 \item{...}{any other passthru parameters}
-\item{ruletype}{one of "risk","order","rebalance","exit","entry", see \code{\link{add.rule}}}}
+\item{ruletype}{one of "risk","order","rebalance","exit","enter", see \code{\link{add.rule}}}}