[Blotter-commits] r425 - pkg/quantstrat/R

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

Author: llevenson
Date: 2010-10-22 20:20:35 +0200 (Fri, 22 Oct 2010)
New Revision: 425

Modified:
   pkg/quantstrat/R/orders.R
   pkg/quantstrat/R/traderules.R
Log:
- In ruleOrderProc moved remqty above if statement
- In addPosLimit fixed colnames(newrow) 

Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2010-10-22 18:12:16 UTC (rev 424)
+++ pkg/quantstrat/R/orders.R	2010-10-22 18:20:35 UTC (rev 425)
@@ -580,8 +580,8 @@
 						pos<-getPosQty(portfolio,symbol,timestamp)
 						side=ordersubset[ii,]$Order.Side
 						TxnQty=as.numeric(ordersubset[ii,]$Order.Qty)
+						remqty<-TxnQty+pos
 						if(side=="long"){
-							remqty<-TxnQty+pos
 							if (remqty<0){
 								newqty<-TxnQty-remqty
 								warning("TxnQTy of",TxnQty,"would cross through zero, reducing qty to",newqty)

Modified: pkg/quantstrat/R/traderules.R
===================================================================
--- pkg/quantstrat/R/traderules.R	2010-10-22 18:12:16 UTC (rev 424)
+++ pkg/quantstrat/R/traderules.R	2010-10-22 18:20:35 UTC (rev 425)
@@ -180,9 +180,10 @@
 addPosLimit <- function(portfolio, symbol, timestamp, maxpos, longlevels=1, minpos=0, shortlevels=0){
     portf<-getPortfolio(portfolio)
     newrow <- xts(cbind(maxpos, longlevels, minpos, shortlevels),order.by=as.POSIXct(timestamp))
+	colnames(newrow)<-c("MaxPos","LongLevels","MinPos","ShortLevels")
+	
     if(is.null(portf$symbols[[symbol]]$PosLimit)) {
-        portf$symbols[[symbol]]$PosLimit <- newrow 
-        colnames(portf$symbols[[symbol]]$PosLimit)<-c("MaxPos","LongLevels","MinPos","ShortLevels")
+        portf$symbols[[symbol]]$PosLimit <- newrow         
     } else {
         if(!is.null(portf[[symbol]]$PosLimit[timestamp])){
             # it exists already, so replace