[Blotter-commits] r431 - pkg/quantstrat/R

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

Author: llevenson
Date: 2010-10-25 16:40:35 +0200 (Mon, 25 Oct 2010)
New Revision: 431

Modified:
   pkg/quantstrat/R/orders.R
   pkg/quantstrat/R/traderules.R
Log:
- revert iceberg handling comments from performance tuning
- add argument for 'prefer' to address R-Forge request 1146

Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2010-10-25 12:46:19 UTC (rev 430)
+++ pkg/quantstrat/R/orders.R	2010-10-25 14:40:35 UTC (rev 431)
@@ -471,19 +471,19 @@
                             stoplimit =,
                             iceberg = {
                                 if (isOHLCmktdata){
-                                    #if( ordersubset[ii,"Order.Type"] == 'iceberg'){ # switch takes care of this
+                                    if( ordersubset[ii,"Order.Type"] == 'iceberg'){ # switch takes care of this
                                         stop("iceberg orders not supported for OHLC data")
-                                    #} 
+                                    } 
                                     # check to see if price moved through the limit
-                                    #if( orderPrice > as.numeric(Lo(mktdataTimestamp)) &
-                                    #    orderPrice < as.numeric(Hi(mktdataTimestamp)) ) 
-                                    #{
-                                    #    txnprice = orderPrice
-                                    #    txntime  = as.character(timestamp)
-                                    #} else {
+                                    if( orderPrice > as.numeric(Lo(mktdataTimestamp)) &
+                                        orderPrice < as.numeric(Hi(mktdataTimestamp)) ) 
+                                    {
+                                        txnprice = orderPrice
+                                        txntime  = as.character(timestamp)
+                                    } else {
                                         # price did not move through my order
-                                    #    next() # should go to next order
-                                    #}
+                                        next() # should go to next order
+                                    }
                                 } else if(isBBOmktdata){
                                     # check side/qty
                                     if(orderQty > 0){ # positive quantity 'buy'
@@ -499,7 +499,7 @@
                                             txntime  = as.character(timestamp)
                                         } else next()
                                     }
-                                    #if( ordersubset[ii,"Order.Type"] == 'iceberg'){
+                                    if( ordersubset[ii,"Order.Type"] == 'iceberg'){
                                         #we've transacted, so the old order was closed, put in a new one
                                         neworder<-addOrder(portfolio=portfolio,
                                                 symbol=symbol,
@@ -516,7 +516,7 @@
                                         ordersubset[ii,"Order.Status"]<-'replaced'
                                         ordersubset[ii,"Order.StatusTime"]<-as.character(timestamp)
                                         next()
-                                    #} 
+                                    } 
                                 } else {
                                     # no depth data, either OHLC or BBO, getPrice explicitly using symbol ?
                                     if(orderPrice == getPrice(mktdataTimestamp, symbol=symbol, prefer='price')){

Modified: pkg/quantstrat/R/traderules.R
===================================================================
--- pkg/quantstrat/R/traderules.R	2010-10-25 12:46:19 UTC (rev 430)
+++ pkg/quantstrat/R/traderules.R	2010-10-25 14:40:35 UTC (rev 431)
@@ -33,9 +33,10 @@
 #' @param ... any other passthru parameters
 #' @param ruletype one of "risk","order","rebalance","exit","entry", see \code{\link{add.rule}}
 #' @param TxnFees numeric fees (usually negative) or function name for calculating TxnFees (processing happens later, not in this function)
+#' @param prefer price method for getPrice
 #' @seealso \code{\link{osNoOp}} , \code{\link{add.rule}}
 #' @export
-ruleSignal <- function(data=mktdata, timestamp, sigcol, sigval, orderqty=0, ordertype, orderside=NULL, threshold=NULL, tmult=FALSE, replace=TRUE, delay=0.0001, osFUN='osNoOp', pricemethod=c('market','opside','maker'), portfolio, symbol, ..., ruletype, TxnFees=0)
+ruleSignal <- function(data=mktdata, timestamp, sigcol, sigval, orderqty=0, ordertype, orderside=NULL, threshold=NULL, tmult=FALSE, replace=TRUE, delay=0.0001, osFUN='osNoOp', pricemethod=c('market','opside','maker'), portfolio, symbol, ..., ruletype, TxnFees=0, prefer=NULL)
 {
     if(!is.function(osFUN)) osFUN<-match.fun(osFUN)
     #print(paste(symbol,timestamp))