[Blotter-commits] r616 - in pkg/quantstrat: . R

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

Author: gsee
Date: 2011-06-08 19:30:21 +0200 (Wed, 08 Jun 2011)
New Revision: 616

Modified:
   pkg/quantstrat/DESCRIPTION
   pkg/quantstrat/R/rules.R
Log:
-orders were being compared to wrong columns to check for fills.
-curIndex was being decremented where it should not have been.
-PLEASE TEST. This is fundamentally a big change.


Modified: pkg/quantstrat/DESCRIPTION
===================================================================
--- pkg/quantstrat/DESCRIPTION	2011-06-08 17:27:27 UTC (rev 615)
+++ pkg/quantstrat/DESCRIPTION	2011-06-08 17:30:21 UTC (rev 616)
@@ -3,7 +3,7 @@
 Title: Quantitative Strategy Model Framework
 Version: 0.4.0
 Date: $Date$
-Author: Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey A. Ryan, Joshua Ulrich
+Author: Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey A. Ryan, Joshua Ulrich, Garrett See
 Depends: xts(>= 0.7-6.15),TTR(>= 0.2),blotter(>= 0.7.2), FinancialInstrument, quantmod (>= 0.3-14)
 Suggests: PerformanceAnalytics,PortfolioAnalytics
 Maintainer: Jeffrey A. Ryan <jeff.a.ryan at gmail.com>

Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2011-06-08 17:27:27 UTC (rev 615)
+++ pkg/quantstrat/R/rules.R	2011-06-08 17:30:21 UTC (rev 616)
@@ -296,7 +296,7 @@
 
     #we could maybe do something more sophisticated, but this should work
     if(isTRUE(path.dep)){
-        dindex<-c(1,length(Dates)-1) # set the dimension reduction/loop jumping index vector
+        dindex<-c(1,length(Dates))# -1) # set the dimension reduction/loop jumping index vector
         assign.dindex(dindex)
         #pre-process for dimension reduction here
         for ( type in names(strategy$rules)){
@@ -347,7 +347,7 @@
             isOHLCmktdata <- is.OHLC(mktdata)
             isBBOmktdata  <- is.BBO(mktdata)
             #check for open orders at curIndex
-            timespan<-paste(timestamp,"::",sep='')
+            timespan<-paste(timestamp,"::",sep='') #no check to see if timestamp came through dots? Does it come from the search path? -gsee
             if(nrow(ordersubset[oo.idx,][timespan])==0){
                 # no open orders between now and the next index
                 nidx=FALSE
@@ -374,7 +374,7 @@
                         tmpprice<-as.numeric(ordersubset[oo.idx[lorder],'Order.Price'])
                         if(tmpqty>0){
                             #buying
-                            relationship="gte"
+                            relationship="lte" #look for places where Mkt Ask <= our Bid
                             if(isBBOmktdata) {
                                 col<-first(colnames(mktdata)[has.Ask(mktdata,which=TRUE)])
                             } else if (isOHLCmktdata) {
@@ -386,7 +386,7 @@
                             }
                         } else {
                             #selling
-                            relationship="lte"
+                            relationship="gte" #look for places where Mkt Bid >= our Ask
                             if(isBBOmktdata) {
                                 col<-first(colnames(mktdata)[has.Bid(mktdata,which=TRUE)])
                             } else if (isOHLCmktdata) {
@@ -400,7 +400,13 @@
                         cross<-sigThreshold(label='tmplimit',column=col,threshold=tmpprice,relationship=relationship)
                         if(any(cross[timespan])){
                             # find first index that would cross after this index
-                            newidx <- curIndex + which(cross[timespan])[1] - 1  #curIndex/timestamp was 1 in the subset, we need a -1 offset?
+                            newidx <- curIndex + which(cross[timespan])[1] #- 1  #curIndex/timestamp was 1 in the subset, we need a -1 offset?
+                            #if there are is no cross curIndex will be incremented on line 496
+                            # with curIndex<-min(dindex[dindex>curIndex]).                            
+                            #we cannot get filled at this timestamp. The soonest we could get filled is next timestamp...
+                            #see also that market order increments curIndex before returning it. Going by the docs,
+                            #I think this is by design. i.e. no instant fills. -gsee
+                            
                             # insert that into dindex
                             assign.dindex(c(get.dindex(),newidx))                  
                         } else{
@@ -482,12 +488,12 @@
                 } # end if for trailing orders
             } # end else clause for any open orders in this timespan    
         } # end any open orders closure
-        if(nidx) {
+        if(nidx) { #This will never evaluate to TRUE; if it has a purpose, it's a bug. -gsee
             curIndex <- curIndex+1
             dindex<-get.dindex()
         } else {
             dindex<-get.dindex()
-            curIndex<-min(dindex[dindex>curIndex])
+            curIndex<-min(dindex[dindex>curIndex]) 
         }
         if (is.na(curIndex) || curIndex >= length(index(mktdata))) curIndex=FALSE
         
@@ -563,7 +569,7 @@
                     }
             ) # end switch
         } #end type loop
-        if(isTRUE(path.dep)) curIndex<-nextIndex(curIndex, ...)
+        if(isTRUE(path.dep)) curIndex<-nextIndex(curIndex, ...) #timestamp comes from environment, not dots? -gsee
         else curIndex=FALSE
     } # end index while loop
 
@@ -578,7 +584,8 @@
 # R (http://r-project.org/) Quantitative Strategy Model Framework
 #
 # Copyright (c) 2009-2011
-# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich 
+# Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, 
+# Jeffrey Ryan, Joshua Ulrich, and Garrett See 
 #
 # This library is distributed under the terms of the GNU Public License (GPL)
 # for full details see the file COPYING