[Blotter-commits] r837 - pkg/quantstrat/R

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

Author: bodanker
Date: 2011-11-06 01:53:52 +0100 (Sun, 06 Nov 2011)
New Revision: 837

Modified:
   pkg/quantstrat/R/orders.R
Log:
- add check to prevent creating a position on the opposite order side


Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2011-11-05 18:43:54 UTC (rev 836)
+++ pkg/quantstrat/R/orders.R	2011-11-06 00:53:52 UTC (rev 837)
@@ -627,17 +627,27 @@
                         # else next
                     }
             )
-            #if(!is.null(txnprice) & !isTRUE(is.na(txnprice)))
-            if(ifelse(is.null(txnprice),FALSE,!is.na(txnprice))) {  # eliminate warning for is.na(NULL) -- jmu
+            if(!is.null(txnprice) && !isTRUE(is.na(txnprice))) {
                 #make sure we don't cross through zero
-
                 pos<-getPosQty(portfolio,symbol,timestamp)
-                              pos<-getPosQty(portfolio,symbol,timestamp)
-                if ( (pos > 0 && orderQty < -pos) || (pos < 0 && orderQty > -pos) ){
+                if ( (pos > 0 && orderQty < -pos) || (pos < 0 && orderQty > -pos) ) {
                     warning("orderQty of ",orderQty,
-                            " would cross through zero, adjusting qty to ",-pos)                       
+                            " would cross through zero, adjusting qty to ",-pos)
                     orderQty <- -pos
                 }
+                # make sure we don't create a position on the opposite order side
+                # FIXME: this should really be something like:
+                #  1> tell updateOrders to cancel all risk orders if the position is zero and
+                #     after the ordersubset is put back into the order book
+                #  2> delay processing risk orders with orderqty='all'
+                orderSide <- ordersubset[ii,"Order.Side"]
+                if ((orderSide == "long"  && orderQty + pos < 0) ||
+                    (orderSide == "short" && orderQty + pos > 0) ) {
+                    warning("orderQty of ", orderQty, " would create a ",
+                      grep(orderSide,c("long","short"),invert=TRUE,value=TRUE),
+                      " postion adjusting qty to ",-pos)
+                    orderQty <- -pos
+                }
                 if (orderQty != 0) {
                     #now add the transaction
                     addTxn(Portfolio=portfolio, Symbol=symbol, TxnDate=txntime,