[Blotter-commits] r840 - pkg/quantstrat/R

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

Author: gsee
Date: 2011-11-06 15:40:25 +0100 (Sun, 06 Nov 2011)
New Revision: 840

Modified:
   pkg/quantstrat/R/orders.R
Log:
 differentiate between limit and stoplimit

Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2011-11-06 13:36:50 UTC (rev 839)
+++ pkg/quantstrat/R/orders.R	2011-11-06 14:40:25 UTC (rev 840)
@@ -478,15 +478,17 @@
                             if( orderType == 'iceberg'){
                                 stop("iceberg orders only supported for BBO data")
                             } 
-                            # check to see if price moved through the limit
-                            if(orderQty < 0) { # negative quantity 'sell'
+                            # check to see if price moved through the limit                        
+                            if(orderQty > 0 || (orderQty < 0 && orderType == 'stoplimit') ) {  
+                                # buy limit, or sell stoplimit
                                 if( (has.Lo(mktdata) && orderPrice > as.numeric(Lo(mktdataTimestamp))) || 
                                     (!has.Lo(mktdata) && orderPrice >= as.numeric(getPrice(mktdataTimestamp, prefer=prefer))))
                                 {
                                     txnprice = orderPrice
                                     txntime = timestamp
                                 } else next() # price did not move through my order, should go to next order  
-                            } else if(orderQty > 0) { # positive quantity 'buy'
+                            } else if(orderQty < 0 || (orderQty > 0 && orderType == 'stoplimit')) { 
+                                # sell limit or buy stoplimit
                                 if ( (has.Hi(mktdata) && orderPrice < as.numeric(Hi(mktdataTimestamp))) ||
                                      (!has.Hi(mktdata) && orderPrice <= as.numeric(getPrice(mktdataTimestamp,prefer=prefer))) )
                                 {