[Blotter-commits] r1059 - pkg/quantstrat/demo

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

Author: opentrades
Date: 2012-06-20 23:26:51 +0200 (Wed, 20 Jun 2012)
New Revision: 1059

Modified:
   pkg/quantstrat/demo/luxor.p3_2.R
Log:
* now using --vanilla and defining instruments in code
* added tradeStats()



Modified: pkg/quantstrat/demo/luxor.p3_2.R
===================================================================
--- pkg/quantstrat/demo/luxor.p3_2.R	2012-06-20 12:57:10 UTC (rev 1058)
+++ pkg/quantstrat/demo/luxor.p3_2.R	2012-06-20 21:26:51 UTC (rev 1059)
@@ -1,4 +1,4 @@
-#!/usr/bin/Rscript --no-save
+#!/usr/bin/Rscript --vanilla
 #
 # Jan Humme (@opentrades) - June 2012
 #
@@ -9,11 +9,12 @@
 .qty=100000
 .th=0.0005
 .txn=-6
+.txn=0
 
 initDate = '2002-10-21'
 .from='2002-10-21'
 .to='2008-07-04'
-#.to='2002-10-30'
+#.to='2002-10-23'
 
 ####
 
@@ -21,8 +22,17 @@
 a = 'IB1'
 
 ###
+
 require(quantstrat)
 
+currency(c('GBP', 'USD'))
+
+exchange_rate(c('GBPUSD'), tick_size=0.0001)
+
+setSymbolLookup.FI('~/R.symbols/', 'GBPUSD')
+
+###
+
 getSymbols('GBPUSD', from=.from, to=.to, verbose=FALSE)
 GBPUSD = to.minutes30(GBPUSD)
 GBPUSD = align.time(to.minutes30(GBPUSD), 1800)
@@ -135,13 +145,15 @@
 
 #
 
-#summary(s)
+###############################################################################
 
+#applyStrategy(s, p, prefer='Open', verbose = FALSE)
+applyStrategy(s, p, verbose = FALSE)
+
+updatePortf(p, Symbols='GBPUSD', ,Dates=paste('::',as.Date(Sys.time()),sep=''), Prices=GBPUSD)
+
 ###############################################################################
 
-applyStrategy(s, p, prefer='Open', verbose = FALSE)
-#applyStrategy(s, p, verbose = FALSE)
-
 chart.Posn(p, "GBPUSD")
 
 print(getOrderBook(p))
@@ -151,4 +163,5 @@
 ##txns$Net 
 cat('Net profit:', sum(txns$Net.Txn.Realized.PL), '\n')
 
-#tradeStats(p, 'GBPUSD')
+tradeStats(p, 'GBPUSD')
+