[Blotter-commits] r1082 - pkg/quantstrat/R

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

Author: opentrades
Date: 2012-06-28 11:43:45 +0200 (Thu, 28 Jun 2012)
New Revision: 1082

Modified:
   pkg/quantstrat/R/ruleOrderProc.R
Log:
* orderQty now set to 0 again in cases where sign and orderside do not match; stop condition removed



Modified: pkg/quantstrat/R/ruleOrderProc.R
===================================================================
--- pkg/quantstrat/R/ruleOrderProc.R	2012-06-28 09:02:35 UTC (rev 1081)
+++ pkg/quantstrat/R/ruleOrderProc.R	2012-06-28 09:43:45 UTC (rev 1082)
@@ -97,7 +97,12 @@
                 orderside<-ordersubset[ii, "Order.Side"]
                 if(((orderQty>0 && orderside=='long') || (orderQty<0 && orderside=='short')))
                 {
-                    stop('trying to exit/market/all position but orderQty sign does not match orderside')
+                    # this condition may occur if (for example) a signal triggers an 'increase LONG pos' and 'close all SHORT pos' simultaneously
+		    # hence this is legal condition, and we must 0 the orderQty to reject the order
+
+#                   warning('trying to exit/market/all position but orderQty sign ', orderQty,' does not match orderside ', orderside)
+
+		    orderQty = 0
                 }
             }
             orderQty<-as.numeric(orderQty)