[Blotter-commits] r1256 - pkg/quantstrat/R

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

Author: opentrades
Date: 2012-11-21 02:49:36 +0100 (Wed, 21 Nov 2012)
New Revision: 1256

Modified:
   pkg/quantstrat/R/ruleOrderProc.R
   pkg/quantstrat/R/rules.R
Log:
- fixed a bug in fill timestamp of limit orders
- changed fill condition from <High to <=High, and >Lo to >=Lo to have same policy everywhere



Modified: pkg/quantstrat/R/ruleOrderProc.R
===================================================================
--- pkg/quantstrat/R/ruleOrderProc.R	2012-11-20 18:25:52 UTC (rev 1255)
+++ pkg/quantstrat/R/ruleOrderProc.R	2012-11-21 01:49:36 UTC (rev 1256)
@@ -145,15 +145,23 @@
                             # check to see if price moved through the limit                        
                             if((orderQty > 0 && orderType != 'stoplimit') || (orderQty < 0 && (orderType=='stoplimit'))) {
                                 # buy limit, or sell stoplimit
-                                if( (has.Lo(mktdata) && orderPrice > as.numeric(Lo(mktdataTimestamp))) || 
+                                if( (has.Lo(mktdata) && orderPrice >= as.numeric(Lo(mktdataTimestamp))) || 
                                     (!has.Lo(mktdata) && orderPrice >= as.numeric(getPrice(mktdataTimestamp, prefer=prefer))))
                                 {
                                     txnprice = orderPrice
                                     txntime = timestamp
+#            if(ordersubset[ii,'Rule']=='EnterLONG') 
+#            {
+#                print('Hebbes!')
+#                print(ordersubset[ii,])
+#                print(txnprice)
+#                print(txntime)
+#                print('Hebbes!!')
+#            }
                                 } else next() # price did not move through my order, should go to next order  
                             } else if((orderQty < 0 && orderType != 'stoplimit') || (orderQty > 0 && (orderType=='stoplimit'))) { 
                                 # sell limit or buy stoplimit
-                                if ( (has.Hi(mktdata) && orderPrice < as.numeric(Hi(mktdataTimestamp))) ||
+                                if ( (has.Hi(mktdata) && orderPrice <= as.numeric(Hi(mktdataTimestamp))) ||
                                      (!has.Hi(mktdata) && orderPrice <= as.numeric(getPrice(mktdataTimestamp,prefer=prefer))) )
                                 {
                                     txnprice = orderPrice

Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2012-11-20 18:25:52 UTC (rev 1255)
+++ pkg/quantstrat/R/rules.R	2012-11-21 01:49:36 UTC (rev 1256)
@@ -436,7 +436,14 @@
                     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?
+                        #
+                        # current index = which(cross[timespan])[1]
+                        # since the soonest we can get filled is next timestamp we are looking for which(cross[timespan])[2]. 
+                        # need to subtract 1 index==1 means current position
+                        #
+                        # newidx <- curIndex + which(cross[timespan])[1] #- 1  #curIndex/timestamp was 1 in the subset, we need a -1 offset?
+                        newidx <- curIndex + which(cross[timespan])[2] - 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...