[Blotter-commits] r1257 - pkg/quantstrat/R

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

Author: opentrades
Date: 2012-11-21 03:28:48 +0100 (Wed, 21 Nov 2012)
New Revision: 1257

Modified:
   pkg/quantstrat/R/ruleOrderProc.R
Log:
changed limit order fill condition for OHLC to >Lo and <Hi instead of >=Lo and <=Hi 



Modified: pkg/quantstrat/R/ruleOrderProc.R
===================================================================
--- pkg/quantstrat/R/ruleOrderProc.R	2012-11-21 01:49:36 UTC (rev 1256)
+++ pkg/quantstrat/R/ruleOrderProc.R	2012-11-21 02:28:48 UTC (rev 1257)
@@ -145,24 +145,16 @@
                             # 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))) || 
-                                    (!has.Lo(mktdata) && orderPrice >= as.numeric(getPrice(mktdataTimestamp, prefer=prefer))))
+                                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))) ||
-                                     (!has.Hi(mktdata) && orderPrice <= as.numeric(getPrice(mktdataTimestamp,prefer=prefer))) )
+                                if ( (has.Hi(mktdata) && orderPrice < as.numeric(Hi(mktdataTimestamp))) ||
+                                     (!has.Hi(mktdata) && orderPrice < as.numeric(getPrice(mktdataTimestamp,prefer=prefer))) )
                                 {
                                     txnprice = orderPrice
                                     txntime = timestamp