[Blotter-commits] r1427 - pkg/quantstrat/R

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

Author: bodanker
Date: 2013-04-07 00:10:42 +0200 (Sun, 07 Apr 2013)
New Revision: 1427

Modified:
   pkg/quantstrat/R/orders.R
   pkg/quantstrat/R/strategy.R
Log:
- initiate order book as NULL instead of xts template object (avoids the
  potential for the order book index to be different than the data index)


Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2013-04-06 14:23:16 UTC (rev 1426)
+++ pkg/quantstrat/R/orders.R	2013-04-06 22:10:42 UTC (rev 1427)
@@ -76,9 +76,7 @@
         symbols<-names(pfolio$symbols)
     }
     if(!is.null(symbols)){
-        for (symbol in symbols){
-            orders[[portfolio]][[symbol]] <- ordertemplate
-        }
+        orders[[portfolio]][symbols] <- list(NULL)
     } else {
         stop("You must specify a symbols list or a valid portfolio to retrieve the list from.")
     }
@@ -114,6 +112,8 @@
     orderbook <- getOrderBook(portfolio)
     if(!any(names(orderbook[[portfolio]]) == symbol)) stop(paste("symbol",symbol,"does not exist in portfolio",portfolio,"having symbols",names(orderbook[[portfolio]])))
 	    ordersubset<-orderbook[[portfolio]][[symbol]]
+    if(is.null(ordersubset))
+        return(NULL)
 
     #data quality checks
     if(!is.null(status) & !length(grep(status,c("open", "closed", "canceled", "revoked","replaced")))==1) stop(paste("order status:",status,' must be one of "open", "closed", "canceled", "revoked", or "replaced"'))
@@ -366,17 +366,12 @@
 
         if(qty[i] != 'all' || getPosQty(portfolio, symbol, timestamp) != 0)
         {
-            neworder<-xts(as.matrix(t(c(as.character(qty[i]), 
-                                            price[i], 
-                                            ordertype[i], 
-                                            side, 
-                                            threshold[i], 
-                                            status, 
-                                            statustimestamp, 
-                                            prefer[i],
-                                            orderset[i], 
-                                            TxnFees, label))), 
-                          order.by=(ordertime))
+            neworder <- xts(t(c(as.character(qty[i]), price[i], ordertype[i], 
+                side, threshold[i], status, statustimestamp, prefer[i],
+                orderset[i], TxnFees, label)), order.by=ordertime,
+                dimnames=list(NULL, c("Order.Qty", "Order.Price", "Order.Type",
+                  "Order.Side", "Order.Threshold", "Order.Status", "Order.StatusTime",
+                  "Prefer", "Order.Set", "Txn.Fees", "Rule")))
                   
             if(is.null(orders)) orders<-neworder
             else orders <- rbind(orders,neworder)

Modified: pkg/quantstrat/R/strategy.R
===================================================================
--- pkg/quantstrat/R/strategy.R	2013-04-06 14:23:16 UTC (rev 1426)
+++ pkg/quantstrat/R/strategy.R	2013-04-06 22:10:42 UTC (rev 1427)
@@ -152,7 +152,7 @@
 			
 			## Check for open orders
 			rem.orders <- suppressWarnings(getOrders(portfolio=portfolio, symbol=symbol, status="open")) #, timespan=timespan, ordertype=ordertype,which.i=TRUE)
-			if(nrow(rem.orders)>0){pd <- TRUE}
+			if(NROW(rem.orders)>0){pd <- TRUE}
             if(pd==TRUE){sret$rules$pathdep<-applyRules(portfolio=portfolio, symbol=symbol, strategy=strategy, mktdata=mktdata, Dates=NULL, indicators=sret$indicators, signals=sret$signals, parameters=parameters,  ..., path.dep=TRUE)}
 
 			ret[[portfolio]][[symbol]]<-sret