[Blotter-commits] r1393 - pkg/quantstrat/R

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

Author: braverock
Date: 2013-02-12 17:37:51 +0100 (Tue, 12 Feb 2013)
New Revision: 1393

Modified:
   pkg/quantstrat/R/rules.R
Log:
- fix stoptrailing where order just needs to be moved, but does not cross 
- minor cleanup where lookups not needed
- patch kudos to Joseph Dunn

Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2013-02-10 22:22:31 UTC (rev 1392)
+++ pkg/quantstrat/R/rules.R	2013-02-12 16:37:51 UTC (rev 1393)
@@ -470,7 +470,6 @@
                 trailorders<-grep('^stoptrailing$', ordersubset[oo.idx,'Order.Type'])
                 for(torder in trailorders)
                 {
-                    dindex<-get.dindex()
                     firsttime<-NULL
                     neworders<-NULL
                     onum<-oo.idx[torder]
@@ -532,12 +531,10 @@
                     }
                     tmpidx<-NULL
                     if(any(move_order)){
-                        dindex<-get.dindex()
                         #print(firsttime)
                         # find first index where we would move an order
                         orderidx<-first(which(move_order)) 
-                        if(is.null(tmpidx))
-                            tmpidx <- format(index(move_order[orderidx,]), "%Y-%m-%d %H:%M:%OS6")
+                        tmpidx <- format(index(move_order[orderidx,]), "%Y-%m-%d %H:%M:%OS6")
                         trailspan <- paste(format(firsttime, "%Y-%m-%d %H:%M:%OS6"),"::",tmpidx,sep='')
                         #make sure we don't cross before then 
                         # use sigThreshold
@@ -550,7 +547,7 @@
                             assign.dindex(c(get.dindex(),newidx))
                         } else {
                             #if we don't cross, do this
-                            moveidx<-index(mktdata[index(move_order[orderidx,]),which.i=TRUE])
+                            moveidx <- curIndex + orderidx - 1
                             assign.dindex(c(get.dindex(),moveidx))
                         }    
                     } # end any(move_order) check                            
@@ -561,7 +558,6 @@
         if(curIndex){
             if(hasmktord) { 
                 curIndex <- curIndex+1
-                dindex<-get.dindex()
             } else {
                 dindex<-get.dindex()
                 if (any(dindex > curIndex)) {