[Blotter-commits] r1353 - in pkg/quantstrat: . R man

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

Author: opentrades
Date: 2013-01-13 00:53:37 +0100 (Sun, 13 Jan 2013)
New Revision: 1353

Modified:
   pkg/quantstrat/NAMESPACE
   pkg/quantstrat/R/orders.R
   pkg/quantstrat/R/paramsets.R
   pkg/quantstrat/man/apply.paramset.Rd
Log:
- introduced put.orderbook() for better data abstraction



Modified: pkg/quantstrat/NAMESPACE
===================================================================
--- pkg/quantstrat/NAMESPACE	2013-01-12 22:46:57 UTC (rev 1352)
+++ pkg/quantstrat/NAMESPACE	2013-01-12 23:53:37 UTC (rev 1353)
@@ -26,6 +26,7 @@
 export(match.names)
 export(osMaxPos)
 export(osNoOp)
+export(put.orderbook)
 export(rm.strat)
 export(ruleOrderProc)
 export(rulePctEquity)

Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2013-01-12 22:46:57 UTC (rev 1352)
+++ pkg/quantstrat/R/orders.R	2013-01-12 23:53:37 UTC (rev 1353)
@@ -17,6 +17,31 @@
     return(orders)
 }
 
+#' put a orderbook object in .strategy env
+#' @param portfolio.st string identifying portfolio
+#' @param orderbook orderbook object
+#' @seealso getOrderBook
+#' @concept order book
+#' @export
+
+put.orderbook <- function(portfolio.st, orderbook)
+{
+    strategy.orderbook.st <- paste('order_book', portfolio.st, sep='.')
+    assign(strategy.orderbook.st, orderbook, envir=.strategy)
+}
+
+###############################################################################
+# Blotter: Tools for transaction-oriented trading systems development
+# for R (see http://r-project.org/) 
+# Copyright (c) 2008-2011 Peter Carl and Brian G. Peterson
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################
+
 #' initialize order container
 #' 
 #' This function sets up the order container by portfolio.

Modified: pkg/quantstrat/R/paramsets.R
===================================================================
--- pkg/quantstrat/R/paramsets.R	2013-01-12 22:46:57 UTC (rev 1352)
+++ pkg/quantstrat/R/paramsets.R	2013-01-12 23:53:37 UTC (rev 1353)
@@ -67,18 +67,18 @@
 {
     #must.have.args(match.call(), c('portfolio.st', 'cloned.portfolio.st'))
 
-    order.book <- getOrderBook(portfolio.st)
+    orderbook <- getOrderBook(portfolio.st)
 
     i <- 1  # TODO: find index number by name
-    names(order.book)[i] <- cloned.portfolio.st
+    names(orderbook)[i] <- cloned.portfolio.st
 
     if(strip.history == TRUE)
     {
-        for(symbol in names(order.book[[portfolio.st]]))
-            order.book[[portfolio.st]][[symbol]] <- order.book[[portfolio.st]][[symbol]][1,]
+        for(symbol in names(orderbook[[portfolio.st]]))
+            orderbook[[portfolio.st]][[symbol]] <- orderbook[[portfolio.st]][[symbol]][1,]
     }
 
-    assign(paste("order_book", cloned.portfolio.st, sep='.'), order.book, envir=.strategy)
+    put.orderbook(cloned.portfolio.st, orderbook)
 }
 
 ### local functions ############################################################
@@ -355,10 +355,8 @@
     must.be.paramset(strategy, paramset.label)
 
     portfolio <- getPortfolio(portfolio.st)
+    orderbook <- getOrderBook(portfolio.st)
 
-    order_book.st <- paste('order_book', portfolio.st, sep='.')
-    order_book <- get(order_book.st, envir=.strategy)
-
     account <- getAccount(account.st)
 
     distributions <- strategy$paramsets[[paramset.label]]$distributions
@@ -385,10 +383,9 @@
             put.portfolio(r$portfolio.st, r$portfolio)
             r$portfolio <- NULL
 
-            # move order_book from slave returned list into .strategy environment
-            full.order_book.st <- paste('order_book', r$portfolio.st, sep='.')
-            assign(full.order_book.st, r$order_book, envir=.strategy)
-            r$order_book <- NULL
+            # move orderbook from slave returned list into .strategy environment
+            put.orderbook(r$portfolio.st, r$orderbook)
+            r$orderbook <- NULL
 
             if(calc == 'master')
             {
@@ -437,10 +434,8 @@
 
         put.portfolio(portfolio.st, portfolio)
         put.account(account.st, account)
+        put.orderbook(portfolio.st, orderbook)
 
-        strategy.order_book.st <- paste('order_book', portfolio.st, sep='.')
-        assign(strategy.order_book.st, order_book, envir=.strategy)
-
         assign(strategy.st, strategy, envir=.strategy)
 
         result <- list()
@@ -462,7 +457,7 @@
                 result$user.func <- do.call(user.func, user.args)
         }
         result$portfolio <- getPortfolio(result$portfolio.st)
-        result$order_book <- getOrderBook(result$portfolio.st)
+        result$orderbook <- getOrderBook(result$portfolio.st)
 
         return(result)
     }

Modified: pkg/quantstrat/man/apply.paramset.Rd
===================================================================
--- pkg/quantstrat/man/apply.paramset.Rd	2013-01-12 22:46:57 UTC (rev 1352)
+++ pkg/quantstrat/man/apply.paramset.Rd	2013-01-12 23:53:37 UTC (rev 1353)
@@ -4,7 +4,7 @@
 \usage{
   apply.paramset(strategy.st, paramset.label, portfolio.st,
     account.st, mktdata, nsamples = 0, user.func = NULL,
-    user.args = NULL, calc = "master", verbose = FALSE)
+    user.args = NULL, calc = "slave", verbose = FALSE)
 }
 \arguments{
   \item{strategy}{the name of the strategy object}
@@ -32,7 +32,7 @@
   return all portfolios and orderbooks in the .blotter and
   .strategy environments resp: less parallelization but
   also less data transfer between slave and master; default
-  is 'master'}
+  is 'slave'}
 
   \item{verbose}{return full information, in particular the
   .blotter environment, default FALSE}