[Blotter-commits] r1566 - in pkg/quantstrat: . R man

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

Author: bodanker
Date: 2013-11-09 01:02:24 +0100 (Sat, 09 Nov 2013)
New Revision: 1566

Modified:
   pkg/quantstrat/DESCRIPTION
   pkg/quantstrat/R/paramsets.R
   pkg/quantstrat/man/apply.paramset.Rd
Log:
- allow user-supplied paramsets
- pass '...' to updatePortf and applyStrategy
- don't specify Dates/Prices in updatePorf (they may be in '...')
- set .maxcombine to work if param.combos only has 1 row
- bump version


Modified: pkg/quantstrat/DESCRIPTION
===================================================================
--- pkg/quantstrat/DESCRIPTION	2013-11-04 20:15:00 UTC (rev 1565)
+++ pkg/quantstrat/DESCRIPTION	2013-11-09 00:02:24 UTC (rev 1566)
@@ -1,7 +1,7 @@
 Package: quantstrat
 Type: Package
 Title: Quantitative Strategy Model Framework
-Version: 0.7.11
+Version: 0.8.0
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson, Joshua Ulrich, Jan Humme
 Depends:

Modified: pkg/quantstrat/R/paramsets.R
===================================================================
--- pkg/quantstrat/R/paramsets.R	2013-11-04 20:15:00 UTC (rev 1565)
+++ pkg/quantstrat/R/paramsets.R	2013-11-09 00:02:24 UTC (rev 1566)
@@ -361,13 +361,14 @@
 #' @param packages a vector specifying names of R packages to be loaded by the slave, default NULL
 #' @param audit a user-specified environment to store a copy of all portfolios, orderbooks and other data from the tests, or NULL to trash this information
 #' @param verbose return full information, in particular the .blotter environment, default FALSE
+#' @param paramsets a user-sepcified (sub)set of paramsets to run
 #' @param ... any other passthru parameters
 #'
 #' @author Jan Humme
 #' @export
 #' @seealso \code{\link{add.distribution.constraint}}, \code{\link{add.distribution.constraint}}, \code{\link{delete.paramset}}
 
-apply.paramset <- function(strategy.st, paramset.label, portfolio.st, account.st, mktdata=NULL, nsamples=0, user.func=NULL, user.args=NULL, calc='slave', audit=NULL, packages=NULL, verbose=FALSE, ...)
+apply.paramset <- function(strategy.st, paramset.label, portfolio.st, account.st, mktdata=NULL, nsamples=0, user.func=NULL, user.args=NULL, calc='slave', audit=NULL, packages=NULL, verbose=FALSE, paramsets, ...)
 {
     must.have.args(match.call(), c('strategy.st', 'paramset.label', 'portfolio.st'))
 
@@ -383,11 +384,17 @@
     distributions <- strategy$paramsets[[paramset.label]]$distributions
     constraints <- strategy$paramsets[[paramset.label]]$constraints
 
-    param.combos <- expand.distributions(distributions)
-    param.combos <- apply.constraints(constraints, distributions, param.combos)
-    rownames(param.combos) <- NULL  # reset rownames
-    if(nsamples > 0)
-        param.combos <- select.samples(nsamples, param.combos)
+    if(missing(paramsets))
+    {
+        param.combos <- expand.distributions(distributions)
+        param.combos <- apply.constraints(constraints, distributions, param.combos)
+        param.combos <- expand.constrained.distributions(constraints, distributions)
+        rownames(param.combos) <- NULL  # reset rownames
+        if(nsamples > 0)
+            param.combos <- select.samples(nsamples, param.combos)
+    } else {
+        param.combos <- paramsets
+    }
 
     env.functions <- c('clone.portfolio', 'clone.orderbook', 'install.param.combo')
     env.instrument <- as.list(FinancialInstrument:::.instrument)
@@ -417,7 +424,7 @@
             if(calc == 'master')
             {
                 # calculate tradeStats on portfolio
-                updatePortf(r$portfolio.st, Dates=paste('::',as.Date(Sys.time()),sep=''), Prices=mktdata)
+                updatePortf(r$portfolio.st, ...)
                 r$tradeStats <- tradeStats(r$portfolio.st)
 
                 # run user specified function, if they provided one
@@ -438,11 +445,18 @@
         return(results)
     }
 
-    results <- foreach(param.combo=iter(param.combos,by='row'),
+    # create foreach object
+    fe <- foreach(param.combo=iter(param.combos,by='row'),
         .verbose=verbose, .errorhandling='pass',
         .packages=c('quantstrat', packages),
-        .combine=combine, .multicombine=TRUE, .maxcombine=nrow(param.combos),
-        .export=c(env.functions, 'env.instrument')) %dopar%
+        .combine=combine, .multicombine=TRUE, .maxcombine=max(2,nrow(param.combos)),
+        .export=c(env.functions, 'env.instrument'), ...)
+    # remove all but the param.combo iterator before calling %dopar%
+    # this allows us to pass '...' through foreach to the expression
+    fe$args <- fe$args[1]
+    fe$argnames <- fe$argnames[1]
+    # now call %dopar%
+    results <- fe %dopar%
     {
         print(param.combo)
 
@@ -501,7 +515,7 @@
 
         if(calc == 'slave')
         {
-            updatePortf(result$portfolio.st, Dates=paste('::',as.Date(Sys.time()),sep=''), Prices=mktdata, ...)
+            updatePortf(result$portfolio.st, ...)
             result$tradeStats <- tradeStats(result$portfolio.st)
 
             if(!is.null(user.func) && !is.null(user.args))

Modified: pkg/quantstrat/man/apply.paramset.Rd
===================================================================
--- pkg/quantstrat/man/apply.paramset.Rd	2013-11-04 20:15:00 UTC (rev 1565)
+++ pkg/quantstrat/man/apply.paramset.Rd	2013-11-09 00:02:24 UTC (rev 1566)
@@ -5,7 +5,8 @@
   apply.paramset(strategy.st, paramset.label, portfolio.st,
     account.st, mktdata = NULL, nsamples = 0,
     user.func = NULL, user.args = NULL, calc = "slave",
-    audit = NULL, packages = NULL, verbose = FALSE, ...)
+    audit = NULL, packages = NULL, verbose = FALSE,
+    paramsets, ...)
 }
 \arguments{
   \item{strategy.st}{the name of the strategy object}
@@ -50,6 +51,9 @@
   \item{verbose}{return full information, in particular the
   .blotter environment, default FALSE}
 
+  \item{paramsets}{a user-sepcified (sub)set of paramsets
+  to run}
+
   \item{...}{any other passthru parameters}
 }
 \description{