From noreply at r-forge.r-project.org  Wed Jan 15 16:20:23 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Wed, 15 Jan 2014 16:20:23 +0100 (CET)
Subject: [Blotter-commits] r1582 - pkg/quantstrat/R
Message-ID: <20140115152023.377B018639C@r-forge.r-project.org>

Author: bodanker
Date: 2014-01-15 16:20:22 +0100 (Wed, 15 Jan 2014)
New Revision: 1582

Modified:
   pkg/quantstrat/R/tradeOrderStats.R
Log:
- ensure closed.xts indexTZ is same as orderbook


Modified: pkg/quantstrat/R/tradeOrderStats.R
===================================================================
--- pkg/quantstrat/R/tradeOrderStats.R	2013-12-16 01:43:42 UTC (rev 1581)
+++ pkg/quantstrat/R/tradeOrderStats.R	2014-01-15 15:20:22 UTC (rev 1582)
@@ -44,7 +44,7 @@
 	stats.xts <- as.xts(stats.table, order.by=stats.table$End)
 	orderbook <- getOrderBook(portfolio=portfolio)[[portfolio]][[symbol]]
 	closed <- orderbook[which(orderbook$Order.Status=='closed'),]
-	closed.xts <- xts(closed, as.POSIXct(as.vector(closed$Order.StatusTime), format='%Y-%m-%d %H:%M:%OS'))
+	closed.xts <- xts(closed, as.POSIXct(as.character(closed$Order.StatusTime), tz=indexTZ(closed), format="%Y-%m-%d %H:%M:%OS"))
 	merged.table <- merge(closed.xts,stats.xts)
 	merged.closed <- merged.table[index(stats.xts)]
 	return(merged.closed)


From noreply at r-forge.r-project.org  Thu Jan 16 13:36:14 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu, 16 Jan 2014 13:36:14 +0100 (CET)
Subject: [Blotter-commits] r1583 - pkg/quantstrat/R
Message-ID: <20140116123614.BE871186640@r-forge.r-project.org>

Author: opentrades
Date: 2014-01-16 13:36:14 +0100 (Thu, 16 Jan 2014)
New Revision: 1583

Modified:
   pkg/quantstrat/R/ruleOrderProc.R
Log:
- fixed broken tif code:
-- time format now accepts both %H:%M:%S and %H:%M:%0S
-- expiration now based on comparison with timestamp i.o. index(ordersubset)



Modified: pkg/quantstrat/R/ruleOrderProc.R
===================================================================
--- pkg/quantstrat/R/ruleOrderProc.R	2014-01-15 15:20:22 UTC (rev 1582)
+++ pkg/quantstrat/R/ruleOrderProc.R	2014-01-16 12:36:14 UTC (rev 1583)
@@ -65,13 +65,21 @@
   OpenOrders.i<-getOrders(portfolio=portfolio, symbol=symbol, status="open", timespan=timespan, ordertype=ordertype, which.i=TRUE)
 
   #extract time in force for open orders
-  tif <- ordersubset[OpenOrders.i, 'Time.In.Force']
-  if(any(!tif=='')){
-    if (class(index(ordersubset))=='Date') tif <- as.Date(tif)
-    else tif <- strptime(tif, format='%Y-%m-%d %H:%M:%0S')
+  tif.xts <- ordersubset[OpenOrders.i, 'Time.In.Force']
+  if(any(!tif.xts==''))
+  {
+    if (class(index(ordersubset))=='Date')
+        tif <- as.Date(tif.xts)
+    else
+    {
+        tif <- strptime(tif.xts, format='%Y-%m-%d %H:%M:%0S')
+        if(is.na(tif))
+		tif <- strptime(tif.xts, format='%Y-%m-%d %H:%M:%S')
+    }
+
     #check which ones should be expired
-    ExpiredOrders.i<-which(tif<index(ordersubset[OpenOrders.i]))
-    #mark them expired
+    ExpiredOrders.i<-which(tif<timestamp)
+
     ordersubset[OpenOrders.i[ExpiredOrders.i], "Order.Status"] = 'expired'  
     ordersubset[OpenOrders.i[ExpiredOrders.i], "Order.StatusTime"]<-ordersubset[OpenOrders.i[ExpiredOrders.i], "Time.In.Force"]
   }


From noreply at r-forge.r-project.org  Thu Jan 23 23:59:52 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu, 23 Jan 2014 23:59:52 +0100 (CET)
Subject: [Blotter-commits] r1584 - pkg/blotter/R
Message-ID: <20140123225953.0C45F186888@r-forge.r-project.org>

Author: bodanker
Date: 2014-01-23 23:59:52 +0100 (Thu, 23 Jan 2014)
New Revision: 1584

Modified:
   pkg/blotter/R/chart.Posn.R
Log:
- Make chart.Posn work with only one transaction. Reported by Mark Knecht.


Modified: pkg/blotter/R/chart.Posn.R
===================================================================
--- pkg/blotter/R/chart.Posn.R	2014-01-16 12:36:14 UTC (rev 1583)
+++ pkg/blotter/R/chart.Posn.R	2014-01-23 22:59:52 UTC (rev 1584)
@@ -50,7 +50,7 @@
 
     Position = Portfolio$symbols[[Symbol]]$txn$Pos.Qty
 
-    if(!nrow(Position)>1) stop ('no transactions/positions to chart')
+    if(nrow(Position)<1) stop ('no transactions/positions to chart')
 
     if(as.POSIXct(first(index(Prices)))<as.POSIXct(first(index(Position)))) Position<-rbind(xts(0,order.by=first(index(Prices)-1)),Position)
     Positionfill = na.locf(merge(Position,index(Prices)))