[Blotter-commits] r1626 - pkg/blotter/R

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

Author: bodanker
Date: 2014-07-27 10:31:43 +0200 (Sun, 27 Jul 2014)
New Revision: 1626

Modified:
   pkg/blotter/R/perTradeStats.R
Log:
- Fix bug in perTradeStats introduced during r1597 refactor


Modified: pkg/blotter/R/perTradeStats.R
===================================================================
--- pkg/blotter/R/perTradeStats.R	2014-07-27 00:54:14 UTC (rev 1625)
+++ pkg/blotter/R/perTradeStats.R	2014-07-27 08:31:43 UTC (rev 1626)
@@ -123,7 +123,7 @@
         Pos.PL <- trade[,"Pos.Value"]-Pos.Cost.Basis
         Pct.PL <- Pos.PL/abs(Pos.Cost.Basis)           # broken for last timestamp (fixed below)
         Tick.PL <- Pos.PL/abs(Pos.Qty)/tick_value      # broken for last timestamp (fixed below)
-        Max.Pos.Qty.loc <- which.max(Pos.Qty)          # find max position quantity location
+        Max.Pos.Qty.loc <- which.max(abs(Pos.Qty))     # find max position quantity location
 
         # position sizes
         trades$Init.Pos[i] <- Pos.Qty[1]