From noreply at r-forge.r-project.org  Fri May  2 17:48:00 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri,  2 May 2014 17:48:00 +0200 (CEST)
Subject: [Blotter-commits] r1606 - pkg/blotter/R
Message-ID: <20140502154800.17B01186D5F@r-forge.r-project.org>

Author: efmrforge
Date: 2014-05-02 17:47:59 +0200 (Fri, 02 May 2014)
New Revision: 1606

Modified:
   pkg/blotter/R/tradeStats.R
Log:
Fixed typo ( to { at Ann.Sharpe


Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R	2014-04-27 05:26:52 UTC (rev 1605)
+++ pkg/blotter/R/tradeStats.R	2014-05-02 15:47:59 UTC (rev 1606)
@@ -75,7 +75,7 @@
 #'    \item{Avg.Daily.PL}{mean daily realized P&L on days there were transactions, see \code{\link{dailyStats}} for all days }
 #'    \item{Med.Daily.PL}{ median daily P&L }
 #'    \item{Std.Dev.Daily.PL}{ standard deviation of daily P&L }
-#'    \item(Ann.Sharpe){annualized Sharpe-like ratio, assuming no outside capital additions and 252 day count convention}
+#'    \item{Ann.Sharpe}{annualized Sharpe-like ratio, assuming no outside capital additions and 252 day count convention}
 #'    \item{Max.Drawdown}{ max drawdown }
 #'    \item{Avg.WinLoss.Ratio}{ ratio of mean winning over mean losing trade }
 #'    \item{Med.WinLoss.Ratio}{ ratio of median winning trade over median losing trade }


From noreply at r-forge.r-project.org  Sat May  3 16:02:38 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sat,  3 May 2014 16:02:38 +0200 (CEST)
Subject: [Blotter-commits] r1607 - in pkg/blotter: . R man
Message-ID: <20140503140238.5A03818714D@r-forge.r-project.org>

Author: gsee
Date: 2014-05-03 16:02:37 +0200 (Sat, 03 May 2014)
New Revision: 1607

Modified:
   pkg/blotter/DESCRIPTION
   pkg/blotter/R/addAcctTxn.R
   pkg/blotter/man/addAcctTxn.Rd
   pkg/blotter/man/tradeStats.Rd
Log:
make docs match usage and roxygenize, bumped to 0.8.19

Modified: pkg/blotter/DESCRIPTION
===================================================================
--- pkg/blotter/DESCRIPTION	2014-05-02 15:47:59 UTC (rev 1606)
+++ pkg/blotter/DESCRIPTION	2014-05-03 14:02:37 UTC (rev 1607)
@@ -2,7 +2,7 @@
 Type: Package
 Title: Tools for transaction-oriented trading systems
     development.
-Version: 0.8.18
+Version: 0.8.19
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>

Modified: pkg/blotter/R/addAcctTxn.R
===================================================================
--- pkg/blotter/R/addAcctTxn.R	2014-05-02 15:47:59 UTC (rev 1606)
+++ pkg/blotter/R/addAcctTxn.R	2014-05-03 14:02:37 UTC (rev 1607)
@@ -2,16 +2,16 @@
 #' 
 #' For the specified Account, take in the date, amount, and type of transaction and append it to the correct list in the account object
 #' 
-#' @param name Account name, as string
+#' @param Account Account name, as string
 #' @param TxnDate  transaction date as ISO 8601, e.g., '2008-09-01' or '2010-01-05 09:54:23.12345'
 #' @param TxnType string indicating the type of account transaction, only "Addition", "Withdrawal", or "Interest" are currently supported
-#' @param amount As of now, the currency of the transaction MUST MATCH the currency of the Account.  Patches welcome.
+#' @param Amount As of now, the currency of the transaction MUST MATCH the currency of the Account.  Patches welcome.
 #' @param \dots any other passthrough parameters  
 #' @param verbose  If TRUE (default) the function prints the elements of the transaction in a line to the screen, e.g., "2007-01-08 Withdrawal 15,012,235". Suppress using FALSE.
 #' @details
 #' Adds capital transactions to a rudimentary transactions table in the Account object.  This may be useful when tracking the denominator of returns when there are changes to the account's capital or significant interest income.
 #' In the Account$summary table, there are several placeholder columns that mimic the CFTC's 13-column report.  Columns of interest here are "Additions", "Withdrawals", and "Interest".  
-#' Transactions added with this function will be added into the appropriate one of three slots in the Account object (Account$additions, Account$withdrawals, or Account$Interest), which contains an xts object of individual transactions with a date and amount.  The \code{\link{updateAcct}} function will read the transactions from each list in turn, aggregate them by the specified date scope, and slot them into the \code{Account$summary} table as it's built. \code{\link{UpdateEndEq}} should then just work.
+#' Transactions added with this function will be added into the appropriate one of three slots in the Account object (Account$additions, Account$withdrawals, or Account$Interest), which contains an xts object of individual transactions with a date and amount.  The \code{\link{updateAcct}} function will read the transactions from each list in turn, aggregate them by the specified date scope, and slot them into the \code{Account$summary} table as it's built. \code{\link{updateEndEq}} should then just work.
 #' 
 #' @seealso \code{\link{initAcct}}, \code{\link{updateAcct}}, \code{\link{updateEndEq}}
 #' @author Peter Carl
@@ -39,4 +39,4 @@
     print(paste(format(TxnDate, "%Y-%m-%d %H:%M:%S"), TxnType, Amount, sep=" "))
   
   assign(paste("account",aname,sep='.'), Account, envir=.blotter)
-}
\ No newline at end of file
+}

Modified: pkg/blotter/man/addAcctTxn.Rd
===================================================================
--- pkg/blotter/man/addAcctTxn.Rd	2014-05-02 15:47:59 UTC (rev 1606)
+++ pkg/blotter/man/addAcctTxn.Rd	2014-05-03 14:02:37 UTC (rev 1607)
@@ -6,7 +6,7 @@
   "Interest"), Amount, ..., verbose = TRUE)
 }
 \arguments{
-  \item{name}{Account name, as string}
+  \item{Account}{Account name, as string}
 
   \item{TxnDate}{transaction date as ISO 8601, e.g.,
   '2008-09-01' or '2010-01-05 09:54:23.12345'}
@@ -15,7 +15,7 @@
   transaction, only "Addition", "Withdrawal", or "Interest"
   are currently supported}
 
-  \item{amount}{As of now, the currency of the transaction
+  \item{Amount}{As of now, the currency of the transaction
   MUST MATCH the currency of the Account.  Patches
   welcome.}
 
@@ -48,7 +48,7 @@
 transactions from each list in turn, aggregate them by the
 specified date scope, and slot them into the
 \code{Account$summary} table as it's built.
-\code{\link{UpdateEndEq}} should then just work.
+\code{\link{updateEndEq}} should then just work.
 }
 \author{
 Peter Carl

Modified: pkg/blotter/man/tradeStats.Rd
===================================================================
--- pkg/blotter/man/tradeStats.Rd	2014-05-02 15:47:59 UTC (rev 1606)
+++ pkg/blotter/man/tradeStats.Rd	2014-05-03 14:02:37 UTC (rev 1607)
@@ -52,7 +52,7 @@
 \code{\link{dailyStats}} for all days }
 \item{Med.Daily.PL}{ median daily P&L }
 \item{Std.Dev.Daily.PL}{ standard deviation of daily P&L }
-\item(Ann.Sharpe){annualized Sharpe-like ratio, assuming no
+\item{Ann.Sharpe}{annualized Sharpe-like ratio, assuming no
 outside capital additions and 252 day count convention}
 \item{Max.Drawdown}{ max drawdown }
 \item{Avg.WinLoss.Ratio}{ ratio of mean winning over mean


From noreply at r-forge.r-project.org  Sun May  4 16:32:35 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sun,  4 May 2014 16:32:35 +0200 (CEST)
Subject: [Blotter-commits] r1608 - pkg/quantstrat/src
Message-ID: <20140504143235.8A81B18762B@r-forge.r-project.org>

Author: bodanker
Date: 2014-05-04 16:32:35 +0200 (Sun, 04 May 2014)
New Revision: 1608

Modified:
   pkg/quantstrat/src/firstCross.c
Log:
- patch firstCross to coerce to numeric, if necessary


Modified: pkg/quantstrat/src/firstCross.c
===================================================================
--- pkg/quantstrat/src/firstCross.c	2014-05-03 14:02:37 UTC (rev 1607)
+++ pkg/quantstrat/src/firstCross.c	2014-05-04 14:32:35 UTC (rev 1608)
@@ -3,7 +3,7 @@
 
 SEXP firstCross(SEXP x, SEXP th, SEXP rel, SEXP start)
 {
-    int i, int_rel, int_start;
+    int i, int_rel, int_start, P=0;
     double *real_x=NULL, real_th;
 
     if(ncols(x) > 1)
@@ -11,6 +11,7 @@
 
     /* this currently only works for real x and th arguments
      * support for other types may be added later */
+    PROTECT(x = coerceVector(x, REALSXP)); P++;
     real_th = asReal(th);
     int_rel = asInteger(rel);
     int_start = asInteger(start)-1;
@@ -49,6 +50,7 @@
         default:
             error("unsupported relationship operator");
   }
+  UNPROTECT(P);
   /* return number of observations if relationship is never TRUE */
   return(ScalarInteger(nrows(x)));
 }


From noreply at r-forge.r-project.org  Thu May  8 13:08:00 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu,  8 May 2014 13:08:00 +0200 (CEST)
Subject: [Blotter-commits] r1609 - pkg/quantstrat/src
Message-ID: <20140508110800.75DDF1873CC@r-forge.r-project.org>

Author: bodanker
Date: 2014-05-08 13:08:00 +0200 (Thu, 08 May 2014)
New Revision: 1609

Modified:
   pkg/quantstrat/src/firstCross.c
Log:
- Fix protect stack imbalance


Modified: pkg/quantstrat/src/firstCross.c
===================================================================
--- pkg/quantstrat/src/firstCross.c	2014-05-04 14:32:35 UTC (rev 1608)
+++ pkg/quantstrat/src/firstCross.c	2014-05-08 11:08:00 UTC (rev 1609)
@@ -16,42 +16,54 @@
     int_rel = asInteger(rel);
     int_start = asInteger(start)-1;
 
+    /* return number of observations if relationship is never TRUE */
+    SEXP result = ScalarInteger(nrows(x));
+
     switch(int_rel) {
         case 1:  /* >  */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] >  real_th)
-                    return(ScalarInteger(i+1));
+                if(real_x[i] >  real_th) {
+                    result = ScalarInteger(i+1);
+                    break;
+                }
             break;
         case 2:  /* <  */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] <  real_th)
-                    return(ScalarInteger(i+1));
+                if(real_x[i] >  real_th) {
+                    result = ScalarInteger(i+1);
+                    break;
+                }
             break;
         case 3:  /* == */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] == real_th)
-                    return(ScalarInteger(i+1));
+                if(real_x[i] >  real_th) {
+                    result = ScalarInteger(i+1);
+                    break;
+                }
             break;
         case 4:  /* >= */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] >= real_th)
-                    return(ScalarInteger(i+1));
+                if(real_x[i] >  real_th) {
+                    result = ScalarInteger(i+1);
+                    break;
+                }
             break;
         case 5:  /* <= */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] <= real_th)
-                    return(ScalarInteger(i+1));
+                if(real_x[i] >  real_th) {
+                    result = ScalarInteger(i+1);
+                    break;
+                }
             break;
         default:
             error("unsupported relationship operator");
   }
   UNPROTECT(P);
-  /* return number of observations if relationship is never TRUE */
-  return(ScalarInteger(nrows(x)));
+  return(result);
 }
 


From noreply at r-forge.r-project.org  Fri May  9 13:23:40 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Fri,  9 May 2014 13:23:40 +0200 (CEST)
Subject: [Blotter-commits] r1610 - pkg/quantstrat/src
Message-ID: <20140509112340.4267618767F@r-forge.r-project.org>

Author: bodanker
Date: 2014-05-09 13:23:39 +0200 (Fri, 09 May 2014)
New Revision: 1610

Modified:
   pkg/quantstrat/src/firstCross.c
Log:
- Fix careless copy/paste error from r1609


Modified: pkg/quantstrat/src/firstCross.c
===================================================================
--- pkg/quantstrat/src/firstCross.c	2014-05-08 11:08:00 UTC (rev 1609)
+++ pkg/quantstrat/src/firstCross.c	2014-05-09 11:23:39 UTC (rev 1610)
@@ -31,7 +31,7 @@
         case 2:  /* <  */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] >  real_th) {
+                if(real_x[i] <  real_th) {
                     result = ScalarInteger(i+1);
                     break;
                 }
@@ -39,7 +39,7 @@
         case 3:  /* == */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] >  real_th) {
+                if(real_x[i] == real_th) {
                     result = ScalarInteger(i+1);
                     break;
                 }
@@ -47,7 +47,7 @@
         case 4:  /* >= */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] >  real_th) {
+                if(real_x[i] >= real_th) {
                     result = ScalarInteger(i+1);
                     break;
                 }
@@ -55,7 +55,7 @@
         case 5:  /* <= */
             real_x = REAL(x);
             for(i=int_start; i<nrows(x); i++)
-                if(real_x[i] >  real_th) {
+                if(real_x[i] <= real_th) {
                     result = ScalarInteger(i+1);
                     break;
                 }


From noreply at r-forge.r-project.org  Mon May 19 11:48:41 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Mon, 19 May 2014 11:48:41 +0200 (CEST)
Subject: [Blotter-commits] r1611 - pkg/quantstrat/R
Message-ID: <20140519094841.8B9C9186D5E@r-forge.r-project.org>

Author: bodanker
Date: 2014-05-19 11:48:41 +0200 (Mon, 19 May 2014)
New Revision: 1611

Modified:
   pkg/quantstrat/R/rules.R
Log:
- patch 'prefer' handling for univariate series. Thanks to Gaurav Singhal and
  Paul Seymour for the reports and reproducible examples.


Modified: pkg/quantstrat/R/rules.R
===================================================================
--- pkg/quantstrat/R/rules.R	2014-05-09 11:23:39 UTC (rev 1610)
+++ pkg/quantstrat/R/rules.R	2014-05-19 09:48:41 UTC (rev 1611)
@@ -516,6 +516,7 @@
               posQty = getPrice(mktdata, prefer='close')[,1],
               negQty = getPrice(mktdata, prefer='close')[,1]))
     } else { # univariate or something built with fn_SpreadBuilder
+        prefer <- if(hasArg("prefer")) match.call(expand.dots=TRUE)$prefer else NULL
         mktPrices <- list(
           stoplimit = list(
               price = getPrice(mktdata, prefer=prefer)[,1]),


From noreply at r-forge.r-project.org  Thu May 22 12:06:24 2014
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Thu, 22 May 2014 12:06:24 +0200 (CEST)
Subject: [Blotter-commits] r1612 - pkg/blotter/R
Message-ID: <20140522100624.BBEAE18735F@r-forge.r-project.org>

Author: bodanker
Date: 2014-05-22 12:06:24 +0200 (Thu, 22 May 2014)
New Revision: 1612

Modified:
   pkg/blotter/R/tradeStats.R
Log:
- Patch dailyStats to capture lowercase variants of 'use'
  Thanks to Lou Belle for the report


Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R	2014-05-19 09:48:41 UTC (rev 1611)
+++ pkg/blotter/R/tradeStats.R	2014-05-22 10:06:24 UTC (rev 1612)
@@ -330,10 +330,10 @@
 {
     use=use[1] #take the first value if the user didn't specify
     switch (use,
-            Eq = , Equity =, cumPL = {
+            Eq =, eq =, Equity =, equity =, cumPL = {
                 dailyPL <- dailyEqPL(Portfolios)
             },
-            Txns =, Trades = {
+            Txns =, txns =, Trades =, trades = {
                 dailyPL <- dailyTxnPL(Portfolios)
             }
             )