[Blotter-commits] r1700 - pkg/quantstrat/R

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

Author: bodanker
Date: 2015-09-27 04:57:22 +0200 (Sun, 27 Sep 2015)
New Revision: 1700

Modified:
   pkg/quantstrat/R/orders.R
Log:
Improve performance of finding orders

Only perform logical comparisons for non-NULL arguments. Also, the
logical comparisons we need to do can be done on the ordersubset
coredata, since we do not need any of the functionality in Ops.xts to
find indices.

Add "rejected" as possible order status.

Also use match.arg to test whether arguments are one of the valid
choices, which allows for partial matching.



Modified: pkg/quantstrat/R/orders.R
===================================================================
--- pkg/quantstrat/R/orders.R	2015-09-23 03:05:45 UTC (rev 1699)
+++ pkg/quantstrat/R/orders.R	2015-09-27 02:57:22 UTC (rev 1700)
@@ -122,21 +122,38 @@
     if(is.null(ordersubset))
         return(NULL)
 
-    #data quality checks
-    if(!is.null(status) & !length(grep(status,c("open", "closed", "canceled", "revoked","replaced")))==1) stop(paste("order status:",status,' must be one of "open", "closed", "canceled", "revoked", or "replaced"'))
+    # Only do logical comparisons for non-NULL arguments. Use coredata to avoid
+    # Ops.xts, since we don't need any xts functionality to find indices
+    indices <- NULL
+    ordercoredata <- coredata(ordersubset)
+    if(!is.null(status)) {
+        status <- match.arg(status, c("open", "closed", "canceled", "revoked", "replaced", "rejected"))
+        ind <- ordercoredata[,"Order.Status"] == status
+        indices <- if(is.null(indices)) ind else ind & indices
+    }
     if(!is.null(ordertype)) {
-        if(is.na(charmatch(ordertype,c("market","limit","stoplimit","stoptrailing","iceberg")))){
-            stop(paste("ordertype:",ordertype,' must be one of "market","limit","stoplimit", "stoptrailing" or "iceberg"'))
-        }
+        ordertype <- match.arg(ordertype, c("market", "limit", "stoplimit", "stoptrailing", "iceberg"))
+        ind <- ordercoredata[,"Order.Type"] == ordertype
+        indices <- if(is.null(indices)) ind else ind & indices
     }
+    if(!is.null(side)) {
+        side <- match.arg(side, c("long", "short"))
+        ind <- ordercoredata[,"Order.Side"] == side
+        indices <- if(is.null(indices)) ind else ind & indices
+    }
+    if(!is.null(orderset)) {
+        ind <- ordercoredata[,"Order.Set"] == orderset
+        indices <- if(is.null(indices)) ind else ind & indices
+    }
+    if(!is.null(qtysign)) {
+        ind <- sign(as.numeric(ordercoredata[,"Order.Qty"])) == qtysign
+        indices <- if(is.null(indices)) ind else ind & indices
+    }
 
-    indices <- which(#if(!is.null(timespan)) ordersubset[timespan,which.i=TRUE] else TRUE &
-                     (if(!is.null(status)) ordersubset[,"Order.Status"]==status else TRUE) &
-                     (if(!is.null(ordertype)) ordersubset[,"Order.Type"]==ordertype else TRUE) &
-                     (if(!is.null(side)) ordersubset[,"Order.Side"]==side else TRUE) &
-                     (if(!is.null(orderset)) ordersubset[,"Order.Set"]==orderset else TRUE) &
-                     (if(!is.null(qtysign)) sign(as.numeric(ordersubset[,"Order.Qty"]))==qtysign else TRUE)
-                    )
+    if(is.null(indices))
+        indices <- 1L:nrow(ordersubset)
+    else
+        indices <- which(indices)
 
     if(isTRUE(which.i)){
         return(indices)