[Blotter-commits] r1730 - in pkg/quantstrat: R man

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

Author: bodanker
Date: 2016-01-09 00:10:37 +0100 (Sat, 09 Jan 2016)
New Revision: 1730

Modified:
   pkg/quantstrat/R/ruleRevoke.R
   pkg/quantstrat/man/ruleRevoke.Rd
Log:
Only cancel/revoke open orders

ruleRevoke would incorrectly revoke all orders, all the time (even
closed orders). Add curIndex handling for faster processing, and add a
check to ensure updateOrders is called appropriately (ruleSignal has
a similar check). Update docs to add '...' to function arguments.

Thanks to Joseph Dunn for the report and patch!


Modified: pkg/quantstrat/R/ruleRevoke.R
===================================================================
--- pkg/quantstrat/R/ruleRevoke.R	2015-12-26 19:19:52 UTC (rev 1729)
+++ pkg/quantstrat/R/ruleRevoke.R	2016-01-08 23:10:37 UTC (rev 1730)
@@ -18,15 +18,25 @@
 #' @param portfolio text name of the portfolio to place orders in
 #' @param symbol identifier of the instrument to revoke orders for
 #' @param ruletype must be 'risk' for ruleRevoke, see \code{\link{add.rule}}
+#' @param ... any other passthru parameters
 #' @author Niklas Kolster, Jan Humme
 #' @seealso \code{\link{osNoOp}} , \code{\link{add.rule}}
 #' @export
-ruleRevoke <- ruleCancel <- function(data=mktdata, timestamp, sigcol, sigval, orderside=NULL, orderset=NULL, portfolio, symbol, ruletype)
+ruleRevoke <- ruleCancel <- function(data=mktdata, timestamp, sigcol, sigval, orderside=NULL, orderset=NULL, portfolio, symbol, ruletype, ...)
 {
-    if(ruletype!='risk') stop('Ruletype for ruleRevoke or ruleCancel must be "risk".')
+    if (ruletype != 'risk') {
+        stop('Ruletype for ruleRevoke or ruleCancel must be "risk".')
+    }
 
-    pos <- getPosQty(portfolio, symbol, timestamp)
-    if(pos == 0)
+    # Get row index of timestamp for faster subsetting
+    if (hasArg(curIndex)) {
+        curIndex <- eval(match.call(expand.dots=TRUE)$curIndex, parent.frame())
+    } else {
+        curIndex <- mktdata[timestamp,which.i=TRUE]
+    }
+
+    if (curIndex > 0 && curIndex <= nrow(mktdata) &&
+        !is.na(mktdata[curIndex,sigcol]) && mktdata[curIndex,sigcol] == sigval)
     {
         updateOrders(portfolio=portfolio, 
                   symbol=symbol, 

Modified: pkg/quantstrat/man/ruleRevoke.Rd
===================================================================
--- pkg/quantstrat/man/ruleRevoke.Rd	2015-12-26 19:19:52 UTC (rev 1729)
+++ pkg/quantstrat/man/ruleRevoke.Rd	2016-01-08 23:10:37 UTC (rev 1730)
@@ -5,7 +5,7 @@
 \title{rule to revoke(cancel) an unfilled limit order on a signal}
 \usage{
 ruleRevoke(data = mktdata, timestamp, sigcol, sigval, orderside = NULL,
-  orderset = NULL, portfolio, symbol, ruletype)
+  orderset = NULL, portfolio, symbol, ruletype, ...)
 }
 \arguments{
 \item{data}{an xts object containing market data.  depending on rules, may need to be in OHLCV or BBO formats, and may include indicator and signal information}
@@ -25,6 +25,8 @@
 \item{symbol}{identifier of the instrument to revoke orders for}
 
 \item{ruletype}{must be 'risk' for ruleRevoke, see \code{\link{add.rule}}}
+
+\item{...}{any other passthru parameters}
 }
 \description{
 As described elsewhere in the documentation, quantstrat models