[R-SIG-Finance] quantstrat for live trading - some questions

[me at censix.com]

Hi all

this is mainly directed to the developers of the great "quantstrat"
package. I am happy to continue this conversation with any of them
individually.

I have been backtesting some strategies on quantstrat. In order to take
them live (through the ibrokers package) I have recently begun to write my
own versions of some key quantstrat functions, i.e. applyStrategy,
applyRules and ruleOrderProc (addOrder is to follow)

One thing I have been looking at is how to make the "applyRules" function
process only one timestamp at a time (process all rules only for one
specific marketdata timestamp). I consider my solution to this problem to
be a rather ugly fix that I would really like to avoid, since essentially
it looks like the "applyRules" function has already been designed for that
sort of thing, but the implementation seems to be buggy or I just don't
understand it.

I am asking for some help from the list. I have attached my slightly
modified version of "applyRules" and am hoping to get some comments that
will make me "see the light" here.

Thanks and best regards

Soren








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