[R-SIG-Finance] quantstrat: A bug in rules.R for stoplimits?

[Ivan Popivanov]

The code which decides the next index for stoplimit orders looks like:

cross<-sigThreshold(label='tmpstop',column=col,threshold=tmpprice,relationship=relationship)
if(any(cross[timespan])){
                        # find first index that would cross after this index
                        newidx <- curIndex + which(cross[timespan])[1] - 1
                        # insert that into dindex
                        assign.dindex(c(get.dindex(),newidx))
                    }

To me, what the above says is: if we have a cross, set the new index to the
first cross. However, the first cross could be the timestamp corresponding
to the current index (easiest to repro by hacking the Low price for a long
stoplimit). If that's the case, newidx is set to the current index, in
other words, the stoplimit is not respected until the next date we decide
to stop (from the vectorization of the math) for another reason.

In the attached file, I have provided a possible fix and the original file,
for easy diff.

Regards,
Ivan

My fix:


cross<-sigThreshold(label='tmpstop',column=col,threshold=tmpprice,relationship=relationship)
                    if(any(cross[timespan])) {
                        # find first index that would cross after this index
                        crosses = which(cross[timespan])
                        if(crosses[1] != 1) {
                           # The first cross is not on the current index
                           newidx <- curIndex + crosses[1] - 1
                        } else if(length(crosses) > 1) {
                           # The first cross is on the current index, but
there is another index
                           newidx <- curIndex + crosses[2] - 1
                        } else {
                           # Only one cross and it's on the current index
                           newidx <- NA
                        }
                        if(!is.na(newidx)) {
                           # insert that into dindex
                           assign.dindex(c(get.dindex(),newidx))
                        }
                    }
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