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

[Joshua Ulrich]

Hi Ivan,

This was fixed in r1430 a few days ago.

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

R/Finance 2013: Applied Finance with R  | www.RinFinance.com


On Sat, Apr 13, 2013 at 11:33 PM, Ivan Popivanov
<ivan.popivanov at gmail.com> wrote:
> 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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