#!/usr/bin/env Rscript
# Load required libraries
require(quantstrat)

# Try to clean up in case the demo was run previously
suppressWarnings(rm("account.faber","portfolio.faber",pos=.blotter))
suppressWarnings(rm("ltaccount", "ltportfolio", "ClosePrice", "CurrentDate", "equity", 
            "GSPC", "stratFaber", "initDate", "initEq", "Posn", "UnitSize", "verbose"))
suppressWarnings(rm("order_book.faber",pos=.strategy))

# Set initial values
initDate='2012-03-29 09:30:00'
#initDate='2012-03-12 09:30:00'
endDate='2012-03-30 16:00:00'
#endDate='2012-03-14 16:00:00'
initEq=100000

# Set up instruments with FinancialInstruments package
currency("USD")
symbols = c("spy")
for(symbol in symbols){ # establish tradable instruments
    stock(symbol, currency="USD",multiplier=1)
}

# Load data with quantmod
load('spy.one_min.Rdata')
spy<-spy['T09:30:00/T16:00:00']
spy<-spy['2012-03-29/2012-03-30']

for(symbol in symbols) {
    x<-get(symbol)
    colnames(x)<-gsub("x",symbol,colnames(x))
    assign(symbol,x)
}

spy$spy.enter <- format( time(spy), format = "%H:%M:%S") == '09:30:00'
spy$spy.exit <- format( time(spy), format = "%H:%M:%S") == '15:50:00'

# Initialize portfolio and account
initPortf('faber', symbols=symbols, initDate=initDate,endDate=endDate)
initAcct('faber', portfolios='faber', initDate=initDate, endDate=endDate, initEq=100000)
initOrders(portfolio='faber', initDate=initDate)

print("setup completed")

# Initialize a strategy object
stratFaber <- strategy("faber")

stratFaber <- add.rule(
    stratFaber,
    name='ruleSignal',
    arguments = list(
        sigcol="spy.enter",
        sigval=TRUE,
        orderqty=100,
        ordertype='market',
        orderside='long',
        pricemethod='market',
        TxnFees=-5
    ),
    type='enter',
    path.dep=TRUE
) 


stratFaber <- add.rule(
    stratFaber,
    name='ruleSignal',
    arguments = list(
        sigcol="spy.exit",
        sigval=TRUE,
        orderqty='all',
        ordertype='market',
        orderside='long',
        pricemethod='market',
        TxnFees=-5
    ),
    type='exit',
    path.dep=TRUE
) 

# Process the indicators and generate trades
start_t<-Sys.time()
out<-try(applyStrategy(strategy=stratFaber , portfolios='faber'))
end_t<-Sys.time()
print("Strategy Loop:")
print(end_t-start_t)

# look at the order book
#print(getOrderBook('faber'))

start_t<-Sys.time()
updatePortf(Portfolio='faber',Dates=paste('::',as.Date(Sys.time()),sep=''))
end_t<-Sys.time()
print("trade blotter portfolio update:")
print(end_t-start_t)

# hack for new quantmod graphics, remove later
themelist<-chart_theme()
themelist$col$up.col<-'lightgreen'
themelist$col$dn.col<-'pink'
for(symbol in symbols){
    #dev.new()
    write.zoo(mktdata, 'cross.overnight.one.min.mktdata.csv', sep=',')
    pdf("cross.overnight.one.min.pdf")
    chart.Posn(Portfolio='faber',Symbol=symbol,theme=themelist)
    plot(add_SMA(n=30,col='darkgreen', on=1))
}

#ret1 <- PortfReturns('faber')
#ret1$total<-rowSums(ret1)
#ret1