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Revision 1394 - Directory Listing
Modified Tue Feb 12 18:55:56 2013 UTC (6 years, 9 months ago) by braverock
- fix ES definition for the demo, thanks to Joseph Dunn for noticing

Revision 1393 - Directory Listing
Modified Tue Feb 12 16:37:51 2013 UTC (6 years, 9 months ago) by braverock
- fix stoptrailing where order just needs to be moved, but does not cross 
- minor cleanup where lookups not needed
- patch kudos to Joseph Dunn

Revision 1392 - Directory Listing
Modified Sun Feb 10 22:22:31 2013 UTC (6 years, 9 months ago) by opentrades
- typo fix


Revision 1391 - Directory Listing
Modified Sun Feb 10 20:19:02 2013 UTC (6 years, 9 months ago) by gsee
 - redenominate will use old_base if provided; instrument's currency otherwise 
   (instead of always using instrument's currency)
 - updated docs and NEWS
 - added tests

Revision 1390 - Directory Listing
Modified Thu Feb 7 17:26:39 2013 UTC (6 years, 9 months ago) by milktrader
blotter test added to quantstrat framework for now

Revision 1389 - Directory Listing
Modified Tue Feb 5 01:14:43 2013 UTC (6 years, 9 months ago) by gsee
 setSymbolLookup.FI does not append Symbol to file path. Please test.

Revision 1388 - Directory Listing
Modified Sat Feb 2 21:54:49 2013 UTC (6 years, 9 months ago) by gsee
 bump version (forgot to save DESCRIPTION file in last commit)

Revision 1387 - Directory Listing
Modified Sat Feb 2 21:54:11 2013 UTC (6 years, 9 months ago) by gsee
 - add src=FI to getSymbols call in getSymbols.FI test.
 - put data in a its own environment in test
 - bump version


Revision 1386 - Directory Listing
Modified Sat Feb 2 21:44:39 2013 UTC (6 years, 9 months ago) by gsee
 - if a Symbol was the same as the end of a directory, e.g. "BID" and "/data/BID"
   getSymbols.FI would assume the data are in "/data/BID" instead of "/data/BID/BID".
   I'm not sure why we were doing that; hopefully this doesn't break anything.
 - updated NEWS
 - added regression test


Revision 1385 - Directory Listing
Modified Mon Jan 28 22:04:22 2013 UTC (6 years, 9 months ago) by opentrades
- added include.insamples flag to walk.forward() to request including complete in-sample portfolios
- include.insamples==TRUE save all portfolios in file
- added chart.forward.testing() to display all thoe portfolios for comparison
- some preparations preparing for walk.forward() to deal with multi-symbol portfolios
- renamed chart.forward() to chart.forward.training()


Revision 1384 - Directory Listing
Modified Thu Jan 24 21:25:24 2013 UTC (6 years, 9 months ago) by opentrades
- fixed a couple of R CMD check warnings 


Revision 1383 - Directory Listing
Modified Thu Jan 24 21:12:38 2013 UTC (6 years, 9 months ago) by opentrades
- added chart.forward() function to visualize portfolio chosen by objective function in relation to all evaluated portfolios


Revision 1382 - Directory Listing
Modified Thu Jan 24 00:56:18 2013 UTC (6 years, 9 months ago) by opentrades
- added packages parameter to apply.paramsets() to allow user to specify extra packages to load


Revision 1381 - Directory Listing
Modified Wed Jan 23 17:23:02 2013 UTC (6 years, 9 months ago) by milktrader
adding txns in test_bee and all 52 tests passing

Revision 1380 - Directory Listing
Modified Tue Jan 22 18:16:52 2013 UTC (6 years, 9 months ago) by efmrforge
corrected checking for code/documentation mismatches 
addTxn verbose should be TRUE

Revision 1379 - Directory Listing
Modified Tue Jan 22 03:37:17 2013 UTC (6 years, 9 months ago) by milktrader
bee.R has all passing tests but not verified results

Revision 1378 - Directory Listing
Modified Tue Jan 22 00:42:17 2013 UTC (6 years, 9 months ago) by opentrades
- some improvements in storing selected param.combo in .audit environment


Revision 1377 - Directory Listing
Modified Tue Jan 22 00:17:25 2013 UTC (6 years, 9 months ago) by milktrader
fixed path for test scripts

Revision 1376 - Directory Listing
Modified Mon Jan 21 23:41:11 2013 UTC (6 years, 9 months ago) by milktrader
stubbed new in_test blocks

Revision 1375 - Directory Listing
Modified Mon Jan 21 23:20:44 2013 UTC (6 years, 9 months ago) by milktrader
revamped test script templates

Revision 1374 - Directory Listing
Modified Mon Jan 21 19:10:54 2013 UTC (6 years, 9 months ago) by opentrades
- updated documentation


Revision 1373 - Directory Listing
Modified Mon Jan 21 19:04:11 2013 UTC (6 years, 9 months ago) by opentrades
- fixed bug when apply.paramset() was called without mktdata


Revision 1372 - Directory Listing
Modified Sun Jan 20 22:38:58 2013 UTC (6 years, 9 months ago) by opentrades
- added some more results objects to paramsets() + walk.forward() returned environment in preparation for walk.forward() graph


Revision 1371 - Directory Listing
Modified Sun Jan 20 21:59:33 2013 UTC (6 years, 9 months ago) by opentrades
- add must.be.environment() function
- modified apply.paramset() audit parameter, must now be NULL or specify an env to store info
- moved saving of env in a file from apply.paramset() to walk.forward()


Revision 1370 - Directory Listing
Modified Thu Jan 17 20:58:10 2013 UTC (6 years, 9 months ago) by milktrader
all demos have 2 commented out test blocks that authors will need to uncomment

Revision 1369 - Directory Listing
Modified Thu Jan 17 20:10:15 2013 UTC (6 years, 9 months ago) by milktrader
adding test files for every demo

Revision 1368 - Directory Listing
Modified Thu Jan 17 13:45:20 2013 UTC (6 years, 9 months ago) by milktrader
removed tradeStat stubbed stats and testing of them

Revision 1367 - Directory Listing
Modified Thu Jan 17 01:54:22 2013 UTC (6 years, 9 months ago) by opentrades
- turned verbose on by default again in addTxn()


Revision 1366 - Directory Listing
Modified Thu Jan 17 01:47:36 2013 UTC (6 years, 9 months ago) by opentrades
- added feature to apply.paramset() to store all portfolios and orderbooks in a file for later 
audit
- added audit.st parameter to apply.paramset() to specify filename for audit file
- added audit.prefix parameter to walk.forward() to specify a prefix for generation of 
filenames for each step, to be passed on to apply.paramset()


Revision 1365 - Directory Listing
Modified Wed Jan 16 23:24:38 2013 UTC (6 years, 9 months ago) by opentrades
- added envir parameter to get functions to allow retrieval of objects from environment different from default environment


Revision 1364 - Directory Listing
Modified Wed Jan 16 23:10:17 2013 UTC (6 years, 9 months ago) by opentrades
- added an envir parameter to put.* functions in order to able to store portfolios in another environment than the default


Revision 1363 - Directory Listing
Modified Wed Jan 16 01:13:34 2013 UTC (6 years, 9 months ago) by peter_carl
- colname fix so will not error if the portfolio has no positions
- thanks for the patch suggested by Dhruv Maheshwari

Revision 1362 - Directory Listing
Modified Tue Jan 15 22:25:10 2013 UTC (6 years, 9 months ago) by opentrades
- fixed some undocumented arguments and other R CMD check warnings


Revision 1361 - Directory Listing
Modified Tue Jan 15 16:30:50 2013 UTC (6 years, 9 months ago) by braverock
- check for existence of in_test for supporting test wrappers

Revision 1360 - Directory Listing
Modified Tue Jan 15 15:08:58 2013 UTC (6 years, 9 months ago) by milktrader
added more nuke weaponry to nuke_environments

Revision 1359 - Directory Listing
Modified Tue Jan 15 14:53:54 2013 UTC (6 years, 9 months ago) by milktrader
removing data/GBPUSD dir

Revision 1358 - Directory Listing
Modified Tue Jan 15 14:52:28 2013 UTC (6 years, 9 months ago) by milktrader
moved GBPUSD dir to inst/extdata and modified refs to /data in luxor* files

Revision 1357 - Directory Listing
Modified Tue Jan 15 13:42:04 2013 UTC (6 years, 9 months ago) by braverock
- don't remove initDate

Revision 1356 - Directory Listing
Modified Tue Jan 15 13:11:18 2013 UTC (6 years, 9 months ago) by braverock
- add temporary workaround for xts Date issue
- add parameter wrapper for in_test
- add calls to getOrderBook and tradeStats

Revision 1355 - Directory Listing
Modified Sun Jan 13 20:07:28 2013 UTC (6 years, 9 months ago) by opentrades
- fixed NAMESPACE put.strategy (io store.strategy)


Revision 1354 - Directory Listing
Modified Sun Jan 13 00:11:28 2013 UTC (6 years, 10 months ago) by opentrades
- renamed store.strategy() to put.strategy() for name compatibility


Revision 1353 - Directory Listing
Modified Sat Jan 12 23:53:37 2013 UTC (6 years, 10 months ago) by opentrades
- introduced put.orderbook() for better data abstraction


Revision 1352 - Directory Listing
Modified Sat Jan 12 22:46:57 2013 UTC (6 years, 10 months ago) by opentrades
- introduced put.account() for better data abstraction


Revision 1351 - Directory Listing
Modified Sat Jan 12 22:35:57 2013 UTC (6 years, 10 months ago) by opentrades
- introduced put.portfolio() for better data abstraction


Revision 1350 - Directory Listing
Modified Sat Jan 12 22:13:31 2013 UTC (6 years, 10 months ago) by opentrades
- various small improvements in walk.forward() and apply.paramset()


Revision 1349 - Directory Listing
Modified Wed Jan 9 20:06:04 2013 UTC (6 years, 10 months ago) by gsee
remove a comment

Revision 1348 - Directory Listing
Modified Wed Jan 9 15:33:07 2013 UTC (6 years, 10 months ago) by gsee
 download.TrueFX.R script uses fastPOSIXct if the fasttime package is installed.  Thanks to Hideyoshi Maeda for the suggestion!

Revision 1347 - Directory Listing
Modified Sun Jan 6 22:07:51 2013 UTC (6 years, 10 months ago) by peter_carl
- fixed a corner case where na.locf doesn't catch an initial NA in series

Revision 1346 - Directory Listing
Modified Sun Jan 6 21:32:24 2013 UTC (6 years, 10 months ago) by gsee
 change maintainer to match e-mail account name to please CRAN

Revision 1345 - Directory Listing
Modified Sat Jan 5 01:13:53 2013 UTC (6 years, 10 months ago) by opentrades
- changed lengthy names objective.func and objective.args to obj.func and obj.args resp
- fixed a small typo


Revision 1344 - Directory Listing
Modified Fri Jan 4 23:44:54 2013 UTC (6 years, 10 months ago) by opentrades
- renamed user.func and args.list parameters in apply.paramset() to user.func and user.args resp
- removed user.func and args.list parameters from walk.forward() and introduced ... instead, so user.func 
and user.args can be optionally passed to apply.paramset() if applicable
- updated documentation for apply.paramset()


Revision 1343 - Directory Listing
Modified Fri Jan 4 18:38:44 2013 UTC (6 years, 10 months ago) by gsee
* separate authors/contributors
* bump copyright and version

Revision 1342 - Directory Listing
Modified Fri Jan 4 18:32:45 2013 UTC (6 years, 10 months ago) by gsee
 * buildSpread gets data from environment specified by the "env" arg instead of hardcoding .GlobalEnv (Might want to consider deprecating this function and instead users can just make a price frame and matrix multiply by the weights which would be safer and much less code... even for the user)
* At the very least the default value for "env" will change in the near future.

Revision 1341 - Directory Listing
Modified Fri Jan 4 16:51:11 2013 UTC (6 years, 10 months ago) by milktrader
- minor formatting and adding commented-out stubs for more stats

Revision 1340 - Directory Listing
Modified Fri Jan 4 16:48:15 2013 UTC (6 years, 10 months ago) by milktrader
uncommenting failing tests of unimplemented features

Revision 1339 - Directory Listing
Modified Fri Jan 4 00:28:50 2013 UTC (6 years, 10 months ago) by opentrades
added user.func and args.list to apply.paramsets to allow offloading portfolio calculations to slave


Revision 1338 - Directory Listing
Modified Thu Jan 3 19:54:03 2013 UTC (6 years, 10 months ago) by opentrades
modified walk.forward() to use parameter list for objective_args instead of just one parameter


Revision 1337 - Directory Listing
Modified Thu Jan 3 16:46:35 2013 UTC (6 years, 10 months ago) by milktrader
putting try around test_package and have at least one failing test

Revision 1336 - Directory Listing
Modified Thu Jan 3 12:59:52 2013 UTC (6 years, 10 months ago) by milktrader
changed one test to include tolerance level and commented out last test

Revision 1335 - Directory Listing
Modified Thu Jan 3 04:10:44 2013 UTC (6 years, 10 months ago) by milktrader
added 2 suites of tests for yellow, removed aqua and test_book

Revision 1334 - Directory Listing
Modified Wed Jan 2 19:50:51 2013 UTC (6 years, 10 months ago) by milktrader
uncommented run-all and build now depends on tests passing

Revision 1333 - Directory Listing
Modified Wed Jan 2 19:47:40 2013 UTC (6 years, 10 months ago) by milktrader
took out timezone setting lines in blue and aqua

Revision 1332 - Directory Listing
Modified Wed Jan 2 19:39:12 2013 UTC (6 years, 10 months ago) by milktrader
spx.rda now class POSIXt, POSIXct, explicity TZ and tzone of UTC

Revision 1331 - Directory Listing
Modified Wed Jan 2 13:31:52 2013 UTC (6 years, 10 months ago) by milktrader
spx.rda built with xts rev 751

Revision 1330 - Directory Listing
Modified Sun Dec 30 18:58:15 2012 UTC (6 years, 10 months ago) by milktrader
commenting out run-all.R again, failing on other systems

Revision 1329 - Directory Listing
Modified Sun Dec 30 18:48:58 2012 UTC (6 years, 10 months ago) by milktrader
uncommented run-all.R

Revision 1328 - Directory Listing
Modified Sun Dec 30 18:29:27 2012 UTC (6 years, 10 months ago) by milktrader
cleaning up dead functions in tests

Revision 1327 - Directory Listing
Modified Sun Dec 30 18:22:05 2012 UTC (6 years, 10 months ago) by milktrader
extra paren in blue

Revision 1326 - Directory Listing
Modified Sun Dec 30 18:03:43 2012 UTC (6 years, 10 months ago) by milktrader
blue.R TZ management code

Revision 1325 - Directory Listing
Modified Sun Dec 30 16:42:08 2012 UTC (6 years, 10 months ago) by milktrader
changed params to 10 30 for blue and moved rules around

Revision 1324 - Directory Listing
Modified Sat Dec 29 15:31:07 2012 UTC (6 years, 10 months ago) by milktrader
spx data now has tzone set to UTC

Revision 1323 - Directory Listing
Modified Thu Dec 27 01:21:30 2012 UTC (6 years, 10 months ago) by opentrades
- removed warning('under development') from walk.forward()


Revision 1322 - Directory Listing
Modified Thu Dec 27 01:19:22 2012 UTC (6 years, 10 months ago) by opentrades
- changed name of 'mode' parameter in apply.paramset to 'calc' in order to avoid conflict with R mode func
- split objective in objective.func and objective.arg, with defaults 'max' and 
'quote(tradeStats.list$Net.Trading.PL)' resp
- adjusted docs


Revision 1321 - Directory Listing
Modified Wed Dec 26 22:41:47 2012 UTC (6 years, 10 months ago) by opentrades
- introduced mode=c('master',slave') for apply.paramset() to specify where updatePortf() should be run, for 
now this implies return of portfolio results in the .blotter and .strategy envs ('master') or as a list 
('slave')
- various other improvements in apply.paramsets, a.o. fixing double return of portfolio data and fixing 
passing complete environments up and down unnecessarily
- adjust walk.forward() to call apply.paramsets(..., mode='slave') in order to prevent name collisions and 
overwriting old portfolio results in the environment  between differents calls of apply.paramsets()
- update some documentation for apply.paramsets()


Revision 1320 - Directory Listing
Modified Sat Dec 22 15:17:36 2012 UTC (6 years, 10 months ago) by milktrader
changed spx to UTC and capturing user TZ in blue

Revision 1319 - Directory Listing
Modified Sat Dec 22 06:56:34 2012 UTC (6 years, 10 months ago) by milktrader
fixed timezone issue with spx.rda and blue.R

Revision 1318 - Directory Listing
Modified Sat Dec 22 02:34:05 2012 UTC (6 years, 10 months ago) by milktrader
removing spx.rda

Revision 1317 - Directory Listing
Modified Sat Dec 22 01:04:10 2012 UTC (6 years, 10 months ago) by efmrforge
Added silent=TRUE to portfolio and account removal, to suppress unneeded
warning

Revision 1316 - Directory Listing
Modified Fri Dec 21 23:52:32 2012 UTC (6 years, 10 months ago) by efmrforge
Added newline at the end of the file.

Revision 1315 - Directory Listing
Modified Fri Dec 21 22:41:53 2012 UTC (6 years, 10 months ago) by milktrader
spx now POSIXct

Revision 1314 - Directory Listing
Modified Fri Dec 21 14:51:26 2012 UTC (6 years, 10 months ago) by braverock
- revert r1313 and siuply comment out the run line in run-all until problems can be resolved

Revision 1313 - Directory Listing
Modified Fri Dec 21 14:41:01 2012 UTC (6 years, 10 months ago) by milktrader
moved run-all from tests to inst/tests to pass R CMD check

Revision 1312 - Directory Listing
Modified Fri Dec 21 00:51:29 2012 UTC (6 years, 10 months ago) by efmrforge
Fixed a typo in a comment

Revision 1311 - Directory Listing
Modified Fri Dec 21 00:45:09 2012 UTC (6 years, 10 months ago) by efmrforge
Fixed a  typo in a comment

Revision 1310 - Directory Listing
Modified Fri Dec 21 00:39:19 2012 UTC (6 years, 10 months ago) by efmrforge
fixed a spelling error

Revision 1309 - Directory Listing
Modified Thu Dec 20 02:46:27 2012 UTC (6 years, 10 months ago) by opentrades
further improvements to walk.forward()


Revision 1308 - Directory Listing
Modified Thu Dec 20 00:18:42 2012 UTC (6 years, 10 months ago) by opentrades
verbose flag added for print


Revision 1307 - Directory Listing
Modified Wed Dec 19 23:30:05 2012 UTC (6 years, 10 months ago) by opentrades
some improvements 


Revision 1306 - Directory Listing
Modified Wed Dec 19 02:21:50 2012 UTC (6 years, 10 months ago) by opentrades
bug fix updating k by k.testing instead of k.training


Revision 1305 - Directory Listing
Modified Wed Dec 19 01:38:22 2012 UTC (6 years, 10 months ago) by opentrades
even more documentation


Revision 1304 - Directory Listing
Modified Wed Dec 19 01:16:44 2012 UTC (6 years, 10 months ago) by opentrades
- some improvements to documentation
- window now moves forward by k.training instead of 1


Revision 1303 - Directory Listing
Modified Tue Dec 18 23:52:12 2012 UTC (6 years, 10 months ago) by opentrades
first draft for walk.forward.R


Revision 1302 - Directory Listing
Modified Tue Dec 18 13:19:40 2012 UTC (6 years, 10 months ago) by milktrader
reworking framework and adding nuke_environments

Revision 1301 - Directory Listing
Modified Mon Dec 17 15:00:15 2012 UTC (6 years, 10 months ago) by milktrader
renamed and refactored cross_test.R to blue.R

Revision 1300 - Directory Listing
Modified Sun Dec 16 21:51:14 2012 UTC (6 years, 10 months ago) by opentrades
added mktdata argument to apply.paramset, to be passed to applyStrategy


Revision 1299 - Directory Listing
Modified Sun Dec 16 16:14:37 2012 UTC (6 years, 10 months ago) by milktrader
added cross_test system for inter-platform testing

Revision 1298 - Directory Listing
Modified Fri Dec 14 20:37:15 2012 UTC (6 years, 10 months ago) by braverock
- fix case

Revision 1297 - Directory Listing
Modified Fri Dec 14 12:39:38 2012 UTC (6 years, 10 months ago) by braverock
- fix View for order book

Revision 1296 - Directory Listing
Modified Thu Dec 13 16:23:15 2012 UTC (6 years, 11 months ago) by braverock
- add SMA lines to chart

Revision 1295 - Directory Listing
Modified Thu Dec 13 15:36:59 2012 UTC (6 years, 11 months ago) by milktrader
using spx.rda and commented out 8 tests

Revision 1294 - Directory Listing
Modified Thu Dec 13 15:10:59 2012 UTC (6 years, 11 months ago) by milktrader
changed spx.rda file

Revision 1293 - Directory Listing
Modified Thu Dec 13 13:33:34 2012 UTC (6 years, 11 months ago) by milktrader
re-adding files with .R

Revision 1292 - Directory Listing
Modified Thu Dec 13 13:31:21 2012 UTC (6 years, 11 months ago) by milktrader
cleanup .r and .R mess

Revision 1291 - Directory Listing
Modified Thu Dec 13 13:04:22 2012 UTC (6 years, 11 months ago) by milktrader
more testing framework infrastructure

Revision 1290 - Directory Listing
Modified Thu Dec 13 02:36:56 2012 UTC (6 years, 11 months ago) by milktrader
adding spx.rda to data

Revision 1289 - Directory Listing
Modified Thu Dec 13 02:10:48 2012 UTC (6 years, 11 months ago) by milktrader
added KFactor, RINAindex, TimeinMarket, BuyandHold

Revision 1288 - Directory Listing
Modified Wed Dec 12 23:04:25 2012 UTC (6 years, 11 months ago) by milktrader
commented out environment cleanup code

Revision 1287 - Directory Listing
Modified Wed Dec 12 22:47:25 2012 UTC (6 years, 11 months ago) by milktrader
added tests for bee and moved to inst/tests

Revision 1286 - Directory Listing
Modified Wed Dec 12 20:47:38 2012 UTC (6 years, 11 months ago) by gsee
 - Now using testthat for package testing
 - added 2 simple tests
 - FinancialInstrument_1.1 is now on CRAN; Next CRAN release will be FinancialInstrument_1.2

Revision 1285 - Directory Listing
Modified Wed Dec 12 20:26:24 2012 UTC (6 years, 11 months ago) by milktrader
shortened bbands tests and modified to Max.Drawdown

Revision 1284 - Directory Listing
Modified Wed Dec 12 18:18:30 2012 UTC (6 years, 11 months ago) by milktrader
moving tests to sandbox to centralize later

Revision 1283 - Directory Listing
Modified Wed Dec 12 17:48:32 2012 UTC (6 years, 11 months ago) by milktrader
added svUnit and testthat to suggests

Revision 1282 - Directory Listing
Modified Wed Dec 12 17:44:57 2012 UTC (6 years, 11 months ago) by milktrader
bbands trade stat tests

Revision 1281 - Directory Listing
Modified Wed Dec 12 17:21:00 2012 UTC (6 years, 11 months ago) by milktrader
adding tests directory to FinancialInstruments

Revision 1280 - Directory Listing
Modified Wed Dec 12 17:19:18 2012 UTC (6 years, 11 months ago) by milktrader
adding tests directory

Revision 1279 - Directory Listing
Modified Wed Dec 12 17:10:37 2012 UTC (6 years, 11 months ago) by gsee
 - replace paste0() calls with paste(... sep="")
 - .Rbuildignore edited by RStudio to ignore project files.

Revision 1278 - Directory Listing
Modified Wed Dec 12 11:42:21 2012 UTC (6 years, 11 months ago) by opentrades
test for milktrader


Revision 1277 - Directory Listing
Modified Mon Dec 10 01:41:21 2012 UTC (6 years, 11 months ago) by opentrades
set .maxcombine to nrows(pararm.combos), to specify number of combine arguments


Revision 1276 - Directory Listing
Modified Mon Dec 10 00:50:30 2012 UTC (6 years, 11 months ago) by opentrades
prevent apply.daily() from crashing on portfolio with no completed txns


Revision 1275 - Directory Listing
Modified Sun Dec 9 18:06:17 2012 UTC (6 years, 11 months ago) by braverock
- rearrange the 'side' detection, and allow for proper side detection when orderqty=='all'

Revision 1274 - Directory Listing
Modified Wed Dec 5 18:08:45 2012 UTC (6 years, 11 months ago) by gsee
 sort_id() recognizes partial dates in "expires" attribute

Revision 1273 - Directory Listing
Modified Tue Dec 4 18:48:35 2012 UTC (6 years, 11 months ago) by braverock
- handle prefer argument if passed for non-OHLC data

Revision 1272 - Directory Listing
Modified Mon Dec 3 18:14:30 2012 UTC (6 years, 11 months ago) by opentrades
prefer bug fix by michaelnewell: prefer settings in rules now correctly overrule prefer setting in applyStrategy()


Revision 1271 - Directory Listing
Modified Wed Nov 28 19:02:51 2012 UTC (6 years, 11 months ago) by braverock
- add offsets for sigComarison/sigCrossover
- update roxygen docs
- bump version

Revision 1270 - Directory Listing
Modified Wed Nov 28 18:25:56 2012 UTC (6 years, 11 months ago) by braverock
- revert to r1268 approach of single symbols loop in rules application section

Revision 1269 - Directory Listing
Modified Wed Nov 28 18:23:30 2012 UTC (6 years, 11 months ago) by braverock
- apply rebalance rule(s) after applyRules.  this is slower, will revert, but wanted it in svn for reference

Revision 1268 - Directory Listing
Modified Tue Nov 27 14:08:30 2012 UTC (6 years, 11 months ago) by braverock
- remove spurious debug print

Revision 1267 - Directory Listing
Modified Tue Nov 27 00:21:50 2012 UTC (6 years, 11 months ago) by gsee
 - more informative error when instrument cannot be found by give identifier.
 - download.TrueFX.R script accepts a 'cores' trailing arg

Revision 1266 - Directory Listing
Modified Mon Nov 26 19:29:01 2012 UTC (6 years, 11 months ago) by braverock
- fix symbol loop in applyStrategy.rebalancing for rebalancing step
- bump version, remove Collate, turn ByteCompile back on

Revision 1265 - Directory Listing
Modified Sat Nov 24 21:34:43 2012 UTC (6 years, 11 months ago) by opentrades
fixed bug to source('luxor.strategy.R') io luxor.basic.R


Revision 1264 - Directory Listing
Modified Sat Nov 24 20:45:07 2012 UTC (6 years, 11 months ago) by opentrades
add luxor.strategy.R to build the basic luxor strategy object
adjusted luxor.StopLoss.R to pont to correct data path


Revision 1263 - Directory Listing
Modified Sat Nov 24 16:17:39 2012 UTC (6 years, 11 months ago) by braverock
- add 'trades' use= method (as opposed to 'txns') as requested by Michael Newell 
- fix incorrect data.frame labels

Revision 1262 - Directory Listing
Modified Thu Nov 22 03:13:56 2012 UTC (6 years, 11 months ago) by opentrades
added timespan indices to dindex list


Revision 1261 - Directory Listing
Modified Thu Nov 22 02:43:21 2012 UTC (6 years, 11 months ago) by opentrades
introduced 'revoked' order status
changed ruleCancel() to ruleRevoke(); revokes all open orders when pos==0
useful eg. with timespan in add.rule() to close open enter orders at end of day


Revision 1260 - Directory Listing
Modified Thu Nov 22 02:05:41 2012 UTC (6 years, 11 months ago) by braverock
- use timestamp rather than character timespan in ruleOrderProc
- remove obsolete code
- add rebalancing examples
- update roxygen docs

Revision 1259 - Directory Listing
Modified Wed Nov 21 19:59:26 2012 UTC (6 years, 11 months ago) by opentrades
updated some comments for OHLC filling conditions


Revision 1258 - Directory Listing
Modified Wed Nov 21 02:52:24 2012 UTC (6 years, 11 months ago) by opentrades
fixed inconsistency where rules.R was setting lte and gte for OHLC, whereas ruleOrderProc counted with lt and gt; remains mostly undetected
but in some cases it lead to dindex pointing to a timestamp that did not meet fill requirements, with weird effects in orderbook


Revision 1257 - Directory Listing
Modified Wed Nov 21 02:28:48 2012 UTC (6 years, 11 months ago) by opentrades
changed limit order fill condition for OHLC to >Lo and <Hi instead of >=Lo and <=Hi 


Revision 1256 - Directory Listing
Modified Wed Nov 21 01:49:36 2012 UTC (6 years, 11 months ago) by opentrades
- fixed a bug in fill timestamp of limit orders
- changed fill condition from <High to <=High, and >Lo to >=Lo to have same policy everywhere


Revision 1255 - Directory Listing
Modified Tue Nov 20 18:25:52 2012 UTC (6 years, 11 months ago) by opentrades
fixed some tab stops issues


Revision 1254 - Directory Listing
Modified Mon Nov 19 21:15:44 2012 UTC (6 years, 11 months ago) by braverock
- clean up before adding rebalancing

Revision 1253 - Directory Listing
Modified Mon Nov 19 20:13:55 2012 UTC (6 years, 11 months ago) by braverock
- add explicit passing of TA arg to chart_Series in chart.Posn

Revision 1252 - Directory Listing
Modified Sun Nov 18 23:39:54 2012 UTC (6 years, 11 months ago) by opentrades
paramsets tradeStats now skips portfolios with NULL results


Revision 1251 - Directory Listing
Modified Tue Nov 13 21:35:40 2012 UTC (7 years ago) by opentrades
removed .maxcombine=100


Revision 1250 - Directory Listing
Modified Tue Nov 13 21:23:30 2012 UTC (7 years ago) by opentrades
- all order_books from slaves are now also assigned to master .strategy environment


Revision 1249 - Directory Listing
Modified Tue Nov 13 20:49:59 2012 UTC (7 years ago) by opentrades
- combine function now assigns slave portfolio objects to master .blotter enviroment
- moved updatePortf() and tradeStats() into combine function


Revision 1248 - Directory Listing
Modified Tue Nov 13 19:44:14 2012 UTC (7 years ago) by opentrades
- introduced combine function
- converted result list in named list using portfolio names


Revision 1247 - Directory Listing
Modified Sun Nov 11 22:38:43 2012 UTC (7 years ago) by opentrades
added support for timespan paramsets


Revision 1246 - Directory Listing
Modified Sun Nov 11 19:47:45 2012 UTC (7 years ago) by gsee
 NEWS file uses markdown sytax for prettier format (e.g. when viewed with help(package='FinancialInstrument', help='html'))


Revision 1245 - Directory Listing
Modified Thu Nov 8 21:49:34 2012 UTC (7 years ago) by braverock
- add ByteCompile: TRUE

Revision 1244 - Directory Listing
Modified Thu Nov 8 21:12:28 2012 UTC (7 years ago) by braverock
- change to \dontrun

Revision 1243 - Directory Listing
Modified Thu Nov 8 20:54:41 2012 UTC (7 years ago) by braverock
- add rebalance rule rulePctEquity

Revision 1242 - Directory Listing
Modified Thu Nov 8 16:44:01 2012 UTC (7 years ago) by braverock
- pass portfolio to rebalance fn via ruleProc

Revision 1241 - Directory Listing
Modified Thu Nov 8 15:47:44 2012 UTC (7 years ago) by opentrades
small improvement in erorr msgs


Revision 1240 - Directory Listing
Modified Thu Nov 8 15:36:00 2012 UTC (7 years ago) by braverock
- pass un-matching arguments, assuming the user knows what they're doing, still warn.

Revision 1239 - Directory Listing
Modified Mon Nov 5 21:24:09 2012 UTC (7 years ago) by braverock
- fix and export calcPortfWgt
- minor doc updates

Revision 1238 - Directory Listing
Modified Sun Nov 4 14:50:22 2012 UTC (7 years ago) by opentrades
support for orderqty='trigger' to kick in new orderchain


Revision 1237 - Directory Listing
Modified Sat Nov 3 16:47:18 2012 UTC (7 years ago) by braverock
- fix support for 'rebalance' rules
- minor documentation updates

Revision 1236 - Directory Listing
Modified Sat Nov 3 13:03:24 2012 UTC (7 years ago) by braverock
- force index class to POSIXct to avoid incompatible method errors on < compare

Revision 1235 - Directory Listing
Modified Sat Nov 3 12:02:52 2012 UTC (7 years ago) by braverock
- start Position pane at zero if there is no incoming position.
- minor cleanup

Revision 1234 - Directory Listing
Modified Thu Nov 1 17:19:19 2012 UTC (7 years ago) by braverock
- bump version, remove Collate

Revision 1233 - Directory Listing
Modified Thu Nov 1 12:52:25 2012 UTC (7 years ago) by braverock
- add ruleCancel function contributed by Niklas Kolster

Revision 1232 - Directory Listing
Modified Sun Oct 28 22:07:42 2012 UTC (7 years ago) by gsee
 the location of the relevant table on morningstar's webpage changed.  update_instruments.ms has been updated to use the table with the most rows.

Revision 1231 - Directory Listing
Modified Fri Oct 26 21:07:53 2012 UTC (7 years ago) by opentrades
- various improvements in paramsets.R
- load.strategy() and save.strategy()
- stop() if isMaxPos() called but PosLimit==NULL
- luxor.exists.R creates and stores luxor.RData strategy object in file
- luxor.{StopLoss,StopTrailing,TakeProfit}.R now using stored strategy luxor.RData
- some more documentation


Revision 1230 - Directory Listing
Modified Mon Oct 22 23:21:13 2012 UTC (7 years ago) by opentrades
minor changes to orderchains.R
added some demo's:
- luxor.exits.R contains code for the paramsets
- luxor.StopLoss.R computes stop-loss paramset
- luxor.StopTrailing.R computes stop-trailing-loss paramset
- luxor.TakeProfit.R computes take-profit paramset


Revision 1229 - Directory Listing
Modified Mon Oct 22 22:29:09 2012 UTC (7 years ago) by opentrades
added some roxygen docs to the exported functions for paramsets.R


Revision 1228 - Directory Listing
Modified Mon Oct 22 22:02:05 2012 UTC (7 years ago) by opentrades
- reworked parameters.R to paramsets.R
- paramset distributions and constraints are now stored in the strategy object
- paramset constraints now also allow for constraints between different components
- still some work to be done on documentation and adapting demos
- introduced utils.R for common functions


Revision 1227 - Directory Listing
Modified Sun Oct 21 00:33:38 2012 UTC (7 years ago) by peter_carl
- fixed parsing issue with stringsAsFactors
- renamed symbol to indicate monthly data

Revision 1226 - Directory Listing
Modified Sun Oct 21 00:31:49 2012 UTC (7 years ago) by peter_carl
- added parsing for multiple columns in spreadsheet

Revision 1225 - Directory Listing
Modified Sun Oct 21 00:30:14 2012 UTC (7 years ago) by peter_carl
- commented out trailing example code

Revision 1224 - Directory Listing
Modified Wed Oct 17 21:52:44 2012 UTC (7 years ago) by braverock
- take first arguments if user doesn't specify
- add Symbol name to chart name

Revision 1223 - Directory Listing
Modified Wed Oct 17 13:35:18 2012 UTC (7 years ago) by braverock
- add drawdown panel to chart.Posn

Revision 1222 - Directory Listing
Modified Mon Oct 15 11:25:23 2012 UTC (7 years ago) by bodanker
- fix 'strategy -> s' typos, remove tabs
- move code to determine rebalancing periods inside path-independent loop
- refactor pindex creation
- combine sret$rules$pathdep using rbind instead of c in endpoints loop
- fix 'mktdata -> md_subset' typo in endpoints loop

Revision 1221 - Directory Listing
Modified Sat Oct 13 16:14:31 2012 UTC (7 years, 1 month ago) by gsee
 add NEWS file

Revision 1220 - Directory Listing
Modified Thu Oct 11 23:37:29 2012 UTC (7 years, 1 month ago) by opentrades
added 'applyStrategy.rebalancing.R' to DESCRIPTION to fix collate error


Revision 1219 - Directory Listing
Modified Thu Oct 11 22:21:01 2012 UTC (7 years, 1 month ago) by braverock
- fix rsi demo to work with newer fn defaults
- initial commit of applyStrategy.rebalancing
- avoid dindex buffer overflow in ruleSignal

Revision 1218 - Directory Listing
Modified Thu Oct 11 20:47:44 2012 UTC (7 years, 1 month ago) by opentrades
- changed parameter names in setParameterDistribution() 
- improved doc somewhat


Revision 1217 - Directory Listing
Modified Thu Oct 11 19:57:02 2012 UTC (7 years, 1 month ago) by opentrades
- setParameterDistribution() now uses component label instead of index numbers
- fixed up demos to use new syntax


Revision 1216 - Directory Listing
Modified Tue Oct 9 23:58:08 2012 UTC (7 years, 1 month ago) by opentrades
- fixed a couple of logical operator bugs in setParameterDistribution() (eg. || i.o. |)
- improved readibility for setParameterDistribution()


Revision 1215 - Directory Listing
Modified Tue Oct 9 23:40:10 2012 UTC (7 years, 1 month ago) by opentrades
- introduced applyConstraints() function
- constraints now also applied in expand mode


Revision 1214 - Directory Listing
Modified Sat Oct 6 21:25:57 2012 UTC (7 years, 1 month ago) by opentrades
added require(quantstrat) to rsi.R


Revision 1213 - Directory Listing
Modified Sat Oct 6 18:02:55 2012 UTC (7 years, 1 month ago) by braverock
- fix problem apparently related to changes in exit handling

Revision 1212 - Directory Listing
Modified Sat Oct 6 17:47:08 2012 UTC (7 years, 1 month ago) by braverock
- fix for change in column name in tradeStats fn

Revision 1211 - Directory Listing
Modified Sat Oct 6 17:37:10 2012 UTC (7 years, 1 month ago) by braverock
- fix cut and paste error

Revision 1210 - Directory Listing
Modified Wed Oct 3 22:22:38 2012 UTC (7 years, 1 month ago) by opentrades
some small textual improvements to addOrder doc


Revision 1209 - Directory Listing
Modified Wed Oct 3 22:16:35 2012 UTC (7 years, 1 month ago) by gsee
 export rm_FX
 svn ignore .Rproj.user 

Revision 1208 - Directory Listing
Modified Wed Oct 3 14:53:55 2012 UTC (7 years, 1 month ago) by opentrades
update documentation on addOrder() for new threshold implementation


Revision 1207 - Directory Listing
Modified Tue Oct 2 20:46:09 2012 UTC (7 years, 1 month ago) by opentrades
adjusted luxor.orderchains.R to use stoplimit orders for stop-loss and stop-enter, and limit for take profit


Revision 1206 - Directory Listing
Modified Tue Oct 2 20:39:38 2012 UTC (7 years, 1 month ago) by opentrades
- reversed stopenter order code
- enhanced threshold calculation in orders.R to include qty='all', as well as limit orders


Revision 1205 - Directory Listing
Modified Sun Sep 30 12:59:01 2012 UTC (7 years, 1 month ago) by braverock
- remove rule.env

Revision 1204 - Directory Listing
Modified Sun Sep 30 06:08:52 2012 UTC (7 years, 1 month ago) by braverock
- remove Collate

Revision 1203 - Directory Listing
Modified Sun Sep 30 05:53:17 2012 UTC (7 years, 1 month ago) by braverock
- update roxygen docs
- fix demo index
- bump version

Revision 1202 - Directory Listing
Modified Sun Sep 30 05:40:53 2012 UTC (7 years, 1 month ago) by braverock
- fix arguments to separated ruleProc fn for scoping

Revision 1201 - Directory Listing
Modified Sat Sep 29 21:59:04 2012 UTC (7 years, 1 month ago) by braverock
- correctly handle multi-column xts FXrate per R-SIG-finance report from Worik Stanton

Revision 1200 - Directory Listing
Modified Sat Sep 29 17:43:36 2012 UTC (7 years, 1 month ago) by braverock
- pull ruleProc out into its own function, not exported
- remove rebalancing from rules processed by applyRules

Revision 1199 - Directory Listing
Modified Thu Sep 27 23:53:06 2012 UTC (7 years, 1 month ago) by opentrades
added stopenter support to BBO orders - but not yet tested!


Revision 1198 - Directory Listing
Modified Thu Sep 27 23:43:08 2012 UTC (7 years, 1 month ago) by opentrades
- implemented stopenter orders
- modified luxor.orderchains.R to use stopenter orders


Revision 1197 - Directory Listing
Modified Thu Sep 27 22:39:00 2012 UTC (7 years, 1 month ago) by opentrades
- excluded limit orders from possible sign reversal


Revision 1196 - Directory Listing
Modified Thu Sep 27 20:16:37 2012 UTC (7 years, 1 month ago) by braverock
- make threshold sign indifferent, if !is.null(side) by checking to see if threshold needs to be reversed to avoid crossing

Revision 1195 - Directory Listing
Modified Wed Sep 26 23:09:09 2012 UTC (7 years, 1 month ago) by opentrades
- implemented support for mktdata column containing threshold values
- fixed bug in stoptrailing nextIdx computation from dindex


Revision 1194 - Directory Listing
Modified Sun Sep 23 11:48:25 2012 UTC (7 years, 1 month ago) by braverock
- update copyrights

Revision 1193 - Directory Listing
Modified Fri Sep 21 02:12:27 2012 UTC (7 years, 1 month ago) by gsee
 check to make sure ticker symbol appears in option symbol. (quantmod::getOptionChain sometimes has a bad row that is the last price of the underlying instead of an option quote; not sure why yet)

Revision 1192 - Directory Listing
Modified Fri Sep 21 02:03:19 2012 UTC (7 years, 1 month ago) by gsee
 replace tabs with spaces

Revision 1191 - Directory Listing
Modified Sun Sep 16 20:26:12 2012 UTC (7 years, 1 month ago) by gsee
 .instrument env was not being restored properly when calling CompareInstrumentFiles with only one argument.

Revision 1190 - Directory Listing
Modified Sun Sep 16 14:44:45 2012 UTC (7 years, 1 month ago) by braverock
- update tradeQuantiles to add MAE~max(cum PL) stats and more documentation

Revision 1189 - Directory Listing
Modified Sun Sep 16 00:39:11 2012 UTC (7 years, 1 month ago) by opentrades
added 'chain' orders to parameters.R


Revision 1188 - Directory Listing
Modified Sat Sep 15 19:51:01 2012 UTC (7 years, 1 month ago) by braverock
- add tradeQuantiles function

Revision 1187 - Directory Listing
Modified Sat Sep 15 16:07:10 2012 UTC (7 years, 1 month ago) by braverock
- add details of coluns included in tradeStats fn
- fix typo

Revision 1186 - Directory Listing
Modified Sat Sep 15 15:15:57 2012 UTC (7 years, 1 month ago) by braverock
- add details of the returned data.frame for perTradeStats
- includeOpenTrade default TRUE (mark to market)
- add cross references

Revision 1185 - Directory Listing
Modified Sat Sep 15 14:26:22 2012 UTC (7 years, 1 month ago) by gsee
 typo fix

Revision 1184 - Directory Listing
Modified Sat Sep 15 14:24:51 2012 UTC (7 years, 1 month ago) by gsee
 if only one file is provided to CompareInstrumentFiles, the currently loaded .instrument environment will be compared against it.

Revision 1183 - Directory Listing
Modified Sat Sep 15 13:13:47 2012 UTC (7 years, 1 month ago) by gsee
 force evaluation of file arguments so that they can be expressions like as.list(FinancialInstrument:::.instrument, all.names=TRUE)

Revision 1182 - Directory Listing
Modified Fri Sep 14 22:45:23 2012 UTC (7 years, 1 month ago) by opentrades
removed debugging prints in perTradeStats()


Revision 1181 - Directory Listing
Modified Fri Sep 14 22:37:01 2012 UTC (7 years, 1 month ago) by opentrades
- added includeOpenTrades parameter to perTradeStats()


Revision 1180 - Directory Listing
Modified Fri Sep 14 13:38:25 2012 UTC (7 years, 1 month ago) by opentrades
- added tick chart to chart.ME()
- rewritten chart.ME() code


Revision 1179 - Directory Listing
Modified Fri Sep 14 12:47:28 2012 UTC (7 years, 1 month ago) by opentrades
added .vimrc to blotter/R dir


Revision 1178 - Directory Listing
Modified Fri Sep 14 10:59:38 2012 UTC (7 years, 1 month ago) by opentrades
- fixed Pct calculation bug in MAE and MFE results
- removed suppressWarnings()


Revision 1177 - Directory Listing
Modified Thu Sep 13 13:11:11 2012 UTC (7 years, 2 months ago) by opentrades
fixed warning msg: division by trades$Max.Notional.Cost[i] instead of trades$Max.Notional.Cost


Revision 1176 - Directory Listing
Modified Wed Sep 12 18:36:25 2012 UTC (7 years, 2 months ago) by braverock
- more documentation ligatures, hat tip to Doug Edmunds

Revision 1175 - Directory Listing
Modified Wed Sep 12 18:26:56 2012 UTC (7 years, 2 months ago) by braverock
- fix missing ligatures from old-cut and paste of documentation, hat tip to Doug Edmunds for spotting
- other minot documentation updates

Revision 1174 - Directory Listing
Modified Mon Sep 10 13:39:52 2012 UTC (7 years, 2 months ago) by braverock
- use absolute value of the position size for tick calculations

Revision 1173 - Directory Listing
Modified Mon Sep 10 12:42:07 2012 UTC (7 years, 2 months ago) by opentrades
added currency instrument definition to luxor-3-16 MFE demo


Revision 1172 - Directory Listing
Modified Mon Sep 10 12:24:59 2012 UTC (7 years, 2 months ago) by braverock
- define the instrument to perTradeStats doesn't complain

Revision 1171 - Directory Listing
Modified Sun Sep 9 21:23:00 2012 UTC (7 years, 2 months ago) by braverock
- add tick calculation
- fix typo in pct calculation

Revision 1170 - Directory Listing
Modified Sun Sep 9 16:19:26 2012 UTC (7 years, 2 months ago) by braverock
- fix PctPL calcs to do each trade individually instead of the aggregate

Revision 1169 - Directory Listing
Modified Sat Sep 8 20:24:16 2012 UTC (7 years, 2 months ago) by opentrades
fixed a typo in my surname (Humme i.o. Hume)


Revision 1168 - Directory Listing
Modified Sat Sep 8 18:13:56 2012 UTC (7 years, 2 months ago) by gsee
 add sort.instrument method

Revision 1167 - Directory Listing
Modified Sat Sep 8 15:13:16 2012 UTC (7 years, 2 months ago) by braverock
- add more accurate percent calcs
- add support for leveling in and out of positions
- add multiple additional columns to output of perTradestats

Revision 1166 - Directory Listing
Modified Sat Sep 8 13:54:51 2012 UTC (7 years, 2 months ago) by braverock
- export perTradestats

Revision 1165 - Directory Listing
Modified Sat Sep 8 13:45:01 2012 UTC (7 years, 2 months ago) by braverock
- split chat.Me and perTradeStats into two functions
- fix open last trade to use mark at end of series
- remove $ symbols from chart, not all instruments are USD
- update documentation

Revision 1164 - Directory Listing
Modified Thu Sep 6 20:21:08 2012 UTC (7 years, 2 months ago) by opentrades
update documentation on thresholds


Revision 1163 - Directory Listing
Modified Thu Sep 6 19:51:23 2012 UTC (7 years, 2 months ago) by opentrades
fixed bug where trailing stoplimit order could survive orderset cancelation;
neworders are now directly attached to ordersubset to prevent replaced trailing order
from hiding in neworders "out of scope"


Revision 1162 - Directory Listing
Modified Thu Sep 6 17:19:02 2012 UTC (7 years, 2 months ago) by opentrades
'all' now recovered for orderQty in case of OHLC stoplimitorder


Revision 1161 - Directory Listing
Modified Thu Sep 6 16:33:35 2012 UTC (7 years, 2 months ago) by opentrades
fixed OHLC stoptrailing orders in quantstrat
demo/luxor.orderchains.R now also demonstrating StopTrailing orders


Revision 1160 - Directory Listing
Modified Thu Sep 6 01:46:03 2012 UTC (7 years, 2 months ago) by opentrades
added .vimrc to set tabstops=4, shiftwidth=4 and expandtab for consistency
unless you add "set exrc" to your personal .vimrc these settings will be ignored


Revision 1159 - Directory Listing
Modified Thu Sep 6 01:17:54 2012 UTC (7 years, 2 months ago) by gsee
 missing closing braces in docs

Revision 1158 - Directory Listing
Modified Wed Sep 5 23:59:14 2012 UTC (7 years, 2 months ago) by opentrades
rewritten if clauses and for loops for market, stoplimit, limit and stoptrailing orders for better style
changed all greps to use exact regexp for these if/for clauses


Revision 1157 - Directory Listing
Modified Wed Sep 5 23:48:42 2012 UTC (7 years, 2 months ago) by opentrades
limitorders <- limitorders[-stoplimitorders] removed, does not work
changed regexp in grep for exact matches '^limit$' and '^stoplimit$'


Revision 1156 - Directory Listing
Modified Wed Sep 5 23:42:13 2012 UTC (7 years, 2 months ago) by opentrades
changed var slorder to torder around line 541 - apparently copied from slorder and never changed / never tested


Revision 1155 - Directory Listing
Modified Wed Sep 5 15:04:57 2012 UTC (7 years, 2 months ago) by opentrades
corrected data dir for demo


Revision 1154 - Directory Listing
Modified Tue Sep 4 23:55:44 2012 UTC (7 years, 2 months ago) by opentrades
fixed bug in stoptrailing (was single & where double && was required)


Revision 1153 - Directory Listing
Modified Tue Sep 4 22:08:41 2012 UTC (7 years, 2 months ago) by gsee
 minor updates to docs

Revision 1152 - Directory Listing
Modified Tue Sep 4 19:27:09 2012 UTC (7 years, 2 months ago) by opentrades
added support for orderchains in add.rule() - see: demo/luxor.orderchains.R
removed "entry" ruletype


Revision 1151 - Directory Listing
Modified Mon Sep 3 18:54:24 2012 UTC (7 years, 2 months ago) by gsee
Dates was being treated like a string, but earlier in the code it is converted to a timeBased vector.  This commit moves the second check inside first. So, if it's not timeBased, then if first.time is NA include all times up to last.time, otherwise subset by Dates.

Revision 1150 - Directory Listing
Modified Mon Sep 3 18:40:31 2012 UTC (7 years, 2 months ago) by gsee
 need to check is.na before making other comparison.  (but I think this whole check should be removed because it is taken care of earlier)

Revision 1149 - Directory Listing
Modified Sun Sep 2 15:49:40 2012 UTC (7 years, 2 months ago) by braverock
- update copyright date, overdue

Revision 1148 - Directory Listing
Modified Sun Sep 2 15:45:44 2012 UTC (7 years, 2 months ago) by braverock
- minor updates to init and wrapup
- fix typo

Revision 1147 - Directory Listing
Modified Thu Aug 30 23:19:27 2012 UTC (7 years, 2 months ago) by opentrades
added some visual improvements suggested by Samo Pahor


Revision 1146 - Directory Listing
Modified Wed Aug 29 10:15:20 2012 UTC (7 years, 2 months ago) by opentrades
added grey dashed loss diagonal to chart.ME()


Revision 1145 - Directory Listing
Modified Wed Aug 29 01:09:58 2012 UTC (7 years, 2 months ago) by gsee
 check is.na to avoid error when an attribute is NA.  This function's code could be simplified.

Revision 1144 - Directory Listing
Modified Wed Aug 29 00:29:07 2012 UTC (7 years, 2 months ago) by opentrades
added/modified luxor demo's for figures 3.11, 3.12 and 3.16 to use new blotter::chart.ME() for MAE and MFE charts


Revision 1143 - Directory Listing
Modified Tue Aug 28 21:20:12 2012 UTC (7 years, 2 months ago) by opentrades
added chart.ME(), plus some man pages that were not yet under version control


Revision 1142 - Directory Listing
Modified Tue Aug 28 19:55:56 2012 UTC (7 years, 2 months ago) by bodanker
- Revert r1141 and add silent=TRUE to several try() calls

Revision 1141 - Directory Listing
Modified Tue Aug 28 16:30:18 2012 UTC (7 years, 2 months ago) by opentrades
fixed error introduced in r1132 checking if TxnFees is function


Revision 1140 - Directory Listing
Modified Tue Aug 28 01:45:37 2012 UTC (7 years, 2 months ago) by opentrades
quantstrat/demo/luxor-3.11.R now uses data() to retrieve demo data from data dir


Revision 1139 - Directory Listing
Modified Tue Aug 28 01:25:39 2012 UTC (7 years, 2 months ago) by opentrades
moved luxor-3.09.RData to data dir, but now demo('luxor-3.11.R') is broken :(

instead use setwd('<...>/quantstart/demo'), then source('luxor-3.11.R') until
we find a better solution for the data


Revision 1138 - Directory Listing
Modified Tue Aug 28 01:16:02 2012 UTC (7 years, 2 months ago) by opentrades
Added:
* Luxor figure 3.11 (MAE graph) 
* portfolio results from figure 3.09 (used by 3.11)


Revision 1137 - Directory Listing
Modified Mon Aug 27 18:41:07 2012 UTC (7 years, 2 months ago) by gsee
 import xts to prevent masking of xts functions 

Revision 1136 - Directory Listing
Modified Sun Aug 26 13:30:15 2012 UTC (7 years, 2 months ago) by braverock
- add comments for using doParallel, demo will run single threaded for now

Revision 1135 - Directory Listing
Modified Sun Aug 26 13:28:35 2012 UTC (7 years, 2 months ago) by braverock
- add comments describing using doParallel in the demos, demos will run single threaded by default for now

Revision 1134 - Directory Listing
Modified Sun Aug 26 01:22:09 2012 UTC (7 years, 2 months ago) by gsee
fix if statement to avoid calling inherits on an object that does not exist

Revision 1133 - Directory Listing
Modified Sat Aug 25 23:16:52 2012 UTC (7 years, 2 months ago) by gsee
 subset xts instead of list containing xts. Thanks to Generalenthu from SO for the bug report.

Revision 1132 - Directory Listing
Modified Sat Aug 25 08:42:47 2012 UTC (7 years, 2 months ago) by braverock
- fix passing TxnFees as character string adapted from patch submitted by Jian Li
- explicitly use time.xts anywhere we need it based on recommendation from Garrett See
- minor documentation updates 

Revision 1131 - Directory Listing
Modified Thu Aug 23 15:22:16 2012 UTC (7 years, 2 months ago) by gsee
update DESCRIPTION to not say "under heavy development"

Revision 1130 - Directory Listing
Modified Wed Aug 22 13:16:39 2012 UTC (7 years, 2 months ago) by gsee
 remove export line of NAMESPACE for function that no longer exists

Revision 1129 - Directory Listing
Modified Wed Aug 22 02:13:54 2012 UTC (7 years, 2 months ago) by gsee
 removed deprecated synthetic.ratio

Revision 1128 - Directory Listing
Modified Wed Aug 22 01:48:39 2012 UTC (7 years, 2 months ago) by gsee
 minor fixes in docs

Revision 1127 - Directory Listing
Modified Thu Aug 16 21:32:32 2012 UTC (7 years, 2 months ago) by gsee
 bump to version 1.0 in anticipation of push to CRAN

Revision 1126 - Directory Listing
Modified Thu Aug 9 13:47:20 2012 UTC (7 years, 3 months ago) by opentrades
changed name of maxDrawdown in Max.Drawdown to match convention (tradeStats())


Revision 1125 - Directory Listing
Modified Wed Aug 8 13:31:48 2012 UTC (7 years, 3 months ago) by opentrades
moved the luxor demo's back into the demo dir and updated 00Index


Revision 1124 - Directory Listing
Modified Wed Aug 8 12:07:15 2012 UTC (7 years, 3 months ago) by opentrades
reworked luxor demos, put them in separate subdir, added timespan analysis, included some scan result object in data dir

Revision 1123 - Directory Listing
Modified Wed Aug 8 11:10:03 2012 UTC (7 years, 3 months ago) by opentrades
- applyParameters(verbose=FALSE) now only returns tradeStats, params, and portfolio name
- applyParameters(verbose=TRUE) returns all data, as before


Revision 1122 - Directory Listing
Modified Sun Aug 5 18:41:47 2012 UTC (7 years, 3 months ago) by gsee
 make language of messages more consistent.

Revision 1121 - Directory Listing
Modified Sun Aug 5 18:37:34 2012 UTC (7 years, 3 months ago) by gsee
 escape dot in Perl regex in .Rbuildignore file

Revision 1120 - Directory Listing
Modified Sun Aug 5 17:09:37 2012 UTC (7 years, 3 months ago) by braverock
- initial version of hedge ratio wrapper, not done enough for main repository yet

Revision 1119 - Directory Listing
Modified Sun Aug 5 17:00:54 2012 UTC (7 years, 3 months ago) by opentrades
parameters.R: removed some unused vars, renamed a couple of other vars for better readability

Revision 1118 - Directory Listing
Modified Sun Aug 5 16:47:17 2012 UTC (7 years, 3 months ago) by opentrades
added support for pos limits to applyParameters(), so it now supports osMaxPos()

Revision 1117 - Directory Listing
Modified Fri Aug 3 23:31:40 2012 UTC (7 years, 3 months ago) by opentrades
parameters.R now also deals with params outside of the argument param, in particular timespan; introduced function set.param.value()

Revision 1116 - Directory Listing
Modified Thu Aug 2 15:32:33 2012 UTC (7 years, 3 months ago) by opentrades
moved GBPUSD data from sandbox to data dir and adjusted demo/luxor.R

Revision 1115 - Directory Listing
Modified Wed Aug 1 16:14:47 2012 UTC (7 years, 3 months ago) by bodanker
- Reverse subsetting for timespan check in rules.R (speed improvement)

Revision 1114 - Directory Listing
Modified Wed Aug 1 14:25:11 2012 UTC (7 years, 3 months ago) by opentrades
vectorized inner for loop in tradeGraphs.R

Revision 1113 - Directory Listing
Modified Tue Jul 31 22:56:52 2012 UTC (7 years, 3 months ago) by opentrades
new tradeGraphs.R version in demo

Revision 1112 - Directory Listing
Modified Tue Jul 31 19:13:22 2012 UTC (7 years, 3 months ago) by opentrades
require(rgl) nows check for result and throws an error if fails

Revision 1111 - Directory Listing
Modified Tue Jul 31 19:03:41 2012 UTC (7 years, 3 months ago) by opentrades
added tradeGraphs() function

Revision 1110 - Directory Listing
Modified Mon Jul 30 11:00:47 2012 UTC (7 years, 3 months ago) by opentrades
added rgl graphs for luxor plus some test data to demos

Revision 1109 - Directory Listing
Modified Tue Jul 24 15:10:59 2012 UTC (7 years, 3 months ago) by opentrades
now only cleaning .blotter in foreach if not DoSEQ registered as parallel backend


Revision 1108 - Directory Listing
Modified Tue Jul 24 14:21:44 2012 UTC (7 years, 3 months ago) by opentrades
fixed accumulating memory bug in .blotter environment by cleaning .blotter at start of each 
foreach loop in applyParameters() 


Revision 1107 - Directory Listing
Modified Thu Jul 19 20:34:47 2012 UTC (7 years, 3 months ago) by opentrades
made quantstrat/demo/luxor.R to work out-of-the-box with sandbox data again


Revision 1106 - Directory Listing
Modified Thu Jul 12 20:18:19 2012 UTC (7 years, 4 months ago) by braverock
- pass dots in applyParameter, into foreach, and to applyStrategy

Revision 1105 - Directory Listing
Modified Tue Jul 10 14:47:17 2012 UTC (7 years, 4 months ago) by opentrades
added new versions for luxor.R and luxorParameters.R


Revision 1104 - Directory Listing
Modified Tue Jul 10 02:39:31 2012 UTC (7 years, 4 months ago) by gsee
 instrument_attr uses dots to allow 'type' to be passed to getInstrument.  Thanks to Phil Elsasser for the suggestion

Revision 1103 - Directory Listing
Modified Mon Jul 9 15:08:11 2012 UTC (7 years, 4 months ago) by gsee
 update docs

Revision 1102 - Directory Listing
Modified Mon Jul 9 14:59:51 2012 UTC (7 years, 4 months ago) by gsee
 add CompareInstrumentFiles fun to see the diffs between 2 .instrument environments.

Revision 1101 - Directory Listing
Modified Fri Jul 6 13:46:05 2012 UTC (7 years, 4 months ago) by opentrades
added bee.R to the demo dir


Revision 1100 - Directory Listing
Modified Wed Jul 4 23:57:07 2012 UTC (7 years, 4 months ago) by gsee
 allow TxnFees to be a column in TxnData arg to addTxns. Thanks Hideyoshi Maeda for the report!

Revision 1099 - Directory Listing
Modified Wed Jul 4 14:31:08 2012 UTC (7 years, 4 months ago) by opentrades
removed GSPC.rda from sandbox


Revision 1098 - Directory Listing
Modified Tue Jul 3 17:45:36 2012 UTC (7 years, 4 months ago) by opentrades
* small changes for luxor.R
* first commit for luxorParameters.R


Revision 1097 - Directory Listing
Modified Sun Jul 1 00:30:39 2012 UTC (7 years, 4 months ago) by braverock
- add example of osMaxPos and addPosLimit to bbands demo

Revision 1096 - Directory Listing
Modified Sat Jun 30 21:35:14 2012 UTC (7 years, 4 months ago) by braverock
- wrap with print() so they'll work in source()

Revision 1095 - Directory Listing
Modified Sat Jun 30 21:33:50 2012 UTC (7 years, 4 months ago) by braverock
- make demo less verbose
- process verbose argument in applyParameters
- change to doParallel in comments
- show how to get stats table

Revision 1094 - Directory Listing
Modified Sat Jun 30 16:22:14 2012 UTC (7 years, 4 months ago) by gsee
 undo export of alltick2sec (probably should not export to_secBATV either)

Revision 1093 - Directory Listing
Modified Sat Jun 30 16:19:43 2012 UTC (7 years, 4 months ago) by gsee
 docs; combine docs for to_secBATV and alltick2sec

Revision 1092 - Directory Listing
Modified Sat Jun 30 00:06:09 2012 UTC (7 years, 4 months ago) by gsee
 docs

Revision 1091 - Directory Listing
Modified Fri Jun 29 21:13:48 2012 UTC (7 years, 4 months ago) by gsee
 when a new primary_id has to be created, add an identifier. So, with e.g.
 stock("USD", currency("USD")), getInstrument("USD", type='stock') will find
 the stock, and getInstrument("USD") will find the currency


Revision 1090 - Directory Listing
Modified Fri Jun 29 20:49:28 2012 UTC (7 years, 4 months ago) by gsee
 - A currency cannot be overwritten by an instrument of another type without 
   explicitly deleting it first (e.g. via rm_currencies()).  This makes possible
   stock("USD", currency("USD")).
 - parse_id updated to know that "USD.1" is not a calendar spread.


Revision 1089 - Directory Listing
Modified Fri Jun 29 20:28:42 2012 UTC (7 years, 4 months ago) by braverock
- fix another incompatible methods warning as reported by Garrett See and Jan Hume

Revision 1088 - Directory Listing
Modified Thu Jun 28 16:15:59 2012 UTC (7 years, 4 months ago) by gsee
 Update docs; add example to getSymbols.FI

Revision 1087 - Directory Listing
Modified Thu Jun 28 15:12:01 2012 UTC (7 years, 4 months ago) by gsee
 - Updates to docs
 - formatting related to trying to get margin down to 80

Revision 1086 - Directory Listing
Modified Thu Jun 28 13:41:41 2012 UTC (7 years, 4 months ago) by opentrades
updated sandbox/GSPC.rda


Revision 1085 - Directory Listing
Modified Thu Jun 28 13:25:15 2012 UTC (7 years, 4 months ago) by opentrades
luxor now pointing to sandbox for data


Revision 1084 - Directory Listing
Modified Thu Jun 28 13:20:55 2012 UTC (7 years, 4 months ago) by opentrades
updated luxor demo, now correctly running using latest quantstrat svn r1082


Revision 1083 - Directory Listing
Modified Thu Jun 28 12:23:27 2012 UTC (7 years, 4 months ago) by opentrades
added sandbox/GSPC.rda


Revision 1082 - Directory Listing
Modified Thu Jun 28 09:43:45 2012 UTC (7 years, 4 months ago) by opentrades
* orderQty now set to 0 again in cases where sign and orderside do not match; stop condition removed


Revision 1081 - Directory Listing
Modified Thu Jun 28 09:02:35 2012 UTC (7 years, 4 months ago) by opentrades
* removed :: in front of verbose date print in addTxn() 


Revision 1080 - Directory Listing
Modified Thu Jun 28 09:00:44 2012 UTC (7 years, 4 months ago) by opentrades
* applied format to orderbook Order.StatusTime printout to ensure printing of 00:00:00 for midnight, in 4 locations, ruleOrderProc.R


Revision 1079 - Directory Listing
Modified Thu Jun 28 08:47:13 2012 UTC (7 years, 4 months ago) by opentrades
* applied format to transaction date printout to ensure printing of 00:00:00 for midnight


Revision 1078 - Directory Listing
Modified Thu Jun 28 04:38:16 2012 UTC (7 years, 4 months ago) by bodanker
- fixed midnight timestamp / timespan format bug in other functions. Some
  locations still use paste/as.character, but they should be okay. Biggest
  problem is when "::" is on LHS.

Revision 1077 - Directory Listing
Modified Wed Jun 27 21:52:30 2012 UTC (7 years, 4 months ago) by opentrades
* fixed midnight timestamp / timespan format bug in rules.R
* promoted warning() for orderside/qty-sign of exit/all orders in ruleOrderProc.R to stop() condition


Revision 1076 - Directory Listing
Modified Wed Jun 27 21:48:51 2012 UTC (7 years, 4 months ago) by peter_carl
- additional fixes
- added a parameter to suppress download

Revision 1075 - Directory Listing
Modified Wed Jun 27 20:32:03 2012 UTC (7 years, 4 months ago) by peter_carl
- fixed meta-data parsing problem

Revision 1074 - Directory Listing
Modified Mon Jun 25 20:27:02 2012 UTC (7 years, 4 months ago) by gsee
Updates to FinancialInstrument-package.R
 - insert line breaks to try to stay within 80 character margin
 - add to authors those from the DESCRIPTION file; alphabetize by last name
 - minor edits to text
 - add more to examples


Revision 1073 - Directory Listing
Modified Mon Jun 25 19:21:43 2012 UTC (7 years, 4 months ago) by opentrades
- reject order if pos==0


Revision 1072 - Directory Listing
Modified Mon Jun 25 16:51:44 2012 UTC (7 years, 4 months ago) by gsee
 remove getSymbols.FIpar because it does not help (Thanks Joshua Ulrich). Setting verbose=FALSE offers at least the same benefit.


Revision 1071 - Directory Listing
Modified Mon Jun 25 15:23:47 2012 UTC (7 years, 4 months ago) by gsee
Move some functions from (private) package:gsee
 - getSymbols.FIpar (same as getSymbols.FI, but will run in parallel if a foreach backend has been registered)
 - update_instruments.morningstar 
 - update_instruments.iShares
 - FindCommonInstrumentAttributes
 - Notionalize and Denotionalize

Revision 1070 - Directory Listing
Modified Mon Jun 25 04:18:44 2012 UTC (7 years, 4 months ago) by gsee
 - roxygenize package-level docs; copy FinancialInstrument-package.Rd into an roxygen block in a new .R file
 - added examples to package-level docs.

Revision 1069 - Directory Listing
Modified Sun Jun 24 02:14:14 2012 UTC (7 years, 4 months ago) by bodanker
- Move NULL/character Date check to before .parseISO8601(Dates)

Revision 1068 - Directory Listing
Modified Sat Jun 23 19:20:48 2012 UTC (7 years, 4 months ago) by braverock
- update support for replacing ordersets
- update roxygen docs

Revision 1067 - Directory Listing
Modified Sat Jun 23 17:36:28 2012 UTC (7 years, 4 months ago) by braverock
- don't execute an exit all order on the wrong orderside of the current position
- update roxygen documentation

Revision 1066 - Directory Listing
Modified Sat Jun 23 16:46:05 2012 UTC (7 years, 4 months ago) by braverock
- fixes to better handle orderqty=='all' and defer processing until ruleOrderProc
- remove check for order crossing through zero, that's handed in blotter now
- update roxygen documentation
- bump version

Revision 1065 - Directory Listing
Modified Thu Jun 21 19:45:21 2012 UTC (7 years, 4 months ago) by bodanker
- Only update ordersubset with cancelled orders if some are *actually* canceled

Revision 1064 - Directory Listing
Modified Thu Jun 21 15:42:25 2012 UTC (7 years, 4 months ago) by bodanker
- Set TZ environment variable in rocema.R

Revision 1063 - Directory Listing
Modified Thu Jun 21 13:43:54 2012 UTC (7 years, 4 months ago) by opentrades
* modified rocema.R and luxor.p3_2.R to use data from sandbox dir
* added 2002.10.*.GPBUSD.rda data to sandbox


Revision 1062 - Directory Listing
Modified Thu Jun 21 13:07:13 2012 UTC (7 years, 4 months ago) by opentrades
added testdata ES 2011.01* OHLC 1min to sandbox


Revision 1061 - Directory Listing
Modified Thu Jun 21 12:55:27 2012 UTC (7 years, 4 months ago) by opentrades
* changed rocema.R to use --vanilla and define instruments, now with ES future, and options(width = 240)
* changed luxor.p3_2.R to use --vanilla and define instruments, now with ES future, and options(width = 240)


Revision 1060 - Directory Listing
Modified Thu Jun 21 12:27:03 2012 UTC (7 years, 4 months ago) by opentrades
added rocema strategy to demonstrate ordersets and stop and reverse


Revision 1059 - Directory Listing
Modified Wed Jun 20 21:26:51 2012 UTC (7 years, 4 months ago) by opentrades
* now using --vanilla and defining instruments in code
* added tradeStats()


Revision 1058 - Directory Listing
Modified Wed Jun 20 12:57:10 2012 UTC (7 years, 4 months ago) by opentrades
throwing warming when trying to exit/all pos while orderqty sign is wrong


Revision 1057 - Directory Listing
Modified Mon Jun 18 17:48:44 2012 UTC (7 years, 4 months ago) by opentrades
fixed bug: Num.Trades count was one too low


Revision 1056 - Directory Listing
Modified Mon Jun 18 17:44:23 2012 UTC (7 years, 4 months ago) by opentrades
added column Number.Trades to reflect nrow(PL.ne0) - 1


Revision 1055 - Directory Listing
Modified Mon Jun 18 17:38:11 2012 UTC (7 years, 4 months ago) by opentrades
renamed column name Number.Trades to Num.Txns


Revision 1054 - Directory Listing
Modified Sun Jun 17 15:22:24 2012 UTC (7 years, 4 months ago) by opentrades
added luxor demo first version (paragraph 3.2 of Jaekle / Tomasini)


Revision 1053 - Directory Listing
Modified Fri Jun 15 19:33:29 2012 UTC (7 years, 4 months ago) by braverock
- revert Date check

Revision 1052 - Directory Listing
Modified Fri Jun 15 17:06:16 2012 UTC (7 years, 4 months ago) by braverock
- move timeBased TxnDate check to beginning of function
- convert 'Date' indices to POSIXct

Revision 1051 - Directory Listing
Modified Fri Jun 15 15:39:44 2012 UTC (7 years, 4 months ago) by braverock
- don't change posAvgCost if position is decreasing (getting closer to flat), posAvgCost for remaining open position is the same

Revision 1050 - Directory Listing
Modified Fri Jun 15 12:48:56 2012 UTC (7 years, 4 months ago) by opentrades
now treating 'daily' trades like intraday again, ie. obtain price from next bar. weekly and less frequent still use same bar


Revision 1049 - Directory Listing
Modified Fri Jun 15 12:46:19 2012 UTC (7 years, 4 months ago) by opentrades
fixed a typo: missing '}' caused warnings


Revision 1048 - Directory Listing
Modified Thu Jun 14 21:05:50 2012 UTC (7 years, 5 months ago) by braverock
- update docs

Revision 1047 - Directory Listing
Modified Thu Jun 14 17:53:09 2012 UTC (7 years, 5 months ago) by opentrades
fixed case where prefer = NULL


Revision 1046 - Directory Listing
Modified Thu Jun 14 17:28:03 2012 UTC (7 years, 5 months ago) by opentrades
fixed bug in handling prefer for market orders


Revision 1045 - Directory Listing
Modified Sun Jun 10 22:13:32 2012 UTC (7 years, 5 months ago) by gsee
 typo in docs

Revision 1044 - Directory Listing
Modified Sun Jun 10 22:10:54 2012 UTC (7 years, 5 months ago) by gsee
 get data from env instead of .GlobalEnv

Revision 1043 - Directory Listing
Modified Sat Jun 9 18:14:28 2012 UTC (7 years, 5 months ago) by gsee
 allow ls_instruments_by to be called with only 1 arg; missing value treated like NULL

Revision 1042 - Directory Listing
Modified Tue Jun 5 23:04:48 2012 UTC (7 years, 5 months ago) by gsee
 minor updates to docs

Revision 1041 - Directory Listing
Modified Tue Jun 5 15:47:36 2012 UTC (7 years, 5 months ago) by gsee
 typo in getSymbols call; source --> src

Revision 1040 - Directory Listing
Modified Mon Jun 4 00:19:59 2012 UTC (7 years, 5 months ago) by gsee
 useBytes in grep to avoid warning about invalid input in multibyte locales.

Revision 1039 - Directory Listing
Modified Sun Jun 3 23:50:43 2012 UTC (7 years, 5 months ago) by gsee
 add reloadInstruments wrapper for loadInstruments that removes all instruments before calling loadInstruments

Revision 1038 - Directory Listing
Modified Sun Jun 3 15:36:21 2012 UTC (7 years, 5 months ago) by bodanker
- correct check for valid prices in .updatePosPL (Prices -> prices)

Revision 1037 - Directory Listing
Modified Sat Jun 2 23:44:40 2012 UTC (7 years, 5 months ago) by gsee
 isTRUE(silent) should take place inside if statement

Revision 1036 - Directory Listing
Modified Sat Jun 2 19:14:48 2012 UTC (7 years, 5 months ago) by gsee
 use seq_along instead of i:length to prevent error when loading empy instrument environment.

Revision 1035 - Directory Listing
Modified Sat Jun 2 15:08:44 2012 UTC (7 years, 5 months ago) by gsee
 update_instruments.TTR no longer fails when called with Symbols that are not listed on 'exchange'.  It also gains a 'silent' arg.

Revision 1034 - Directory Listing
Modified Wed May 30 03:12:26 2012 UTC (7 years, 5 months ago) by gsee
 bugfixes in update_instruments.masterDATA

Revision 1033 - Directory Listing
Modified Wed May 30 01:13:22 2012 UTC (7 years, 5 months ago) by gsee
 - add function to update ETF instruments using masterdata.com
 - roxygenize

Revision 1032 - Directory Listing
Modified Tue May 29 00:58:54 2012 UTC (7 years, 5 months ago) by jonathan
updated harModel, jump aggregation and leverage effects can now be included!

Revision 1031 - Directory Listing
Modified Mon May 28 21:32:03 2012 UTC (7 years, 5 months ago) by opentrades
risk/exit-'all' orders now cancel all open orders in corresponding orderset, even if current position = 0

Revision 1030 - Directory Listing
Modified Sat May 26 14:58:40 2012 UTC (7 years, 5 months ago) by braverock
- update contributors, alpha order

Revision 1029 - Directory Listing
Modified Fri May 25 17:19:32 2012 UTC (7 years, 5 months ago) by opentrades
fixed stoplimit order bug (order sometimes executed immediately)

Revision 1028 - Directory Listing
Modified Mon May 21 03:15:05 2012 UTC (7 years, 5 months ago) by jonathan
vignette added and first version of HARmodel implemented

Revision 1027 - Directory Listing
Modified Fri May 18 17:49:04 2012 UTC (7 years, 5 months ago) by braverock
- add check for valid dates from prices before trying to update in .updatePosPL, thanks to algotr8der for the report
- add is.account utility function
- bump version

Revision 1026 - Directory Listing
Modified Fri May 18 17:40:23 2012 UTC (7 years, 5 months ago) by braverock
- add rule.order option to applyRules
- update roxygen docs
- bump version

Revision 1025 - Directory Listing
Modified Wed May 16 19:06:09 2012 UTC (7 years, 5 months ago) by opentrades
changed default orderset in ruleSignal.R to NULL

Revision 1024 - Directory Listing
Modified Wed May 16 19:00:49 2012 UTC (7 years, 5 months ago) by jonathan


Revision 1023 - Directory Listing
Modified Wed May 16 16:44:15 2012 UTC (7 years, 5 months ago) by jonathan
Included Realized library from http://realized.oxford-man.ox.ac.uk/ as xts object, which will be useful for examples of the HF forecasting functions. Thanks to Oxford-Man Institute of Quantitative Finance.

Revision 1022 - Directory Listing
Modified Fri May 11 02:31:18 2012 UTC (7 years, 6 months ago) by gsee
 use local variable inside for loop in prev.future_id

Revision 1021 - Directory Listing
Modified Tue May 8 21:17:49 2012 UTC (7 years, 6 months ago) by braverock
- modify prior commit to use as.character instead to support (again) order.qty='all'
	- thanks to Jan Humme (OpenTrades) for spotting the discrepancy

Revision 1020 - Directory Listing
Modified Tue May 8 15:26:31 2012 UTC (7 years, 6 months ago) by braverock
- add further code to call osFUN when required, and not when not.  patch from Jan Humme
- fix qty to numeric in addOrder to support order sets
- re-expose pair_trade demo, since it works again

Revision 1019 - Directory Listing
Modified Sun May 6 15:15:05 2012 UTC (7 years, 6 months ago) by gsee
 speed up and simplify ls_instruments

Revision 1018 - Directory Listing
Modified Sat May 5 20:58:07 2012 UTC (7 years, 6 months ago) by jonathan
Updated convert function (conversion X to xts/Rdata): supports data from tickdata.com and allows input data from WRDS to be in one csv file..

Revision 1017 - Directory Listing
Modified Sat May 5 01:33:07 2012 UTC (7 years, 6 months ago) by gsee
 Patches to pass R CMD check without warnings or notes
 - comment body of calcPortfWgt because it uses a non-existant function (.calcPortfAttr) 
 - Suggests: quantmod
 - add is.portfolio.Rd


Revision 1016 - Directory Listing
Modified Sat May 5 00:07:01 2012 UTC (7 years, 6 months ago) by gsee
just enough tweaks to pass R CMD check; did NOT patch all warnings and notes.

Revision 1015 - Directory Listing
Modified Fri May 4 20:03:53 2012 UTC (7 years, 6 months ago) by braverock
- add patch from Jan Humme to fix some broken exit rule order entry logic

Revision 1014 - Directory Listing
Modified Fri May 4 19:56:52 2012 UTC (7 years, 6 months ago) by braverock
- force Date to be POSIXct if it isn't

Revision 1013 - Directory Listing
Modified Fri May 4 15:27:53 2012 UTC (7 years, 6 months ago) by gsee
 add notional arg to fn_SpreadBuilder; gives the option to not use multipliers

Revision 1012 - Directory Listing
Modified Fri May 4 14:02:03 2012 UTC (7 years, 6 months ago) by braverock
- update roxygen documentation, bump version, update NAMESPACE

Revision 1011 - Directory Listing
Modified Fri May 4 11:59:09 2012 UTC (7 years, 6 months ago) by braverock
- bump version, add contributors, change maintainer

Revision 1010 - Directory Listing
Modified Fri May 4 11:55:18 2012 UTC (7 years, 6 months ago) by braverock
- improve order sets functionality to provide OCO (one cancels other) capability.
	many thanks to Jan Humme (OpenTrades) for much of the code

Revision 1009 - Directory Listing
Modified Fri May 4 11:24:31 2012 UTC (7 years, 6 months ago) by braverock
- add notes on fixing current order sizing bug

Revision 1008 - Directory Listing
Modified Thu May 3 15:47:08 2012 UTC (7 years, 6 months ago) by gsee
remove pair_trade demo until order-sizing functionality is restored.

Revision 1007 - Directory Listing
Modified Tue May 1 19:35:45 2012 UTC (7 years, 6 months ago) by braverock
- split transactions that would cross through 0
- don't use paste() in getPos, use the timestamp directly
- bump version

Revision 1006 - Directory Listing
Modified Tue Apr 24 00:26:23 2012 UTC (7 years, 6 months ago) by gsee
 hardcode tzone=GMT when creating xts from TrueFX data

Revision 1005 - Directory Listing
Modified Wed Apr 18 12:03:55 2012 UTC (7 years, 6 months ago) by braverock
- add Date keyword to DESCRIPTION

Revision 1004 - Directory Listing
Modified Sun Apr 15 13:21:59 2012 UTC (7 years, 6 months ago) by gsee
 - add add.defined.by function
 - fix link in getSymbols.FI docs

Revision 1003 - Directory Listing
Modified Fri Apr 13 02:11:39 2012 UTC (7 years, 7 months ago) by gsee
 roxygen comment was missing a '
 # --> #'

Revision 1002 - Directory Listing
Modified Thu Apr 12 15:19:51 2012 UTC (7 years, 7 months ago) by gsee
 better argument matching in getSymbols.FI

Revision 1001 - Directory Listing
Modified Mon Apr 9 14:38:32 2012 UTC (7 years, 7 months ago) by gsee
 importDefaults has to be called AFTER hasArg checks.

Revision 1000 - Directory Listing
Modified Mon Apr 9 13:54:16 2012 UTC (7 years, 7 months ago) by gsee
 add script to download FREE historical bid/ask TICK data for 15 spot FX rates

Revision 999 - Directory Listing
Modified Thu Apr 5 07:29:45 2012 UTC (7 years, 7 months ago) by jonathan


Revision 998 - Directory Listing
Modified Wed Apr 4 14:36:27 2012 UTC (7 years, 7 months ago) by jonathan


Revision 997 - Directory Listing
Modified Tue Apr 3 17:08:10 2012 UTC (7 years, 7 months ago) by kboudt


Revision 996 - Directory Listing
Modified Tue Apr 3 16:59:34 2012 UTC (7 years, 7 months ago) by kboudt


Revision 995 - Directory Listing
Modified Tue Apr 3 16:56:07 2012 UTC (7 years, 7 months ago) by kboudt


Revision 994 - Directory Listing
Modified Sun Apr 1 23:58:26 2012 UTC (7 years, 7 months ago) by gsee
 in redenominate, if both currencies are the same, use 1 as the exchange rate 
 instead of failing

Revision 993 - Directory Listing
Modified Sat Mar 31 17:29:03 2012 UTC (7 years, 7 months ago) by braverock
- don't evaluate exit orders if you are flat and they are of type 'market'

Revision 992 - Directory Listing
Modified Wed Mar 28 14:51:38 2012 UTC (7 years, 7 months ago) by gsee
 fix partial arg to pass R 2.15.0 check

Revision 991 - Directory Listing
Modified Wed Mar 28 13:57:26 2012 UTC (7 years, 7 months ago) by gsee
 sort_ids is better at handling instruments with multiple expires values.

Revision 990 - Directory Listing
Modified Mon Mar 26 17:07:54 2012 UTC (7 years, 7 months ago) by braverock
- replace incorect use of mktdataTimestamp instead of timestamp

Revision 989 - Directory Listing
Modified Mon Mar 26 13:55:02 2012 UTC (7 years, 7 months ago) by braverock
- fix typos in setting of tmpqty if no trade will occur but we still need to check for later price crosses, thanks Jan

Revision 988 - Directory Listing
Modified Sun Mar 25 20:29:29 2012 UTC (7 years, 7 months ago) by braverock
- make stoplimit more stable by making qty numeric
- add same basic handling for stoptrailing, not sure this functionality is completely working again yet
- add version of macd demo with example rules

Revision 987 - Directory Listing
Modified Sun Mar 25 19:14:04 2012 UTC (7 years, 7 months ago) by braverock
- remove traderules.R file, split into ruleSignal.R and osFUNs.R

Revision 986 - Directory Listing
Modified Sun Mar 25 19:04:37 2012 UTC (7 years, 7 months ago) by braverock
- allow orderqty='all' for 'risk' orders
- fix 'stoplimit' orders, should be working now, use stoplimit if order price would be through the market on that side at time of order entry, 'limit' otherwise.

Revision 985 - Directory Listing
Modified Sun Mar 25 17:07:06 2012 UTC (7 years, 7 months ago) by braverock
- update roxygen docs

Revision 984 - Directory Listing
Modified Sun Mar 25 16:25:19 2012 UTC (7 years, 7 months ago) by braverock
- add threshold patch to use threshold on creation of limit order provided by Jan Humme <jan <at> opentrades <dot> nl>

Revision 983 - Directory Listing
Modified Sun Mar 25 16:12:43 2012 UTC (7 years, 7 months ago) by braverock
- separate ruleSignal and order sizing functions

Revision 982 - Directory Listing
Modified Sun Mar 25 16:09:52 2012 UTC (7 years, 7 months ago) by braverock
- separate ruleOrderProc into its own file
- add TZ patch provided by Jan Humme <jan <at> opentrades <dot> nl>

Revision 981 - Directory Listing
Modified Sat Mar 24 16:22:35 2012 UTC (7 years, 7 months ago) by gsee
 if instrument.auto is creating a future_series or option_series that has pre-defined
 root, do not warn that USD is being used as the currency. (root's currency will be
 used)

Revision 980 - Directory Listing
Modified Sat Mar 24 04:19:17 2012 UTC (7 years, 7 months ago) by gsee
 patch add.identifier so that identifiers can be named arguments or a list.

Revision 979 - Directory Listing
Modified Sat Mar 24 03:23:46 2012 UTC (7 years, 7 months ago) by gsee
 rewrite of add.instrument

Revision 978 - Directory Listing
Modified Sat Mar 24 00:53:23 2012 UTC (7 years, 7 months ago) by gsee
 - add function add.identifier
 - instrument_attr: if trying to set identifiers, make sure identifiers is a 
      list; if not, call add.identifier
 - instrument_attr: replace ifs with if() {} else if()

Revision 977 - Directory Listing
Modified Sat Mar 24 00:10:48 2012 UTC (7 years, 7 months ago) by gsee
 getInstrument searches for x in addition to make.names(x)

Revision 976 - Directory Listing
Modified Mon Mar 19 15:12:50 2012 UTC (7 years, 7 months ago) by gsee
 define_futures.tblox was assigning instruments to old location (.GlobalEnv$.instrument instead of FinancialInstrument:::.instrument)

Revision 975 - Directory Listing
Modified Thu Mar 15 20:15:05 2012 UTC (7 years, 7 months ago) by kboudt
added documentation

Revision 974 - Directory Listing
Modified Thu Mar 15 18:03:42 2012 UTC (7 years, 7 months ago) by kboudt
Update two time scale functions, whereby different time scales can be used for different assets. Also corrected bug reported by Darko. 

Revision 973 - Directory Listing
Modified Thu Mar 15 17:11:14 2012 UTC (7 years, 7 months ago) by gsee
 tick_size a formal of exchange_rate to avoid formal argument matched by
 multiple actual arguments error

Revision 972 - Directory Listing
Modified Wed Mar 14 20:04:27 2012 UTC (7 years, 8 months ago) by gsee
 patches for getSymbols.tblox

Revision 971 - Directory Listing
Modified Fri Mar 9 14:28:06 2012 UTC (7 years, 8 months ago) by gsee
 -avoid warning if "where" is a vector

Revision 970 - Directory Listing
Modified Fri Mar 9 14:23:03 2012 UTC (7 years, 8 months ago) by gsee
 - do not attempt to set indexTZ on NULL
 - some other updates to make it easier to add arguments (e.g. timespan) in the future if we want to.

Revision 969 - Directory Listing
Modified Thu Mar 8 14:20:57 2012 UTC (7 years, 8 months ago) by gsee
 only return unique ids found with find.instrument

Revision 968 - Directory Listing
Modified Thu Mar 8 03:28:31 2012 UTC (7 years, 8 months ago) by gsee
 - add "exclude" arg to find.instrument
 - add docs

Revision 967 - Directory Listing
Modified Thu Mar 8 02:39:22 2012 UTC (7 years, 8 months ago) by gsee
add find.instrument function that will search for text in instruments and return the
primary_ids of the instruments containing the search string

Revision 966 - Directory Listing
Modified Wed Mar 7 20:40:36 2012 UTC (7 years, 8 months ago) by braverock
- add rule label column to order book, patch suggested by code from <Jan <at> opentrades <dot> com>
- minor updates to roxygen comments, not yet 'published'

Revision 965 - Directory Listing
Modified Mon Mar 5 16:05:30 2012 UTC (7 years, 8 months ago) by braverock
- comment stoplimit until I can get them fixed

Revision 964 - Directory Listing
Modified Sun Mar 4 21:10:35 2012 UTC (7 years, 8 months ago) by gsee
 add file header and svn props to expires.R

Revision 963 - Directory Listing
Modified Sun Mar 4 21:01:36 2012 UTC (7 years, 8 months ago) by gsee
 - buildHierarchy improvements:  removed "levels" arg (but still back-compatible);
                                                 can accept single vector or multiple arguments.
 - better matching syntax in update_instruments.TTR
 - minor update to expires docs

Revision 962 - Directory Listing
Modified Sun Mar 4 20:09:15 2012 UTC (7 years, 8 months ago) by braverock
- update parameter tests to not require doSMP, add notes about configuring parallel backend to foreach
- rename parameter tests
- add to 00index

Revision 961 - Directory Listing
Modified Sun Mar 4 19:52:03 2012 UTC (7 years, 8 months ago) by braverock
- change parameter load to us new FI and loadInstruments that will take a list argument, thanks Garrett

Revision 960 - Directory Listing
Modified Sun Mar 4 15:32:31 2012 UTC (7 years, 8 months ago) by braverock
- minor updates to roxygen comments, not yet 'published'

Revision 959 - Directory Listing
Modified Sun Mar 4 15:31:38 2012 UTC (7 years, 8 months ago) by braverock
- add storefun formal to add.rule to aid debugging, default TRUE
- minor updates to roxygen comments, not yet 'published'

Revision 958 - Directory Listing
Modified Sun Mar 4 15:29:13 2012 UTC (7 years, 8 months ago) by braverock
- stoplimit, stoptrailing, iceberg orders with threshold now enter correct prices (again)
	TODO FIXME execution logic still broken for these, but needed to fix prices first.

Revision 957 - Directory Listing
Modified Sun Mar 4 01:35:01 2012 UTC (7 years, 8 months ago) by gsee
 - loadInstruments can be called with an environment or a list instead of the name of 
    a file.

Revision 956 - Directory Listing
Modified Sat Mar 3 19:19:06 2012 UTC (7 years, 8 months ago) by gsee
 - If saveInstrument is given a file name that ends with ".R" or ".txt" it will
   create a file of R code that can be used (sourced) to recreate the 
   .instrument environment.
 - loadInstrument also supports .R and .txt files
 - removed extension formal

Revision 955 - Directory Listing
Modified Sat Mar 3 13:11:39 2012 UTC (7 years, 8 months ago) by gsee
 update_instruments.TTR was overwritting instruments instead of updating them

Revision 954 - Directory Listing
Modified Fri Mar 2 23:56:13 2012 UTC (7 years, 8 months ago) by gsee
 docs -- double quotes

Revision 953 - Directory Listing
Modified Fri Mar 2 23:39:28 2012 UTC (7 years, 8 months ago) by gsee
 add expires.xts, an xts expires extraction method

Revision 952 - Directory Listing
Modified Fri Mar 2 00:14:51 2012 UTC (7 years, 8 months ago) by gsee
 - expires functions return Date instead of chr
 - update_instruments.instrument updates "defined.by" and "updated"

Revision 951 - Directory Listing
Modified Wed Feb 29 16:56:34 2012 UTC (7 years, 8 months ago) by gsee
 docs

Revision 950 - Directory Listing
Modified Wed Feb 29 16:53:05 2012 UTC (7 years, 8 months ago) by gsee
 - add overwrite arg to option_series to avoid getInstrument calls (similar to Rev. 913
    patch to future_series)

Revision 949 - Directory Listing
Modified Wed Feb 29 14:31:10 2012 UTC (7 years, 8 months ago) by gsee
 - do not unlist instrument in instrument.table to get names; simply use names
 - bump version to 0.12.1

Revision 948 - Directory Listing
Modified Wed Feb 29 14:29:36 2012 UTC (7 years, 8 months ago) by gsee
 New buildHierarchy function. Thanks Alexis Petit!

Revision 947 - Directory Listing
Modified Wed Feb 29 12:05:34 2012 UTC (7 years, 8 months ago) by gsee
 add spread expires extraction method (expires.spread)

Revision 946 - Directory Listing
Modified Fri Feb 24 18:01:59 2012 UTC (7 years, 8 months ago) by braverock
- bump version to 0.6.2

Revision 945 - Directory Listing
Modified Fri Feb 24 17:45:21 2012 UTC (7 years, 8 months ago) by braverock
- change to use .instrument environment in the FinancialInstrument NAMESPACE

Revision 944 - Directory Listing
Modified Thu Feb 23 17:21:32 2012 UTC (7 years, 8 months ago) by gsee
 provide pos to rm

Revision 943 - Directory Listing
Modified Thu Feb 23 16:47:23 2012 UTC (7 years, 8 months ago) by gsee
 save.image *after* .First and .Last have been assigned in it

Revision 942 - Directory Listing
Modified Thu Feb 23 16:22:09 2012 UTC (7 years, 8 months ago) by gsee
 - add generic expires function with methods for instrument and character
   (method documentation is not quite perfect yet)

Revision 941 - Directory Listing
Modified Thu Feb 23 16:06:27 2012 UTC (7 years, 8 months ago) by gsee
 use .Last to restart R and .First to reload packages after R restart.

Revision 940 - Directory Listing
Modified Wed Feb 22 23:04:04 2012 UTC (7 years, 8 months ago) by gsee
 dots in fn_SpreadBuilder were causing problems if setDefaults had been used on a
 function they are passed to.  Dot args are now parsed and passed to their intended 
 functions separately.

Revision 939 - Directory Listing
Modified Wed Feb 22 16:29:44 2012 UTC (7 years, 8 months ago) by gsee
 - assign .TRTH *after* it is modified. 
 - make sure doMC backend is registered after R restart

Revision 938 - Directory Listing
Modified Wed Feb 22 16:00:24 2012 UTC (7 years, 8 months ago) by gsee
 - reload libraries after R restart.
 - do not allow splitCSV to run unless TMPDIR environment variable has been set.

Revision 937 - Directory Listing
Modified Wed Feb 22 03:29:10 2012 UTC (7 years, 8 months ago) by peter_carl
Minor changes to organize package calls together

Revision 936 - Directory Listing
Modified Tue Feb 21 22:30:02 2012 UTC (7 years, 8 months ago) by braverock
- fix error where exit order qty would cross zero, thanks to Joe Dunn for the report

Revision 935 - Directory Listing
Modified Tue Feb 21 22:15:43 2012 UTC (7 years, 8 months ago) by gsee
 move creation of base tmp directory outside of if block

Revision 934 - Directory Listing
Modified Tue Feb 21 22:09:47 2012 UTC (7 years, 8 months ago) by gsee
 lots of backflips to change where tempdir creates its directories. Still being tested.

Revision 933 - Directory Listing
Modified Tue Feb 21 19:29:19 2012 UTC (7 years, 8 months ago) by gsee
update_instruments.instrument can take Symbols or instruments

Revision 932 - Directory Listing
Modified Mon Feb 20 20:29:14 2012 UTC (7 years, 8 months ago) by gsee
add svn:keywords prop

Revision 931 - Directory Listing
Modified Mon Feb 20 20:19:54 2012 UTC (7 years, 8 months ago) by gsee
 - add copywrite file header to all.equal.instrument.R
 - add includeFX arg to ls_currencies (Default=FALSE)
 - switch order of match and includeFX args for ls_non_currencies to be
   consistent with other functions

Revision 930 - Directory Listing
Modified Mon Feb 20 04:48:36 2012 UTC (7 years, 8 months ago) by gsee
 minor updates to new update_instruments.instrument function

Revision 929 - Directory Listing
Modified Mon Feb 20 04:21:33 2012 UTC (7 years, 8 months ago) by gsee
 - update_instruments.instrument FUN will use an instrument as a template to 
   update other instruments.
 - is.instrument.name and is.currency.name accept/return vectors
 - Version 0.11.2

Revision 928 - Directory Listing
Modified Sun Feb 19 23:05:13 2012 UTC (7 years, 8 months ago) by gsee
 handle case where current is not an instrument

Revision 927 - Directory Listing
Modified Sun Feb 19 22:05:42 2012 UTC (7 years, 8 months ago) by gsee
 - all.equal is better at handling nested lists with named vectors 
   like memberlist in guaranteed_spreads (and some other all.equal tweaks)
 - NULL identifiers for currencies were not being converted to empty list
 - instrument.table was looking in .GlobalEnv for .instrument instead of 
   FinancialInstrument:::.instrument
 - Version 0.11.1

Revision 926 - Directory Listing
Modified Sun Feb 19 02:11:45 2012 UTC (7 years, 8 months ago) by gsee
 - add instrument all.equal method to compare two instrument objects
 - is.instrument.name checks if is.character first
 - Version 0.11.0

Revision 925 - Directory Listing
Modified Wed Feb 15 16:26:44 2012 UTC (7 years, 8 months ago) by gsee
 put job.name in a text file so that it is easy to find out what job is being processed. (will be updated when any TRTH function is run)


Revision 924 - Directory Listing
Modified Tue Feb 14 14:39:21 2012 UTC (7 years, 8 months ago) by gsee
 force some garbage collections

Revision 923 - Directory Listing
Modified Sun Feb 12 19:13:03 2012 UTC (7 years, 9 months ago) by gsee
 - temp dir creattion takes place in split_csv instead of in configureTRTH
 - unlink temp dir on.exit from split_csv
 - make some convenience functions available outside of configureTRTH
 - revert to not using no-clobber when copying headers
 - If *.csv.gz is in csv_dir, do not split and copy csv to csv_dir; 
   *.csv.gz will be unzipped and used instead, unless overwrite==TRUE

Revision 922 - Directory Listing
Modified Sun Feb 12 00:15:36 2012 UTC (7 years, 9 months ago) by gsee
 - removed some obvious roadblocks to running TRTH_BackFill functions in 
   multiple instances of R simultaneously, but it is still not recommended, 
   especially if there are overlapping files in the jobs.
 - removed doCleanup option because unzipping and splitting now takes place
   in a temp dir. So, if a process is interrupted, no partial files will be left in
   archive_dir.  Although it is no longer called, CleanUpArchive still exists.
 - after making headers, if all header files already exist in csv_dir and 
   overwrite==FALSE, there is no need to split

Revision 921 - Directory Listing
Modified Tue Feb 7 20:09:32 2012 UTC (7 years, 9 months ago) by gsee
 add indexTZ arg so that timezone conversion can take place inside getSymbols.FI

Revision 920 - Directory Listing
Modified Fri Feb 3 19:35:56 2012 UTC (7 years, 9 months ago) by gsee
yahoo webpage format chaged for DJIA components

Revision 919 - Directory Listing
Modified Thu Feb 2 15:43:53 2012 UTC (7 years, 9 months ago) by gsee
give default value to use_identifier.

Revision 918 - Directory Listing
Modified Wed Feb 1 15:27:47 2012 UTC (7 years, 9 months ago) by gsee
 more work towards getting correct headers in TRTH_BackFill

Revision 917 - Directory Listing
Modified Mon Jan 30 22:54:04 2012 UTC (7 years, 9 months ago) by gsee
 patch header creation; use of metadata is optional.

Revision 916 - Directory Listing
Modified Mon Jan 23 17:31:14 2012 UTC (7 years, 9 months ago) by gsee
 simplify to_secBATV

Revision 915 - Directory Listing
Modified Mon Jan 23 17:00:39 2012 UTC (7 years, 9 months ago) by gsee
sort_ids did not know that is.timeBased(as.Date(NA)) is TRUE

Revision 914 - Directory Listing
Modified Wed Jan 18 21:21:17 2012 UTC (7 years, 9 months ago) by gsee
 minor updates to TRTH_BackFill to make it a little easier to import missing instruments

Revision 913 - Directory Listing
Modified Wed Jan 18 05:59:33 2012 UTC (7 years, 9 months ago) by gsee
 - speed up future_series; add overwrite arg
 - speed up getInstrument; replaced for loop. Thanks Brian.
 - Using CRAN roxygen2

Revision 912 - Directory Listing
Modified Sun Jan 15 17:32:33 2012 UTC (7 years, 9 months ago) by gsee
 - updated roxygen2
 - version bumped to 0.10.6
 - svn props setup for RStudio svn projects

Revision 911 - Directory Listing
Modified Sun Jan 15 04:56:27 2012 UTC (7 years, 9 months ago) by gsee
 speed up check to see if no data was found

Revision 910 - Directory Listing
Modified Thu Jan 12 21:04:33 2012 UTC (7 years, 10 months ago) by gsee
 ' to_secBATV was sometimes printing duplicate rownames. Thanks Mike Rothman!

Revision 909 - Directory Listing
Modified Tue Jan 10 19:21:27 2012 UTC (7 years, 10 months ago) by gsee
 if job.name has changed, update files.gz

Revision 908 - Directory Listing
Modified Sat Jan 7 20:24:35 2012 UTC (7 years, 10 months ago) by gsee
 - require(utils) in loadInstruments for smoother addition to RProfile
 - .TRTH$files.gz instead of files.gz

Revision 907 - Directory Listing
Modified Fri Jan 6 21:51:43 2012 UTC (7 years, 10 months ago) by gsee
use .TRTH envir directly instead of attaching/detaching

Revision 906 - Directory Listing
Modified Thu Jan 5 16:48:42 2012 UTC (7 years, 10 months ago) by gsee
 - add check to make sure instrument was auto defined correctly.
 - total number of instruments was being reported instead of just those that are missing 
 - Remove rows that have zero Bid.Size or Ask.Size

Revision 905 - Directory Listing
Modified Wed Jan 4 17:11:41 2012 UTC (7 years, 10 months ago) by bodanker
- remove unmatched parentheses in tradeStats

Revision 904 - Directory Listing
Modified Wed Jan 4 16:17:04 2012 UTC (7 years, 10 months ago) by gsee
 loadInstruments was not putting metadata in the right place.

Revision 903 - Directory Listing
Modified Tue Jan 3 21:52:07 2012 UTC (7 years, 10 months ago) by gsee
 update to reflect new position of .instrument when auto-defining missing instruments

Revision 902 - Directory Listing
Modified Tue Jan 3 19:46:22 2012 UTC (7 years, 10 months ago) by gsee
 - parse_id: ids that end with .K are recognized as stocks (RIC)
 - TRTH_BackFill: error if no .gz file can be found that contains job.name

Revision 901 - Directory Listing
Modified Mon Jan 2 22:34:54 2012 UTC (7 years, 10 months ago) by gsee
 remove unexported function setSymbolLookup.FI2 that will not work now that instrument_attr has been reverted.

Revision 900 - Directory Listing
Modified Mon Jan 2 22:27:16 2012 UTC (7 years, 10 months ago) by gsee
revert to using SymbolLookup table; getSymbols.FI now choose the correct value for its args

Revision 899 - Directory Listing
Modified Sun Jan 1 19:00:09 2012 UTC (7 years, 10 months ago) by gsee
 - Version 0.10.0
 - .instrument now lives inside FinancialInstrument instead of in .GlobalEnv
 - is.currency.name checks to see if string is the name of a currency, while is.currency checks to 
   see if an object is of class currency. (is.instrument and is.instrument.name behave analogously)
 - When calling instrument and instrument_attr with "src" arg, if "verbose" is an item in the
   the list, it will be set in the SymbolLookup and used by getSymbols.FI in spite of any local args.
   It will work best if the user does not attempt to set a default for 'verbose'
   [Please see comments on lines 156-162 of instrument.R as well as the note section of ?getSymbols.FI]
 - Copyright updated to include 2012
 - add svn keywords to newer files that didn't have them (Revision Id Date Author)
 - changed maintainer from Peter Carl to Garrett See

Revision 898 - Directory Listing
Modified Fri Dec 30 17:16:06 2011 UTC (7 years, 10 months ago) by braverock
- remove apply statement around sd.  
   + in case of tradeStats, PL.ne0 can be converted to a numeric vector before sd call
   + in case of dailyStats, PL.ne0 was alrady a numeric vector, so deprecated behavior does not occur

Revision 897 - Directory Listing
Modified Fri Dec 30 15:56:26 2011 UTC (7 years, 10 months ago) by braverock
- use ncol rather than NCOL, fewer instructions, thanks Garrett

Revision 896 - Directory Listing
Modified Fri Dec 30 06:53:21 2011 UTC (7 years, 10 months ago) by gsee
 - reallow using multi-currency buildSpread for multi-column exchange_rate data
 - when instrument or instrument_attr are called with src arg, use setSymbolLookup on only the src, and setDefaults on the remaining items.
 - add unexported setSymbolLookup.FI2 function; a possible replacement for setSymbolLookup.FI


Revision 895 - Directory Listing
Modified Tue Dec 27 19:25:29 2011 UTC (7 years, 10 months ago) by braverock
- remove spurious getPrice which breaks the function

Revision 894 - Directory Listing
Modified Tue Dec 27 19:15:31 2011 UTC (7 years, 10 months ago) by gsee
 use non-vectorized if {} else instead of ifelse so that if an argument takes a vector,                        
 elements after the first are not ignored. (specifically, this is a patch for the default value of days_to_omit)


Revision 893 - Directory Listing
Modified Mon Dec 26 00:51:35 2011 UTC (7 years, 10 months ago) by gsee
 when instrument.auto makes a synthetic, it will define USD if it has to.

Revision 892 - Directory Listing
Modified Mon Dec 26 00:42:19 2011 UTC (7 years, 10 months ago) by gsee
 when instrument.auto creates a synthetic, it will assume it is a synthetic spread if all members are defined; otherwise, it will assume it is a synthetic index.

Revision 891 - Directory Listing
Modified Fri Dec 23 15:45:12 2011 UTC (7 years, 10 months ago) by gsee
 if currency is not specified and instrument.auto is creating a future_series or option_series, USD will be used

Revision 890 - Directory Listing
Modified Fri Dec 23 15:32:27 2011 UTC (7 years, 10 months ago) by braverock
- fix code to allow passing of mktdata into applyStrategy, only get() data if argument is missing from call
- prior code would erroneously use the same mktdata for subsequent symbols in a portfolio, even if no mktdata was passed into function
- update roxygen for applyStrategy
- bump version

Revision 889 - Directory Listing
Modified Fri Dec 23 04:19:21 2011 UTC (7 years, 10 months ago) by gsee
parse_id support for outright future roots up to 6 char long

Revision 888 - Directory Listing
Modified Fri Dec 23 02:45:03 2011 UTC (7 years, 10 months ago) by gsee
 - Use 1xCY suffix_id format for SSF, and no longer support xxCY 
   so that 4 char roots are recognized in parse_id.


Revision 887 - Directory Listing
Modified Thu Dec 22 20:35:48 2011 UTC (7 years, 10 months ago) by gsee
 - drop qmao dependency 
 - typo: config_file --> config.file

Revision 886 - Directory Listing
Modified Thu Dec 22 19:50:12 2011 UTC (7 years, 10 months ago) by gsee
 MC2N is more flexible. See updated examples

Revision 885 - Directory Listing
Modified Thu Dec 22 17:55:21 2011 UTC (7 years, 10 months ago) by gsee
 - add Tick2Sec.R file (to_secBATV and alltick2sec funs)
 - TRTH_BackFill now uses FinancialInstrument:::to_secBATV, and Tick2Sec_file no longer needs to be specified

Revision 884 - Directory Listing
Modified Thu Dec 22 17:43:25 2011 UTC (7 years, 10 months ago) by gsee
 - New functionalized version of TRTH_BackFill
 - slightly better check to see if getInstruments.FI did not find data

Revision 883 - Directory Listing
Modified Thu Dec 22 17:37:33 2011 UTC (7 years, 10 months ago) by braverock
- last commit of original version of TRTH_backfill script before replacing with a more modular, extensible, and maintainable version.

Revision 882 - Directory Listing
Modified Thu Dec 22 05:08:00 2011 UTC (7 years, 10 months ago) by gsee
 - add "days_to_omit" arg to getSymbols.FI. If NULL, weekend data will be included
 - if instrument is called with currency=NULL, give less ambiguous error message
 - changed default value for instrument.auto arg default_type from "NULL" to "unknown" 
   to make them findable with ls_instruments_by 


Revision 881 - Directory Listing
Modified Sun Dec 18 02:51:54 2011 UTC (7 years, 10 months ago) by gsee
If getSymbols.FI does not find any data, give warning and return NULL (instead of ambiguous error)

Revision 880 - Directory Listing
Modified Thu Dec 15 22:49:27 2011 UTC (7 years, 10 months ago) by gsee
forgot to return stock

Revision 879 - Directory Listing
Modified Thu Dec 15 22:42:14 2011 UTC (7 years, 10 months ago) by gsee
parse_id and instrument.auto recognize X.RICs for NMS stocks

Revision 878 - Directory Listing
Modified Thu Dec 15 18:09:00 2011 UTC (7 years, 10 months ago) by gsee
 - instrument.auto will warn when it does not know which currency to use
 - synthetics will try to use currency of member; USD if members are not defined

Revision 877 - Directory Listing
Modified Wed Dec 14 16:03:38 2011 UTC (7 years, 11 months ago) by gsee
 - add root arg to instrument.auto that will passed to parse_id
 - roxygen2 made some changes to keywords.

Revision 876 - Directory Listing
Modified Sun Dec 11 22:51:01 2011 UTC (7 years, 11 months ago) by gsee
 - add "sep" formal arg to make_spread_id 
 - remove dot(s) from ICS_root member future primary_ids before making future_series primary_ids 

Revision 875 - Directory Listing
Modified Sun Dec 11 21:36:17 2011 UTC (7 years, 11 months ago) by gsee
identifiers arg was being ignored when guaranteed_spread calls synthetic.instrument

Revision 874 - Directory Listing
Modified Sun Dec 11 20:04:28 2011 UTC (7 years, 11 months ago) by gsee
add tick_size formal arg to ICS_root

Revision 873 - Directory Listing
Modified Sun Dec 11 19:27:32 2011 UTC (7 years, 11 months ago) by gsee
sort_ids will check instrument envir to see if there is a more accurate expires than parse_id can give

Revision 872 - Directory Listing
Modified Sun Dec 11 17:29:00 2011 UTC (7 years, 11 months ago) by gsee
 - support for ICS: ICS and ICS_root instrument constructors; 
                    ls_ICS and ls_ICS_roots funs; 
                    instrument.auto now recogizes ICS
 - parse_id will replace "-" with "." before it begins its work

Revision 871 - Directory Listing
Modified Sun Dec 11 00:05:06 2011 UTC (7 years, 11 months ago) by gsee
spurious text in roxygen block

Revision 870 - Directory Listing
Modified Sat Dec 10 23:59:49 2011 UTC (7 years, 11 months ago) by gsee
 - If any member of a synthetic.instrument has a value for expires, synthetic will inherit expires 
   of the first-to-expire member
 - parse_id now recognizes X.RICs for ICS

Revision 869 - Directory Listing
Modified Sat Dec 10 20:43:41 2011 UTC (7 years, 11 months ago) by gsee
assign_i is now a formal argument for instrument wrappers.

Revision 868 - Directory Listing
Modified Thu Dec 8 23:24:24 2011 UTC (7 years, 11 months ago) by gsee
 - put column with higher frequency data first in cbind. Thanks Brian
 - only return rows that original x had; if rate has more rows, filter
   out the rows at the end that were na.locf'ed.

Revision 867 - Directory Listing
Modified Thu Dec 8 19:10:53 2011 UTC (7 years, 11 months ago) by gsee
getSymbols.FI with auto.assign=FALSE works again

Revision 866 - Directory Listing
Modified Thu Dec 8 16:27:18 2011 UTC (7 years, 11 months ago) by gsee
 - add Symbols arg to setSymbolLookup.FI so that it can be used on only some instruments.
 - roxygen2 added some keywords to some Rd files

Revision 865 - Directory Listing
Modified Thu Dec 8 15:18:47 2011 UTC (7 years, 11 months ago) by gsee
 speedup getSymbols.FI

Revision 864 - Directory Listing
Modified Wed Dec 7 16:01:56 2011 UTC (7 years, 11 months ago) by gsee
parse_id: numeric tickers (Asia), future_series with no underscore and >9 char, roots with dots and numbers

Revision 863 - Directory Listing
Modified Wed Dec 7 14:46:51 2011 UTC (7 years, 11 months ago) by gsee
parse_id: support guaranteeed_spreads that have no underscore

Revision 862 - Directory Listing
Modified Tue Dec 6 00:25:06 2011 UTC (7 years, 11 months ago) by gsee
 - getInstrument was ignoring names that begin with a dot in its first search through .instrument.
   It now includes all names in its 1st search, so that it will find future/option easier
 - simplied matching syntax

Revision 861 - Directory Listing
Modified Mon Dec 5 19:26:55 2011 UTC (7 years, 11 months ago) by gsee
 updated future_series to inherit a couple more fields from future if they exist

Revision 860 - Directory Listing
Modified Mon Dec 5 01:08:48 2011 UTC (7 years, 11 months ago) by gsee
 - updated roxygen2
 - in saveInstruments/loadInstruments, if file_name ends with
   .rda or .RData, the extension argument will be ignored.

Revision 859 - Directory Listing
Modified Sun Dec 4 18:45:32 2011 UTC (7 years, 11 months ago) by gsee
 If 'make.names' changes the primary_id, create an identifier from the original primary_id

Revision 858 - Directory Listing
Modified Sun Dec 4 16:27:15 2011 UTC (7 years, 11 months ago) by gsee
 Better matching of identifiers. Still case-insensitive, but otherwise must match exactly.
 (e.g. "settle" is no longer matched to "TT", but "tt" is)

Revision 857 - Directory Listing
Modified Sat Dec 3 20:39:17 2011 UTC (7 years, 11 months ago) by gsee
use sub instead of gsub to remove only first occurrence of root from primary_id string

Revision 856 - Directory Listing
Modified Thu Dec 1 14:22:17 2011 UTC (7 years, 11 months ago) by gsee
clean up extra code that should not be in package

Revision 855 - Directory Listing
Modified Mon Nov 28 23:41:46 2011 UTC (7 years, 11 months ago) by bodanker
- pass '...' to chart_Series in chart.Posn (will error if TA= or name= are
  in '...'; will fix that later)

Revision 854 - Directory Listing
Modified Thu Nov 24 18:16:48 2011 UTC (7 years, 11 months ago) by gsee
 - use 'label' as the name of the indicator list in $indicators
 - if 'label' is passed to add.indicator and there already
     exists an indicator by that name, it will be overwritten.
 - if add.indicator is called with label=NULL, label will become
     '<name>.ind'.  If an indicator already exists by that name,
     a unique name will be created by appending a number
 - the 'indexnum' arg can still be used; it can either be the 
     position of the indicator in the list, or its 'label' name.  
 - Before applyIndicators calculates and cbinds indicators, it
     will first check 'mktdata' to see if they already exist.  If
     they do, they will be replaced.  Therefore, mktdata will be
     the same if applyIndicators is called multiple times, or only once.
 - version 0.6

Revision 853 - Directory Listing
Modified Sat Nov 19 16:32:20 2011 UTC (7 years, 11 months ago) by bodanker
- part of the applyRules fix didn't make the commit in r847

Revision 852 - Directory Listing
Modified Sat Nov 19 00:04:15 2011 UTC (7 years, 11 months ago) by gsee
 - when x is univariate and FX is OHLC, only use a single column from redenominate (Thanks Markus)
 - In buildSpread and redenominate, only use 1st column returned by getPrice style functions.
   The assumption is that prices will come before other data e.g. Open will come before OpenInterest
 - in buildSpread, when one leg is univariate, use colnames of the OHLC leg 


Revision 851 - Directory Listing
Modified Thu Nov 17 16:42:07 2011 UTC (7 years, 11 months ago) by gsee
 - Thanks to Markus Douglas, Jr. for pointing out the colnames bug that was patched in previous commit (850)
 - only tiny changes made, as the real reason for this commit is to give Markus credit ;-)

Revision 850 - Directory Listing
Modified Thu Nov 17 16:28:53 2011 UTC (7 years, 11 months ago) by gsee
 - use new_base as name of rate when redenominate calls buildRatio 
   instead of getting exchange_rate name from colnames
 - change case of symbol --> Symbol (trying to move away from lowercase because symbols is a graphics function)

Revision 849 - Directory Listing
Modified Wed Nov 16 17:47:25 2011 UTC (7 years, 11 months ago) by gsee
 in rm.strat, add silent arg, add example/update docs

Revision 848 - Directory Listing
Modified Sun Nov 13 17:56:05 2011 UTC (8 years ago) by gsee
 - all formals can now be set with setSymbolLookup
 - rm local formals (auto.assign and env) that were not being used
 - all cat calls are prefaced with if (verbose) 
   [verbose should probably not be a formal of quantmod:::getSymbols. 
    But, for now, you must include verbose=TRUE in call to 
    setSymbolLookup or getSymbols if you want to see which files 
    were not found/skipped.]
 - a little cleaning up -- pulled some vectorizable stuff out of for loop.

Revision 847 - Directory Listing
Modified Fri Nov 11 21:12:12 2011 UTC (8 years ago) by bodanker
- fix applyRules and ruleProc to honor timespan

Revision 846 - Directory Listing
Modified Fri Nov 11 17:22:13 2011 UTC (8 years ago) by gsee
mktdata arg was being overwritten

Revision 845 - Directory Listing
Modified Fri Nov 11 15:10:12 2011 UTC (8 years ago) by gsee
bump version

Revision 844 - Directory Listing
Modified Fri Nov 11 15:07:14 2011 UTC (8 years ago) by gsee
when replace=TRUE, do not worry about ordertype (market order can replace a stoplimit)

Revision 843 - Directory Listing
Modified Thu Nov 10 21:19:48 2011 UTC (8 years ago) by gsee
typo in docs: maker --> active

Revision 842 - Directory Listing
Modified Mon Nov 7 16:16:54 2011 UTC (8 years ago) by gsee
 document extension argument

Revision 841 - Directory Listing
Modified Mon Nov 7 14:41:27 2011 UTC (8 years ago) by gsee
 allow for file extensions other than rda

Revision 840 - Directory Listing
Modified Sun Nov 6 14:40:25 2011 UTC (8 years ago) by gsee
 differentiate between limit and stoplimit

Revision 839 - Directory Listing
Modified Sun Nov 6 13:36:50 2011 UTC (8 years ago) by braverock
- minor updates: fewer warnings, more robust to file changes, pass more options into reut2xts()

Revision 838 - Directory Listing
Modified Sun Nov 6 12:24:42 2011 UTC (8 years ago) by braverock
- add make.names support on identifiers to broaden the search in case an identifier has already been processed by R

Revision 837 - Directory Listing
Modified Sun Nov 6 00:53:52 2011 UTC (8 years ago) by bodanker
- add check to prevent creating a position on the opposite order side

Revision 836 - Directory Listing
Modified Sat Nov 5 18:43:54 2011 UTC (8 years ago) by bodanker
- fix stoplimit handling for OHLC data in ruleOrderProc

Revision 835 - Directory Listing
Modified Sat Nov 5 18:24:22 2011 UTC (8 years ago) by braverock
- apply patch submitted by Daniel Krizian to handle edge case of order entered one period before the end of the series

Revision 834 - Directory Listing
Modified Sat Nov 5 14:06:39 2011 UTC (8 years ago) by braverock
- move all downlaod and parse files to inst/parser so they will be included with the package	
- bump version

Revision 833 - Directory Listing
Modified Sat Nov 5 13:59:21 2011 UTC (8 years ago) by braverock
- always load the instruments environment

Revision 832 - Directory Listing
Modified Sat Nov 5 01:22:25 2011 UTC (8 years ago) by bodanker
- fix spelling in ruleOrderProc (orderprice -> orderPrice)

Revision 831 - Directory Listing
Modified Fri Nov 4 21:35:41 2011 UTC (8 years ago) by gsee
 export ls_FX

Revision 830 - Directory Listing
Modified Fri Nov 4 13:32:35 2011 UTC (8 years ago) by gsee
 replace deprecated sd(<matrix>) with apply(*, 2, sd)

Revision 829 - Directory Listing
Modified Tue Oct 25 21:26:34 2011 UTC (8 years ago) by braverock
- fix typo, thanks to Garrett

Revision 828 - Directory Listing
Modified Tue Oct 25 21:04:47 2011 UTC (8 years ago) by braverock
- fix bug caused by spread trades with negative average cost

Revision 827 - Directory Listing
Modified Sun Oct 23 18:38:39 2011 UTC (8 years ago) by gsee
 define_futures.tblox now returns names of instruments it defined.

Revision 826 - Directory Listing
Modified Sun Oct 23 18:28:05 2011 UTC (8 years ago) by gsee
 - tblox funs in sandbox were not properly unlinking files/directories
 - define_futures.tblox now calls setSymbolLookup (by adding a src field)
 - better error handling in saveSymbols.common/.days

Revision 825 - Directory Listing
Modified Sun Oct 23 01:42:51 2011 UTC (8 years ago) by gsee
 - ls_by_expiry looks in both expires and expiry, and strips hyphens from input
 - updates to docs

Revision 824 - Directory Listing
Modified Fri Oct 21 00:04:46 2011 UTC (8 years ago) by gsee
 functions to saveSymbols the way getSymbols.FI expects

Revision 823 - Directory Listing
Modified Thu Oct 20 23:58:56 2011 UTC (8 years ago) by gsee
 getSymbols.FI had bug when dir=""

Revision 822 - Directory Listing
Modified Thu Oct 20 23:18:56 2011 UTC (8 years ago) by gsee
Moved the following functions from twsInstrument to FinancialInstrument:
saveInstruments, loadInstruments, update_instruments.yahoo, 
update_instruments.TTR, ls_instruments, ls_stocks, ls_options, 
ls_option_series, ls_futures, ls_future_series, ls_currencies, 
ls_non_currencies, ls_exchange_rates, ls_FX, ls_bonds, ls_funds, 
ls_spreads, ls_guaranteed_spreads, ls_synthetics, ls_derivatives, 
ls_non_derivatives, ls_calls, ls_puts, ls_by_expiry, ls_by_currency, 
ls_AUD, ls_GBP, ls_CAD, ls_EUR, ls_JPY, ls_CHF, ls_HKD, ls_SEK, ls_NZD, 
ls_instruments_by, ls_underlyings, ls_expires, ls_expiries, ls_strikes
rm_instruments, rm_stocks, rm_options, rm_option_series, rm_futures, 
rm_future_series, rm_currencies, rm_exchange_rates, rm_FX, rm_bonds, 
rm_funds, rm_spreads, rm_synthetics, rm_derivatives, rm_non_derivatives
rm_by_expiry, rm_by_currency

Revision 821 - Directory Listing
Modified Tue Oct 18 02:25:08 2011 UTC (8 years ago) by peter_carl
- parser for data from spreadsheets populated by Morningstar Direct API

Revision 820 - Directory Listing
Modified Sat Oct 15 02:11:21 2011 UTC (8 years, 1 month ago) by peter_carl
- eliminated second read of spreadsheet

Revision 819 - Directory Listing
Modified Sat Oct 15 00:58:21 2011 UTC (8 years, 1 month ago) by peter_carl
- significant re-write
- functionalized the download and data transform
- adds data into FI

Revision 818 - Directory Listing
Modified Wed Oct 12 13:15:54 2011 UTC (8 years, 1 month ago) by gsee
 do not explicitly import as.Date.numeric From zoo

Revision 817 - Directory Listing
Modified Mon Oct 10 21:20:46 2011 UTC (8 years, 1 month ago) by gsee
 make month_cycle extraction more R-like

Revision 816 - Directory Listing
Modified Mon Oct 10 15:22:43 2011 UTC (8 years, 1 month ago) by braverock
- bump zoo dependency to zoo>=1.7-5 to catch export of as.Date.numeric

Revision 815 - Directory Listing
Modified Mon Oct 10 14:44:01 2011 UTC (8 years, 1 month ago) by braverock
- move fr definition again, make documentation note about auto.assign=FALSE

Revision 814 - Directory Listing
Modified Wed Oct 5 19:17:52 2011 UTC (8 years, 1 month ago) by braverock
- move fr def. to outside switch, thanks to Mike Rothman for the bug report

Revision 813 - Directory Listing
Modified Wed Oct 5 17:00:44 2011 UTC (8 years, 1 month ago) by gsee
 updates to define_components.yahoo

Revision 812 - Directory Listing
Modified Wed Oct 5 16:18:36 2011 UTC (8 years, 1 month ago) by gsee
 define a stock index and its components using yahoo.

Revision 811 - Directory Listing
Modified Wed Oct 5 02:35:54 2011 UTC (8 years, 1 month ago) by peter_carl
- script for downloading historical gold prices from gold.org

Revision 810 - Directory Listing
Modified Tue Oct 4 14:43:38 2011 UTC (8 years, 1 month ago) by gsee
 roxygen typos/errors

Revision 809 - Directory Listing
Modified Mon Oct 3 13:05:06 2011 UTC (8 years, 1 month ago) by gsee
 add importFrom directive for as.Date.numeric.

Revision 808 - Directory Listing
Modified Fri Sep 30 18:17:55 2011 UTC (8 years, 1 month ago) by gsee
 instrument.auto did not know that SSF (single-stock futures) is a future_series

Revision 807 - Directory Listing
Modified Fri Sep 30 08:51:52 2011 UTC (8 years, 1 month ago) by gsee
 - currency function had arguments that weren't being used/were being overwritten. (currency and multiplier)
 - if you try to define an already defined currency, it will be updated instead of completely overwritten.
 - when instrument.auto defines something with a yahoo index ticker (e.g. ^GSPC), that ticker will be added as an identifier
 - add define_currencies.oanda to sandbox, and improve define_currencies.wiki.

Revision 806 - Directory Listing
Modified Thu Sep 29 00:09:05 2011 UTC (8 years, 1 month ago) by gsee
 alias MC2N for function month_cycle2numeric

Revision 805 - Directory Listing
Modified Wed Sep 28 17:42:10 2011 UTC (8 years, 1 month ago) by gsee
 bump version

Revision 804 - Directory Listing
Modified Wed Sep 28 17:41:35 2011 UTC (8 years, 1 month ago) by gsee
 if you tinker with $IB of an instrument using instrument_attr, it will add or remove the twsInstrument class

Revision 803 - Directory Listing
Modified Tue Sep 27 20:41:44 2011 UTC (8 years, 1 month ago) by braverock
- more work on initialization and wrapup functionality for applyStrategy, still commented out in applyStrategy pending more testing

Revision 802 - Directory Listing
Modified Tue Sep 27 18:51:50 2011 UTC (8 years, 1 month ago) by gsee
 better identifiers matching in getInstrument

Revision 801 - Directory Listing
Modified Tue Sep 27 15:47:19 2011 UTC (8 years, 1 month ago) by gsee
 - if future_/option_series has to make primary_id, take the dots out of root first
 - allow option_series expires to be either 10 or 8 nchar (with/without "-")
 - option_series had a bug where it had a NULL$NULL slot if src was not in dots.

Revision 800 - Directory Listing
Modified Tue Sep 27 14:18:08 2011 UTC (8 years, 1 month ago) by gsee
 -reallow arbitrary names of future_/option_series. (revert rev 787)

Revision 799 - Directory Listing
Modified Tue Sep 27 05:25:54 2011 UTC (8 years, 1 month ago) by gsee
 patches for OSI ids

Revision 798 - Directory Listing
Modified Mon Sep 26 22:19:29 2011 UTC (8 years, 1 month ago) by gsee
 getInstrument requires exact match when using identifiers.  Otherwise there are problems when identifiers are OSIs for options on same underlying.

Revision 797 - Directory Listing
Modified Mon Sep 26 21:51:10 2011 UTC (8 years, 1 month ago) by gsee
 some code was trapped inside an if statement in instrument.auto, and check to make sure root is a root and not a series.

Revision 796 - Directory Listing
Modified Mon Sep 26 19:24:37 2011 UTC (8 years, 1 month ago) by braverock
- add dots per comment from Garrett

Revision 795 - Directory Listing
Modified Mon Sep 26 19:01:26 2011 UTC (8 years, 1 month ago) by gsee
 remove spurious @note in roxygen block

Revision 794 - Directory Listing
Modified Mon Sep 26 18:53:50 2011 UTC (8 years, 1 month ago) by gsee
 - parse_id and instrument.auto now support yahoo index symbols (e.g. ^GSPC)
 - update docs

Revision 793 - Directory Listing
Modified Mon Sep 26 17:37:25 2011 UTC (8 years, 1 month ago) by gsee
 instrument.auto fills in info it knows even if it is making a NULL instrument

Revision 792 - Directory Listing
Modified Mon Sep 26 01:32:52 2011 UTC (8 years, 1 month ago) by gsee
 add some checks and side-effects to instrument_attr

Revision 791 - Directory Listing
Modified Sun Sep 25 23:22:11 2011 UTC (8 years, 1 month ago) by gsee
 - instrument.auto will make exchange_rate if id is 6 uppercase letters unless default_type is given
 - update docs
 - copy/paste error in future_series
 - add defined.by 'slot' to currency defined with sandbox fun define_currencies.wiki

Revision 790 - Directory Listing
Modified Sun Sep 25 18:26:39 2011 UTC (8 years, 1 month ago) by gsee
 sandbox: define_currencies using wikipedia

Revision 789 - Directory Listing
Modified Sun Sep 25 17:58:42 2011 UTC (8 years, 1 month ago) by braverock
- update roxygen documentation

Revision 788 - Directory Listing
Modified Sun Sep 25 17:18:03 2011 UTC (8 years, 1 month ago) by braverock
- add core of initStrategy functionality based on Garrett's function in sandbox

Revision 787 - Directory Listing
Modified Sun Sep 25 00:39:29 2011 UTC (8 years, 1 month ago) by gsee
 edge case where future_/option_series are called with primary_id=root and missing(root_id) and missing(suffix_id) and !is.null(expires)

Revision 786 - Directory Listing
Modified Thu Sep 22 14:31:23 2011 UTC (8 years, 1 month ago) by gsee
 if else syntax mistake

Revision 785 - Directory Listing
Modified Thu Sep 22 14:23:34 2011 UTC (8 years, 1 month ago) by gsee
 better error message when you forget to provide currency

Revision 784 - Directory Listing
Modified Thu Sep 22 13:15:22 2011 UTC (8 years, 1 month ago) by kboudt


Revision 783 - Directory Listing
Modified Mon Sep 19 23:52:24 2011 UTC (8 years, 1 month ago) by gsee
 if ratio is a vector, memberratio becomes a list for auto.assign in fn_SpreadBuilder

Revision 782 - Directory Listing
Modified Sat Sep 17 14:03:25 2011 UTC (8 years, 1 month ago) by gsee
 oops

Revision 781 - Directory Listing
Modified Sat Sep 17 13:55:00 2011 UTC (8 years, 1 month ago) by gsee
 - add default_type and multiplier formal args to instrument.auto
 - tweaks to load.instruments to make it easier to use a data.frame (like that produced by stockSymbols())

Revision 780 - Directory Listing
Modified Fri Sep 16 15:07:53 2011 UTC (8 years, 1 month ago) by gsee
 - support for data that is neither OHLC nor BBO
 - allow order price to be zero. (think spreads)

Revision 779 - Directory Listing
Modified Thu Sep 15 15:26:28 2011 UTC (8 years, 1 month ago) by kboudt
threshold bipower 

Revision 778 - Directory Listing
Modified Wed Sep 14 23:36:22 2011 UTC (8 years, 2 months ago) by gsee
 only use 1st column of getPrice if more than 1 are found.

Revision 777 - Directory Listing
Modified Tue Sep 13 14:00:52 2011 UTC (8 years, 2 months ago) by gsee
 - env argument can now be passed to updatePortf.  Thanks to Charlie Friedemann pointing out problem.
 - do not require Symbol to be passed to chart.Posn

Revision 776 - Directory Listing
Modified Tue Sep 13 02:22:14 2011 UTC (8 years, 2 months ago) by gsee
 typos

Revision 775 - Directory Listing
Modified Tue Sep 13 01:00:46 2011 UTC (8 years, 2 months ago) by gsee
 add docs for csv data to eliminate R CMD check warnings

Revision 774 - Directory Listing
Modified Mon Sep 12 17:08:40 2011 UTC (8 years, 2 months ago) by gsee
 - if add.signal, add.rule, add.indicator is given the name of a strategy, 
   it will getStrategy, update and store it and return the name.
   If given a strategy, it will still return the updated strategy object.
 - roxygenize all except applyParameters.Rd

Revision 773 - Directory Listing
Modified Mon Sep 12 16:53:03 2011 UTC (8 years, 2 months ago) by gsee
 add sandbox directory and preliminary funs for strategy initialization/testing/removing

Revision 772 - Directory Listing
Modified Sun Sep 11 20:50:06 2011 UTC (8 years, 2 months ago) by gsee
 defined.by instead of defined_by to match other automated instrument defining functions

Revision 771 - Directory Listing
Modified Sun Sep 11 20:33:52 2011 UTC (8 years, 2 months ago) by gsee
 - new instrument.auto function guesses which type of instrument to make
 - print methods for output from parse_id and parse_suffix (classes id.list and suffix.list)
 - updating expires/first traded of existing future_series only concatenates unique dates.
 - add file to sandbox with functions to download and format data from tradingblox: 
   getSymbols.tblox, get_tblox, reformat_tblox
 - also in file is define_futures.tblox function to make use of the tradingblox futures dictionary.

Revision 770 - Directory Listing
Modified Sun Sep 11 18:18:00 2011 UTC (8 years, 2 months ago) by gsee
 change where length is checked in an if block

Revision 769 - Directory Listing
Modified Sun Sep 11 17:55:23 2011 UTC (8 years, 2 months ago) by gsee
 - improved parsing of spread ids
 - tweak how guaranteed_spread gets the root contract

Revision 768 - Directory Listing
Modified Sun Sep 11 03:20:43 2011 UTC (8 years, 2 months ago) by gsee
 - remove lines that that getInstrument now takes care of

Revision 767 - Directory Listing
Modified Sun Sep 11 02:58:43 2011 UTC (8 years, 2 months ago) by gsee
use getInstrument instead of deprecated getRoot

Revision 766 - Directory Listing
Modified Fri Sep 9 19:22:50 2011 UTC (8 years, 2 months ago) by gsee
tiny addition to FIdemo

Revision 765 - Directory Listing
Modified Fri Sep 9 18:38:36 2011 UTC (8 years, 2 months ago) by gsee
Update Dependencies

Revision 764 - Directory Listing
Modified Fri Sep 9 18:23:07 2011 UTC (8 years, 2 months ago) by gsee
 - if a future/option has src arg, use it in future_series/option_series (unless overridden)
 - auto-create primary_id from underlying_id (if missing(primary_id))
 - add dot(s) to beginning of future/option primary_id if it is the same as underlying_id

Revision 763 - Directory Listing
Modified Fri Sep 9 14:16:46 2011 UTC (8 years, 2 months ago) by gsee
 - if instrument hasArg(src) setSymbolLookup(src) will be called
 - add demo FIdemo2 that shows some newly acceptable ways to define stuff
 - minor patch in format_id.


Revision 762 - Directory Listing
Modified Thu Sep 8 12:32:01 2011 UTC (8 years, 2 months ago) by braverock
- fix syntax error

Revision 761 - Directory Listing
Modified Wed Sep 7 20:00:43 2011 UTC (8 years, 2 months ago) by gsee
oversight from sep implementation patched and patch for parsing synthetic ids

Revision 760 - Directory Listing
Modified Wed Sep 7 19:24:20 2011 UTC (8 years, 2 months ago) by gsee
rebuild using sep if format=NULL

Revision 759 - Directory Listing
Modified Wed Sep 7 18:18:43 2011 UTC (8 years, 2 months ago) by gsee
 - add sep arg to format_id function
 - remove getRoot.Rd (pertinent info is already in getInstrument.Rd)

Revision 758 - Directory Listing
Modified Wed Sep 7 15:38:17 2011 UTC (8 years, 2 months ago) by gsee
 - if currency is missing, but underlying_id is provided and its instrument can be found, 
   currency will be the currency of the underlying instrument for future and option.
 - getInstrument accepts type arg, and looks for roots (or other objects whose names begin with . or ..) 
 - getInstrument now does everything getRoot did, so getRoot is deprecated. (also removed get_future and get_option).
 - more detailed warning message for exchange_rate when a currency is not defined


Revision 757 - Directory Listing
Modified Wed Sep 7 13:33:44 2011 UTC (8 years, 2 months ago) by gsee
 - avoid creating exchange_rates with same 1st and 2nd ccy. (dont make USDUSD if USD is passed as both currency and counter_currency)
 - suppress some unnecessary warnings in parse_id/parse_suffix

Revision 756 - Directory Listing
Modified Tue Sep 6 23:19:23 2011 UTC (8 years, 2 months ago) by gsee
 - parse_id is much better at figuring out root_id/suffix_id when there is no underscore
 - future_series will now magically know if you pass root_ids to the primary_id arg, in 
   which case it will build new primary_ids. This allows load.instruments to work with 
   future_series.csv without making changes to the csv or load.instruments
 - added examples for load.instruments
 - very minor updates to demo

Revision 755 - Directory Listing
Modified Tue Sep 6 21:30:53 2011 UTC (8 years, 2 months ago) by gsee
vectorized most instrument wrappers.

Revision 754 - Directory Listing
Modified Tue Sep 6 18:44:50 2011 UTC (8 years, 2 months ago) by gsee
- moved decimal for option suffixes that are non decimal representation of strikes with decimals to be consistent with IB. (8 digit strike now implies 3 digits after the decimal)
- minor updates to docs

Revision 753 - Directory Listing
Modified Mon Sep 5 17:09:34 2011 UTC (8 years, 2 months ago) by gsee
 - synthetic.ratio body replaced with call to .Deprecated
 - minor update to example in synthetic.instrument
 - minor patch in a warning message in buildSpread

Revision 752 - Directory Listing
Modified Mon Sep 5 16:55:31 2011 UTC (8 years, 2 months ago) by bodanker
- fix stupid error in print.instrument

Revision 751 - Directory Listing
Modified Mon Sep 5 16:46:06 2011 UTC (8 years, 2 months ago) by bodanker
- updated print.instrument using Garrett's excellent suggestion

Revision 750 - Directory Listing
Modified Mon Sep 5 05:06:56 2011 UTC (8 years, 2 months ago) by gsee
moved a warning to inside an if block

Revision 749 - Directory Listing
Modified Mon Sep 5 04:31:48 2011 UTC (8 years, 2 months ago) by gsee
 - parse_id/parse_suffix now support butterflies 
 - parse_suffix now supports option_id with 8 digit strike
 - add getRoot function (and aliases get_future and get_option) and use in future_series and option_series
 - synthetic wrappers will now make_spread_id if primary_id is not provided.
 - most synthetic wrappers will now use the currency of the 1st member if currency is not provided
 - make_spread_id now passes what it made through make.names
 - synthetic.instrument can now handle members that is list of instruments, or memberlist, or vector of names of instruments
 - guaranteed_spread can now be called with only members arg being specified, or with only primary_id
 - sort_id now returns NULL instead of error when called with ids=NULL

Revision 748 - Directory Listing
Modified Thu Sep 1 11:25:16 2011 UTC (8 years, 2 months ago) by braverock
- fix number of trades, we weren't backing out the initialization row, thanks to bug report from Wonjae Lee

Revision 747 - Directory Listing
Modified Mon Aug 29 12:27:44 2011 UTC (8 years, 2 months ago) by braverock
- make label handling more sophisticated

Revision 746 - Directory Listing
Modified Sun Aug 28 11:04:13 2011 UTC (8 years, 2 months ago) by braverock
- add importFrom directive for zoo as.Date

Revision 745 - Directory Listing
Modified Sat Aug 27 18:00:06 2011 UTC (8 years, 2 months ago) by bodanker
- added print method for instrument class

Revision 744 - Directory Listing
Modified Fri Aug 26 04:31:19 2011 UTC (8 years, 2 months ago) by cyrforge
More roxygen documentation comments. 
@example change of lines etc.

Revision 743 - Directory Listing
Modified Thu Aug 25 21:15:26 2011 UTC (8 years, 2 months ago) by gsee
 - add make_spread_id fun that creates a spread_id from the primary_ids of its members
 - add auto.assign and env args to fn_SpreadBuilder
 - fn_SpreadBuilder now defines the spread and assigns the xts data in env by default 

Revision 742 - Directory Listing
Modified Thu Aug 25 21:12:43 2011 UTC (8 years, 2 months ago) by braverock
- update roxygen/Rd documentation to get closer to passing R CMD check
- bump version

Revision 741 - Directory Listing
Modified Thu Aug 25 21:08:51 2011 UTC (8 years, 2 months ago) by braverock
- remove empty inst dir

Revision 740 - Directory Listing
Modified Thu Aug 25 20:08:05 2011 UTC (8 years, 2 months ago) by braverock
- update package overview by copy/edit on Josh Ulrich's FOSStrading post

Revision 739 - Directory Listing
Modified Thu Aug 25 20:00:10 2011 UTC (8 years, 2 months ago) by braverock
- update roxygen documentation

Revision 738 - Directory Listing
Modified Thu Aug 25 09:56:58 2011 UTC (8 years, 2 months ago) by gsee
 - add format slot to parsed id lists
 - remove some redundant SSF code in parse_suffix
 - patches to avoid duplicate instrument type
 - add next.future_id and prev.future_id funs
 - add format_id fun
 - add add month_cycle2numeric fun (and unexported variations)
 - add sort_ids fun
 - bump version number

Revision 737 - Directory Listing
Modified Wed Aug 24 21:07:11 2011 UTC (8 years, 2 months ago) by cyrforge
Added/ changed more roxygen documentation comments.

Revision 736 - Directory Listing
Modified Wed Aug 24 04:22:02 2011 UTC (8 years, 2 months ago) by gsee
 bugfix for parse_id when root is supplied

Revision 735 - Directory Listing
Modified Mon Aug 22 21:41:10 2011 UTC (8 years, 2 months ago) by gsee
 only use 1st value of split_method

Revision 734 - Directory Listing
Modified Mon Aug 22 21:32:09 2011 UTC (8 years, 2 months ago) by gsee
 getSymbols.FI can now be called without first calling setSymbolLookup.FI

Revision 733 - Directory Listing
Modified Sun Aug 21 11:59:22 2011 UTC (8 years, 2 months ago) by braverock
- require foreach

Revision 732 - Directory Listing
Modified Wed Aug 17 11:30:49 2011 UTC (8 years, 2 months ago) by braverock
- update config section to source a config file

Revision 731 - Directory Listing
Modified Tue Aug 16 19:38:35 2011 UTC (8 years, 2 months ago) by braverock
- update roxygen documentation to separate return and examples

Revision 730 - Directory Listing
Modified Fri Aug 12 20:24:51 2011 UTC (8 years, 3 months ago) by cyrforge
Extract .blotter object from each parallel works to the main .blotter, with objects name expand like portfolio.macd.p.1 ...
Add more comments for documents.

Revision 729 - Directory Listing
Modified Fri Aug 12 20:22:58 2011 UTC (8 years, 3 months ago) by cyrforge
Some miner changes on demo.

Revision 728 - Directory Listing
Modified Fri Aug 12 01:46:57 2011 UTC (8 years, 3 months ago) by bodanker
- fix addOrder to extract coredata and drop dims from qtysign

Revision 727 - Directory Listing
Modified Thu Aug 11 19:11:53 2011 UTC (8 years, 3 months ago) by gsee
- synthetic and buildSpread now return primary_id (instead of being invisible)
- patched buildSpread bug where stocks AT&T (T) and Ford (F) were being treated like TRUE and FALSE 
- in buildSpread, multiplier is now inverse of divisor (instead of using multiplier as divisor)
- buildBasket is now an alias for buildSpread
- formatted warning messages (added some spaces) in load.instruments
- added DJIA.index to sandbox. Simple example of one way to define/build a price-weighted index.
- bump version

Revision 726 - Directory Listing
Modified Wed Aug 10 20:45:51 2011 UTC (8 years, 3 months ago) by braverock
- minor improvements

Revision 725 - Directory Listing
Modified Wed Aug 10 16:58:05 2011 UTC (8 years, 3 months ago) by braverock
- add roxygen docs for parameter testing 

Revision 724 - Directory Listing
Modified Wed Aug 10 16:26:41 2011 UTC (8 years, 3 months ago) by braverock
- update roxygen docs
- raise dependency for xts to latest stable
- bump version

Revision 723 - Directory Listing
Modified Tue Aug 9 21:09:10 2011 UTC (8 years, 3 months ago) by braverock
- imporove default instrument type selection

Revision 722 - Directory Listing
Modified Tue Aug 9 02:03:23 2011 UTC (8 years, 3 months ago) by gsee
 forgot the sep arg in a paste

Revision 721 - Directory Listing
Modified Mon Aug 8 23:22:33 2011 UTC (8 years, 3 months ago) by gsee
 - instrument wrappers now return the primary_id of the instrument that was created.
 - future_series and option_series now attempt to make suffix_id even if primary_id is missing.

Revision 720 - Directory Listing
Modified Mon Aug 8 20:53:03 2011 UTC (8 years, 3 months ago) by braverock
- generalized continuous series creator prototype contributed by Ilya Kipnis <ilya<dot>kipnis<at>gmail<dot>com>

Revision 719 - Directory Listing
Modified Mon Aug 8 17:14:23 2011 UTC (8 years, 3 months ago) by gsee
 - can now pass either primary_id or both root_id and suffix_id to future_series and option_series
 - use parse_id magic to help create future_series and option_series
 - update demo to show how this works.
 - bump version number

Revision 718 - Directory Listing
Modified Sun Aug 7 23:29:48 2011 UTC (8 years, 3 months ago) by gsee
 add (limited) support for exchange_rates

Revision 717 - Directory Listing
Modified Sun Aug 7 20:51:59 2011 UTC (8 years, 3 months ago) by gsee
typo in docs

Revision 716 - Directory Listing
Modified Sun Aug 7 19:56:28 2011 UTC (8 years, 3 months ago) by gsee
- add parse_id and parse_suffix functions
- add M2C and C2M functions that are used by parsing functions

Revision 715 - Directory Listing
Modified Sat Aug 6 16:32:34 2011 UTC (8 years, 3 months ago) by gsee
 update examples for instrument_attr

Revision 714 - Directory Listing
Modified Sat Aug 6 16:13:07 2011 UTC (8 years, 3 months ago) by gsee
- add instrument_attr fun for adding/updating slots in an instrument.
- future_series no longer requires suffix_id if primary_id has an underscore. (still no root_id arg)
- update roxygen and roxygenize to get closer to passing R CMD check

Revision 713 - Directory Listing
Modified Sat Aug 6 15:07:10 2011 UTC (8 years, 3 months ago) by braverock
- add init and wrapup slots to the strategy object

Revision 712 - Directory Listing
Modified Sat Aug 6 15:05:52 2011 UTC (8 years, 3 months ago) by braverock
- extra roxygen

Revision 711 - Directory Listing
Modified Sat Aug 6 14:57:46 2011 UTC (8 years, 3 months ago) by braverock
- more detail to the shell of initialization functionality

Revision 710 - Directory Listing
Modified Sat Aug 6 14:45:03 2011 UTC (8 years, 3 months ago) by braverock
- stub file for common initialization of strategies 

Revision 709 - Directory Listing
Modified Thu Aug 4 17:19:56 2011 UTC (8 years, 3 months ago) by braverock
- TRTH backfill

Revision 708 - Directory Listing
Modified Thu Aug 4 11:33:50 2011 UTC (8 years, 3 months ago) by braverock
- add EURGBP

Revision 707 - Directory Listing
Modified Tue Aug 2 21:29:15 2011 UTC (8 years, 3 months ago) by braverock
- fix transposed Eurodollar pit/electronic

Revision 706 - Directory Listing
Modified Mon Aug 1 20:36:44 2011 UTC (8 years, 3 months ago) by braverock
- add Brazilian real and New Zealand Dollar

Revision 705 - Directory Listing
Modified Mon Aug 1 18:55:27 2011 UTC (8 years, 3 months ago) by braverock
- add patch from Ilya to make symbol creation more intuitive for contracts traded monthly

Revision 704 - Directory Listing
Modified Wed Jul 27 19:15:01 2011 UTC (8 years, 3 months ago) by braverock
- minor updates from Ilya

Revision 703 - Directory Listing
Modified Wed Jul 27 12:41:38 2011 UTC (8 years, 3 months ago) by braverock
- fix tick_size and multiplier where they were incorrect

Revision 702 - Directory Listing
Modified Tue Jul 26 15:51:13 2011 UTC (8 years, 3 months ago) by gsee
 update some roxygen blocks. mostly formatting

Revision 701 - Directory Listing
Modified Tue Jul 26 15:19:33 2011 UTC (8 years, 3 months ago) by gsee
- add ability to pass vector of instrument names to fn_SpreadBuilder
- update docs

Revision 700 - Directory Listing
Modified Mon Jul 25 19:12:08 2011 UTC (8 years, 3 months ago) by gsee
 fixed subsetting of spread

Revision 699 - Directory Listing
Modified Mon Jul 25 18:26:51 2011 UTC (8 years, 3 months ago) by gsee
- subset spread to not include days when one contract has expired, or not started trading yet.
- remove unnecessary else that followed a stop statement

Revision 698 - Directory Listing
Modified Sun Jul 24 18:10:20 2011 UTC (8 years, 3 months ago) by braverock
- update roxygen comments to use roxygen2, including rdname for functions that share a single .Rd file
- generate new Rd files

Revision 697 - Directory Listing
Modified Sat Jul 23 00:06:37 2011 UTC (8 years, 3 months ago) by gsee
put back a decrement I took out in revision 616.  I think this fixes issues with stoplimit not firing.

Revision 696 - Directory Listing
Modified Fri Jul 22 21:37:34 2011 UTC (8 years, 3 months ago) by gsee
some improvements to stoplimit order handling, but still not perfect

Revision 695 - Directory Listing
Modified Fri Jul 22 20:22:03 2011 UTC (8 years, 3 months ago) by braverock
- add monthContractsAhead into body of function.  patch from Ilya Kipnis to resolve issue

Revision 694 - Directory Listing
Modified Fri Jul 22 14:29:16 2011 UTC (8 years, 3 months ago) by gsee
only use first column that getPrice returns

Revision 693 - Directory Listing
Modified Thu Jul 21 23:22:53 2011 UTC (8 years, 3 months ago) by cyrforge
Add comments and clean up.

Revision 692 - Directory Listing
Modified Thu Jul 21 23:00:07 2011 UTC (8 years, 3 months ago) by cyrforge
Miner changes for running parallel, example use doSMP.

Revision 691 - Directory Listing
Modified Thu Jul 21 22:58:38 2011 UTC (8 years, 3 months ago) by cyrforge
1. Make it run parallel with %dopar%
2. Changed the structure of the return object. Put statsTable, ParameterTable, etc, and eachRun as single object.
 

Revision 690 - Directory Listing
Modified Wed Jul 20 21:39:54 2011 UTC (8 years, 3 months ago) by gsee
minor error handling improvement. Tell user why there was an error if it cannot find rate.

Revision 689 - Directory Listing
Modified Wed Jul 20 21:29:34 2011 UTC (8 years, 3 months ago) by cyrforge
Changed the demo, no need to run setParameterDistribution() without argument to initialize a parameter distribution object.

Revision 688 - Directory Listing
Modified Wed Jul 20 21:27:24 2011 UTC (8 years, 3 months ago) by cyrforge
Add comments 
Try to implement parallel execution  in applyParameter , but still need to solve the error.

Revision 687 - Directory Listing
Modified Wed Jul 20 21:26:22 2011 UTC (8 years, 3 months ago) by cyrforge
Add comments 
Try to implement parallel execution  in applyParameter , but still need to solve the error.

Revision 686 - Directory Listing
Modified Wed Jul 20 20:30:17 2011 UTC (8 years, 3 months ago) by gsee
- buildSpread now works on multi-currency synthetics
- fn_SpreadBuilder no longer checks for Lo and Hi columns (it can't use them anyway.)

Revision 685 - Directory Listing
Modified Fri Jul 15 15:48:52 2011 UTC (8 years, 4 months ago) by gsee
- buildRatio now handles legs that only have 1 row of data.
- Internal Bi, and As funs to handle data with both BidSize and BidPrice columns.

Revision 684 - Directory Listing
Modified Thu Jul 14 18:26:13 2011 UTC (8 years, 4 months ago) by braverock
- change to point at FinancialInstrument rather than blotter

Revision 683 - Directory Listing
Modified Thu Jul 14 01:02:14 2011 UTC (8 years, 4 months ago) by gsee
 typos in roxygen block

Revision 682 - Directory Listing
Modified Wed Jul 13 21:37:51 2011 UTC (8 years, 4 months ago) by braverock
- improve constructor for gauranteed and calendar spreads 

Revision 681 - Directory Listing
Modified Tue Jul 12 15:26:15 2011 UTC (8 years, 4 months ago) by gsee
- allow for either names of xts objects or the objects themselves to be passed to fn_SpreadBuilder.
- add silent arg.
- update docs.

Revision 680 - Directory Listing
Modified Mon Jul 11 22:54:54 2011 UTC (8 years, 4 months ago) by gsee
- use redenominate on data for better handling of multi-currency spreads
- docs updated.

Revision 679 - Directory Listing
Modified Mon Jul 11 19:46:09 2011 UTC (8 years, 4 months ago) by braverock
- fix cut and paste errors in applying parameter arguments to each strategy object copy

Revision 678 - Directory Listing
Modified Mon Jul 11 19:21:28 2011 UTC (8 years, 4 months ago) by braverock
- export parameter testing functions: these are ALPHA code, use at your own risk

Revision 677 - Directory Listing
Modified Mon Jul 11 19:20:01 2011 UTC (8 years, 4 months ago) by braverock
- fix roxygen problems (mostly export)
- stringsAsFactors=FALSE in expand.grid for applyParameters

Revision 676 - Directory Listing
Modified Mon Jul 11 01:37:17 2011 UTC (8 years, 4 months ago) by gsee
 unapply multiplier after redenominate

Revision 675 - Directory Listing
Modified Mon Jul 11 00:48:24 2011 UTC (8 years, 4 months ago) by gsee
 use multipliers in buildRatio if available

Revision 674 - Directory Listing
Modified Mon Jul 11 00:11:31 2011 UTC (8 years, 4 months ago) by gsee
 typo fixed

Revision 673 - Directory Listing
Modified Mon Jul 11 00:09:41 2011 UTC (8 years, 4 months ago) by gsee
 constrain demo output

Revision 672 - Directory Listing
Modified Mon Jul 11 00:05:47 2011 UTC (8 years, 4 months ago) by gsee
 updated demo

Revision 671 - Directory Listing
Modified Mon Jul 11 00:05:08 2011 UTC (8 years, 4 months ago) by gsee
 dont use getPrice if it is univariate.

Revision 670 - Directory Listing
Modified Sun Jul 10 20:16:02 2011 UTC (8 years, 4 months ago) by gsee
- instrument.table function added and exported
- avoid some warnings in buildHierarchy

Revision 669 - Directory Listing
Modified Sun Jul 10 18:57:16 2011 UTC (8 years, 4 months ago) by gsee
 roxygen updates

Revision 668 - Directory Listing
Modified Sun Jul 10 18:01:58 2011 UTC (8 years, 4 months ago) by gsee
add functions for converting assets to different currencies

Revision 667 - Directory Listing
Modified Sun Jul 10 18:00:56 2011 UTC (8 years, 4 months ago) by gsee
 make has.Mid available

Revision 666 - Directory Listing
Modified Sun Jul 10 15:19:54 2011 UTC (8 years, 4 months ago) by gsee
 roxygen updates

Revision 665 - Directory Listing
Modified Sun Jul 10 00:13:03 2011 UTC (8 years, 4 months ago) by gsee
- added/updated roxygen blocks for funs in buildSpread.R.
- replaced related docs with roxygenized docs.

Revision 664 - Directory Listing
Modified Fri Jul 8 01:03:26 2011 UTC (8 years, 4 months ago) by cyrforge
add parameter sample uniqueness check.
add parameter constraint functionality and check.
add regenerate sample to total sample size as some samples will be filtered out.

Revision 663 - Directory Listing
Modified Fri Jul 8 01:01:52 2011 UTC (8 years, 4 months ago) by cyrforge
Demo, run after macd.R. 
Used to test parameter constraints filter in parameter sample generating.

Revision 662 - Directory Listing
Modified Fri Jul 8 01:00:35 2011 UTC (8 years, 4 months ago) by cyrforge
add parameter sample uniqueness check.
add parameter constraint functionality and check.
add regenerate sample to total sample size as some samples will be filtered out.

Revision 661 - Directory Listing
Modified Wed Jul 6 18:42:19 2011 UTC (8 years, 4 months ago) by braverock
- update NAMESPACE and DESCRIPTION

Revision 660 - Directory Listing
Modified Wed Jul 6 18:37:25 2011 UTC (8 years, 4 months ago) by braverock
- minor roxygen documentation updates

Revision 659 - Directory Listing
Modified Wed Jul 6 18:36:32 2011 UTC (8 years, 4 months ago) by braverock
- move to build_symbols.R

Revision 658 - Directory Listing
Modified Wed Jul 6 18:36:08 2011 UTC (8 years, 4 months ago) by braverock
- move build_series_symbols fn to create shared file for build_spread_symbols
- update associated documentation
- other minor (mostly roxygen) updates

Revision 657 - Directory Listing
Modified Thu Jun 30 15:51:35 2011 UTC (8 years, 4 months ago) by gsee
-addDiv now prints a positive value to screen when a long position receives a dividend.

Revision 656 - Directory Listing
Modified Wed Jun 29 22:00:56 2011 UTC (8 years, 4 months ago) by gsee
minor updates to docs

Revision 655 - Directory Listing
Modified Wed Jun 29 21:51:26 2011 UTC (8 years, 4 months ago) by gsee
- buildSpread can now build multiple leg spreads.
- fn_Spreadbuilder builds 2 leg spread, but returns multiple columns.
- add formatSpreadPrice function
- add synthetic.instrument function to replace synthetic.ratio
- note synthetic.ratio as deprecated
- export

Revision 654 - Directory Listing
Modified Wed Jun 29 20:46:22 2011 UTC (8 years, 4 months ago) by cyrforge
Add Yu Chen to author

Revision 653 - Directory Listing
Modified Wed Jun 29 20:23:11 2011 UTC (8 years, 4 months ago) by cyrforge
Demo for parameter generating and testing, run after bbands demo

Revision 652 - Directory Listing
Modified Wed Jun 29 20:22:09 2011 UTC (8 years, 4 months ago) by cyrforge
Put new functions for parameter generating and testing together with the existing functions.

Revision 651 - Directory Listing
Modified Wed Jun 29 18:02:47 2011 UTC (8 years, 4 months ago) by braverock
- fix expiration dates
- remove quotes that mess up Reuters TRTH upload
- minor updates

Revision 650 - Directory Listing
Modified Wed Jun 29 16:53:41 2011 UTC (8 years, 4 months ago) by braverock
minor updates to root contracts

Revision 649 - Directory Listing
Modified Wed Jun 29 16:34:53 2011 UTC (8 years, 4 months ago) by gsee
 - silence warning where we want getInstrument to fail

Revision 648 - Directory Listing
Modified Wed Jun 29 13:06:12 2011 UTC (8 years, 4 months ago) by braverock
- initial revision of symbol expansion based on month_cycle and dates

Revision 647 - Directory Listing
Modified Wed Jun 29 02:12:23 2011 UTC (8 years, 4 months ago) by kboudt
better handling na's in seas

Revision 646 - Directory Listing
Modified Tue Jun 28 20:35:35 2011 UTC (8 years, 4 months ago) by braverock
- add future series for 2010 and 2011
- minor updates to root contracts

Revision 645 - Directory Listing
Modified Tue Jun 28 19:57:25 2011 UTC (8 years, 4 months ago) by braverock
- rearrange by primary_id, use Reuters id as primary where differeces exist

Revision 644 - Directory Listing
Modified Tue Jun 28 19:18:57 2011 UTC (8 years, 4 months ago) by braverock
- updated root contracts file, thanks to Devon Strauss

Revision 643 - Directory Listing
Modified Sun Jun 26 16:38:04 2011 UTC (8 years, 4 months ago) by jonathan


Revision 642 - Directory Listing
Modified Sat Jun 25 20:53:58 2011 UTC (8 years, 4 months ago) by gsee
-exchange rate patches.

Revision 641 - Directory Listing
Modified Sat Jun 25 20:18:41 2011 UTC (8 years, 4 months ago) by gsee
for now, using replace=FALSE to avoid calling updateOrders with incorrect orderside.

Revision 640 - Directory Listing
Modified Fri Jun 24 19:02:48 2011 UTC (8 years, 4 months ago) by gsee
add type to currency constructor

Revision 639 - Directory Listing
Modified Fri Jun 24 14:29:06 2011 UTC (8 years, 4 months ago) by gsee
-gte instead of gt in demos: helpful with higher frequency data where columns may often be equal.
-added my name

Revision 638 - Directory Listing
Modified Fri Jun 24 14:03:50 2011 UTC (8 years, 4 months ago) by braverock
- switch second_currency to counter_currency and update docs to avoid confusion with FX market convention.  kudos to Garrett See for working through issues

Revision 637 - Directory Listing
Modified Fri Jun 24 14:02:05 2011 UTC (8 years, 4 months ago) by braverock
- reverse order of currency conversion to match FX convention, thanks to Garrett See for spotting inconsitencies
- NOTE: we should actually check the $currency slot and $counter_currency slot instead, but this is an improvement

Revision 636 - Directory Listing
Modified Fri Jun 24 04:14:35 2011 UTC (8 years, 4 months ago) by gsee
-better check for order crossing position through zero

Revision 635 - Directory Listing
Modified Fri Jun 24 03:50:48 2011 UTC (8 years, 4 months ago) by gsee
-revert unintentional change of order.set=NA

Revision 634 - Directory Listing
Modified Fri Jun 24 03:45:45 2011 UTC (8 years, 4 months ago) by gsee
-check sign of orderqty before replacing orders

Revision 633 - Directory Listing
Modified Thu Jun 23 20:12:56 2011 UTC (8 years, 4 months ago) by braverock
- add standard currencies
- sort root contracts by primary_id

Revision 632 - Directory Listing
Modified Thu Jun 23 15:28:51 2011 UTC (8 years, 4 months ago) by braverock
- add futures root contracts

Revision 631 - Directory Listing
Modified Wed Jun 22 17:14:24 2011 UTC (8 years, 4 months ago) by gsee
-unhide option_series names

Revision 630 - Directory Listing
Modified Tue Jun 14 02:11:59 2011 UTC (8 years, 5 months ago) by gsee
typo

Revision 629 - Directory Listing
Modified Tue Jun 14 02:04:07 2011 UTC (8 years, 5 months ago) by gsee
added missing getPrice to passive/work/join pricemethods.

Revision 628 - Directory Listing
Modified Mon Jun 13 15:45:36 2011 UTC (8 years, 5 months ago) by gsee
revert order qty adjustment change.

Revision 627 - Directory Listing
Modified Mon Jun 13 14:18:00 2011 UTC (8 years, 5 months ago) by gsee
patch for long exit order qty adjustment

Revision 626 - Directory Listing
Modified Sat Jun 11 22:17:21 2011 UTC (8 years, 5 months ago) by braverock
- fix bid/ask confusion, thanks to Garrett for spotting
- fix confusion between mktdata/data, likely not an issue, but clearer now

Revision 625 - Directory Listing
Modified Sat Jun 11 17:42:13 2011 UTC (8 years, 5 months ago) by braverock
- update pricemethod based on feedback from Garrett See
- update roxygen docs
- bump version

Revision 624 - Directory Listing
Modified Sat Jun 11 13:54:54 2011 UTC (8 years, 5 months ago) by gsee
long AND needed

Revision 623 - Directory Listing
Modified Fri Jun 10 15:47:38 2011 UTC (8 years, 5 months ago) by gsee
opside now checks for BBO data before using bid/ask.

Revision 622 - Directory Listing
Modified Fri Jun 10 01:05:13 2011 UTC (8 years, 5 months ago) by gsee
TxnFees to txnfees

Revision 621 - Directory Listing
Modified Thu Jun 9 23:18:04 2011 UTC (8 years, 5 months ago) by gsee
-Replaced try rm with suppressWarnings in demo cleanup. No more warnings in demos!!! :)
-Corrected yahoo ticker for S&P 500 in faberMC

Revision 620 - Directory Listing
Modified Thu Jun 9 23:15:14 2011 UTC (8 years, 5 months ago) by gsee
suppress unnecessary warnings + patch to avoid warning in rules.R

Revision 619 - Directory Listing
Modified Thu Jun 9 23:12:43 2011 UTC (8 years, 5 months ago) by gsee
-elimnate warnings
-check for null b/f counting rows of Buys/Sells in chart.Posn
-use && instead of & in if statement in updatePosPL

Revision 618 - Directory Listing
Modified Wed Jun 8 22:31:43 2011 UTC (8 years, 5 months ago) by gsee
-check isBBOmktdata before looking for bid/ask for intraday market orders. fill OHLC market orders at default getPrice price.

Revision 617 - Directory Listing
Modified Wed Jun 8 19:22:24 2011 UTC (8 years, 5 months ago) by gsee
BBO market orders are now filled at BBO instead of mid/close/trade/last price.

Revision 616 - Directory Listing
Modified Wed Jun 8 17:30:21 2011 UTC (8 years, 5 months ago) by gsee
-orders were being compared to wrong columns to check for fills.
-curIndex was being decremented where it should not have been.
-PLEASE TEST. This is fundamentally a big change.

Revision 615 - Directory Listing
Modified Wed Jun 8 17:27:27 2011 UTC (8 years, 5 months ago) by gsee
export option_series.yahoo

Revision 614 - Directory Listing
Modified Mon Jun 6 20:58:40 2011 UTC (8 years, 5 months ago) by gsee
-updated docs

Revision 613 - Directory Listing
Modified Mon Jun 6 20:36:59 2011 UTC (8 years, 5 months ago) by gsee
-updated docs to pass R CMD check. fixed some typos/bugs.

Revision 612 - Directory Listing
Modified Sun Jun 5 18:13:01 2011 UTC (8 years, 5 months ago) by gsee
added option_series.yahoo function to define option chains using yahoo data. added documentation.

Revision 611 - Directory Listing
Modified Sun Jun 5 02:48:36 2011 UTC (8 years, 5 months ago) by gsee
testing first commit.

Revision 610 - Directory Listing
Modified Thu Jun 2 02:11:08 2011 UTC (8 years, 5 months ago) by peter_carl
- drafts of scripts for downloading and parsing data for FI
- develop into demos, examples

Revision 609 - Directory Listing
Modified Tue May 31 11:37:36 2011 UTC (8 years, 5 months ago) by jonathan
bugfixes thx to Darko Roupell

Revision 608 - Directory Listing
Modified Mon May 30 09:49:18 2011 UTC (8 years, 5 months ago) by jonathan


Revision 607 - Directory Listing
Modified Mon May 30 09:48:43 2011 UTC (8 years, 5 months ago) by jonathan


Revision 606 - Directory Listing
Modified Sun May 22 21:30:44 2011 UTC (8 years, 5 months ago) by braverock
- remove spurious txnprice = orderPrice at line 473 spotted by Garrett See

Revision 605 - Directory Listing
Modified Sat May 21 14:05:33 2011 UTC (8 years, 5 months ago) by braverock
- updates to pairs demo from Garrett See

Revision 604 - Directory Listing
Modified Thu May 19 19:04:14 2011 UTC (8 years, 5 months ago) by braverock
- make verbose and auto.assign into explicit arguments for getSymbols.FI

Revision 603 - Directory Listing
Modified Tue May 10 02:51:38 2011 UTC (8 years, 6 months ago) by braverock
- fix storage of position limits as a time series
- patch provided by Garrett See  <gsee000 <at> gmail <dot> com >

Revision 602 - Directory Listing
Modified Tue May 10 02:45:43 2011 UTC (8 years, 6 months ago) by braverock
- add new pair_trade demo script that demonstrates a custom indicator and order sizing function
- provided by Garrett See  <gsee000 <at> gmail <dot> com >

Revision 601 - Directory Listing
Modified Sun May 8 01:22:59 2011 UTC (8 years, 6 months ago) by braverock
- fix case where Dates=NULL to remove the initDate
- patch provided by Garrett See  <gsee000 <at> gmail <dot> com >
- TODO more work needed if Dates range contains initDate 

Revision 600 - Directory Listing
Modified Fri May 6 13:59:44 2011 UTC (8 years, 6 months ago) by jonathan
bugfix reported by Björn Hagströmer

Revision 599 - Directory Listing
Modified Thu Apr 28 14:57:19 2011 UTC (8 years, 6 months ago) by braverock
- update to add tradeStats and charts.PerformanceSummary

Revision 598 - Directory Listing
Modified Wed Apr 27 14:45:56 2011 UTC (8 years, 6 months ago) by jonathan


Revision 597 - Directory Listing
Modified Wed Apr 13 10:35:13 2011 UTC (8 years, 7 months ago) by jonathan


Revision 596 - Directory Listing
Modified Mon Apr 11 14:31:18 2011 UTC (8 years, 7 months ago) by braverock
- total days for an individual product only

Revision 595 - Directory Listing
Modified Sun Apr 10 11:46:22 2011 UTC (8 years, 7 months ago) by braverock
- clean up SpreadBuilder code a bit

Revision 594 - Directory Listing
Modified Sat Apr 9 20:11:13 2011 UTC (8 years, 7 months ago) by braverock
- make quantstrat less 'chatty' with Warnings

Revision 593 - Directory Listing
Modified Sat Apr 9 20:08:19 2011 UTC (8 years, 7 months ago) by braverock
- make blotter less 'chatty' with Warnings

Revision 592 - Directory Listing
Modified Sat Apr 9 18:03:21 2011 UTC (8 years, 7 months ago) by braverock
- commit Robert Sams' splice and splooth, not exported

Revision 591 - Directory Listing
Modified Sat Apr 9 10:48:53 2011 UTC (8 years, 7 months ago) by braverock
- clean up instrument lookup in load.instruments

Revision 590 - Directory Listing
Modified Sat Apr 9 10:47:14 2011 UTC (8 years, 7 months ago) by braverock
- migrate fn_SpreadBuilder to package, still needs to be integrated to buildSpread

Revision 589 - Directory Listing
Modified Thu Apr 7 17:29:18 2011 UTC (8 years, 7 months ago) by jonathan
"warning"-free version, and bugfix tqLiquidity

Revision 588 - Directory Listing
Modified Thu Mar 31 14:24:31 2011 UTC (8 years, 7 months ago) by braverock
- fix sigPeak

Revision 587 - Directory Listing
Modified Mon Mar 28 19:00:01 2011 UTC (8 years, 7 months ago) by jonathan
update references

Revision 586 - Directory Listing
Modified Mon Mar 28 13:04:02 2011 UTC (8 years, 7 months ago) by braverock
- scope the chart by Dates, take the scope from the historical price data if necessary
- use Txn.Qty as the indicator for buys/sells, necessary for products w/ negative price

Revision 585 - Directory Listing
Modified Thu Mar 17 18:53:22 2011 UTC (8 years, 7 months ago) by braverock
- apply patch from Eduardo Susini <eduardo <dot> susini <at> gmail <dot> com> to not double-count fees

Revision 584 - Directory Listing
Modified Thu Mar 17 18:28:56 2011 UTC (8 years, 7 months ago) by braverock
- robustness checks for incomplete backtest P&L

Revision 583 - Directory Listing
Modified Thu Mar 17 16:01:47 2011 UTC (8 years, 7 months ago) by braverock
- add .Rbuildignore file

Revision 582 - Directory Listing
Modified Thu Mar 17 15:59:08 2011 UTC (8 years, 7 months ago) by peter_carl
- added sandbox folder
- added two scripts for downloading and parsing historical data
- scripts might be used as demos later

Revision 581 - Directory Listing
Modified Tue Mar 15 18:56:06 2011 UTC (8 years, 8 months ago) by braverock
- better dots handling

Revision 580 - Directory Listing
Modified Tue Mar 15 18:33:11 2011 UTC (8 years, 8 months ago) by braverock
- one more time

Revision 579 - Directory Listing
Modified Tue Mar 15 18:28:52 2011 UTC (8 years, 8 months ago) by braverock
- add else clause

Revision 578 - Directory Listing
Modified Tue Mar 15 18:16:37 2011 UTC (8 years, 8 months ago) by braverock
- add additional if check to avoid extra work if use_identifier=='primary_id'

Revision 577 - Directory Listing
Modified Tue Mar 15 14:31:03 2011 UTC (8 years, 8 months ago) by braverock
- fix syntax error in is.list check

Revision 576 - Directory Listing
Modified Tue Mar 15 13:52:54 2011 UTC (8 years, 8 months ago) by braverock
- allow NULL tick_size, if not NULL, require a single number, as previously

Revision 575 - Directory Listing
Modified Mon Mar 14 04:05:47 2011 UTC (8 years, 8 months ago) by bodanker
- Fix updatePosPL bug when updatePortf is run over multiple transactions

Revision 574 - Directory Listing
Modified Sun Mar 13 18:45:47 2011 UTC (8 years, 8 months ago) by jonathan
spotvol update

Revision 573 - Directory Listing
Modified Sat Mar 12 18:52:40 2011 UTC (8 years, 8 months ago) by braverock
- remove spurious comment that doesn't reflect the current code

Revision 572 - Directory Listing
Modified Sat Mar 12 18:51:45 2011 UTC (8 years, 8 months ago) by braverock
- only call as.POSIXct on TxnDate if it is not already timeBased

Revision 571 - Directory Listing
Modified Sat Mar 12 18:27:32 2011 UTC (8 years, 8 months ago) by bodanker
- Corrected Roxygen errors in tradeStats.R and addTxn.R
- Re-built docs

Revision 570 - Directory Listing
Modified Fri Mar 11 12:09:33 2011 UTC (8 years, 8 months ago) by jonathan
spotvol update and bugfix convert helpfile

Revision 569 - Directory Listing
Modified Tue Mar 8 20:31:57 2011 UTC (8 years, 8 months ago) by braverock
- explicitly set prefer

Revision 568 - Directory Listing
Modified Tue Mar 8 19:15:54 2011 UTC (8 years, 8 months ago) by braverock
- normalize pricing behavior of 'limit' txnPrice calc to match stoplimit/stoptrailing and execute at prevailing price.

Revision 567 - Directory Listing
Modified Tue Mar 8 18:57:47 2011 UTC (8 years, 8 months ago) by braverock
- minor improvements to hold/holdtill

Revision 566 - Directory Listing
Modified Wed Mar 2 20:03:33 2011 UTC (8 years, 8 months ago) by braverock
- remove commented lines, per Josh

Revision 565 - Directory Listing
Modified Wed Mar 2 19:54:55 2011 UTC (8 years, 8 months ago) by braverock
- fix subsetting bug reported by 'Immanuel' on R-SIG-Finance, thanks to Jeff and Josh for helping track it down 

Revision 564 - Directory Listing
Modified Wed Mar 2 14:11:37 2011 UTC (8 years, 8 months ago) by braverock
- add is.portfolio function

Revision 563 - Directory Listing
Modified Mon Feb 28 15:54:58 2011 UTC (8 years, 8 months ago) by braverock
- shell of quantstrat-package introduction documentation

Revision 562 - Directory Listing
Modified Mon Feb 28 15:49:47 2011 UTC (8 years, 8 months ago) by braverock
- fix typos

Revision 561 - Directory Listing
Modified Thu Feb 24 18:21:09 2011 UTC (8 years, 8 months ago) by braverock
- new data table of slippage events in chart.Reconcile
- don't pass dots to chart_Series

Revision 560 - Directory Listing
Modified Wed Feb 23 14:08:39 2011 UTC (8 years, 8 months ago) by braverock
- add 'src' method for use in choosing getSymbols method in setSymbolLookup
- add dots to params list in setSymbolLookup

Revision 559 - Directory Listing
Modified Wed Feb 23 13:53:11 2011 UTC (8 years, 8 months ago) by braverock
- add src argument to allow pointing at other getSymbols functions

Revision 558 - Directory Listing
Modified Thu Feb 17 15:17:31 2011 UTC (8 years, 8 months ago) by braverock
- adjust xts requirement

Revision 557 - Directory Listing
Modified Thu Feb 17 15:08:26 2011 UTC (8 years, 8 months ago) by braverock
- add Dates parameter support and slippage calcs to chart.Posn and chart.Reconcile
- bump xts requirement to 0.7-6.17 for TZ fixes
- bump package version to 0.8
- update roxygen docs

Revision 556 - Directory Listing
Modified Fri Feb 11 17:58:25 2011 UTC (8 years, 9 months ago) by braverock
- apply patch to vectorize updateEndEq contributed by Grigory Bykov, fixes bug reported by Mark Breman on R-Forge bug 836 (not W.W.)

Revision 555 - Directory Listing
Modified Fri Feb 11 17:48:44 2011 UTC (8 years, 9 months ago) by braverock
- apply patch to vectorize updateEndEq contributed by Grigory Bykov, fixes bug reported by Wolfgang Wu

Revision 554 - Directory Listing
Modified Fri Feb 11 14:42:02 2011 UTC (8 years, 9 months ago) by jonathan
making the default options for convert function work on WRDS data output, thx to Thomas Kirschenmann..

Revision 553 - Directory Listing
Modified Thu Feb 10 20:42:58 2011 UTC (8 years, 9 months ago) by braverock
- update getPosAvgCost to use new columns functionality in getPos

Revision 552 - Directory Listing
Modified Thu Feb 10 20:37:53 2011 UTC (8 years, 9 months ago) by braverock
- update getPosQty to use new columns functionality in getPos

Revision 551 - Directory Listing
Modified Wed Feb 9 08:40:27 2011 UTC (8 years, 9 months ago) by jonathan


Revision 550 - Directory Listing
Modified Tue Feb 8 09:08:07 2011 UTC (8 years, 9 months ago) by jonathan
back to fw slash

Revision 549 - Directory Listing
Modified Fri Feb 4 21:51:33 2011 UTC (8 years, 9 months ago) by braverock
- export dailyStats

Revision 548 - Directory Listing
Modified Fri Feb 4 21:17:03 2011 UTC (8 years, 9 months ago) by braverock
- remove character conversion of timestamp where possible
- minor improvements to dindex dimension reduction
- update roxygen documentation
- increase xts version requirement to 0.7-6.15 to take advantage of improved subsetting and make.index.unique
- bump version

Revision 547 - Directory Listing
Modified Mon Jan 31 20:40:16 2011 UTC (8 years, 9 months ago) by braverock
- apply patch from Wolfgang Wu to deal with changes in currency exchange rates to portfolio value even when there are no transactions

Revision 546 - Directory Listing
Modified Mon Jan 31 20:39:07 2011 UTC (8 years, 9 months ago) by braverock
- minor cleanup to stats

Revision 545 - Directory Listing
Modified Fri Jan 28 14:49:53 2011 UTC (8 years, 9 months ago) by braverock
- use last(Equity) for TotalNetProfit

Revision 544 - Directory Listing
Modified Thu Jan 27 23:54:23 2011 UTC (8 years, 9 months ago) by jonathan
spotvol bugfix II (output)

Revision 543 - Directory Listing
Modified Thu Jan 27 08:44:18 2011 UTC (8 years, 9 months ago) by jonathan
spotvol bugfix

Revision 542 - Directory Listing
Modified Thu Jan 27 04:35:57 2011 UTC (8 years, 9 months ago) by bodanker
- Attempt to evaluate rule types in the order listed in ?add.rule. Thanks
  to Aleksandr Rudnev for locating the issue.
- Adjust data for splits/dividends in maCross demo.

Revision 541 - Directory Listing
Modified Mon Jan 24 20:45:42 2011 UTC (8 years, 9 months ago) by braverock
- fix formatting of return object in dailyStats

Revision 540 - Directory Listing
Modified Mon Jan 24 20:41:56 2011 UTC (8 years, 9 months ago) by braverock
- add total number of days, winning/losing days

Revision 539 - Directory Listing
Modified Mon Jan 24 20:28:15 2011 UTC (8 years, 9 months ago) by braverock
- fix formatting of return object in dailyStats, export it

Revision 538 - Directory Listing
Modified Mon Jan 24 17:59:06 2011 UTC (8 years, 9 months ago) by braverock
- handle case of no days with trades/PL

Revision 537 - Directory Listing
Modified Mon Jan 24 16:31:59 2011 UTC (8 years, 9 months ago) by jonathan
periodicity functions update (to avoid problems at the borders with sin/cos, coded by Kris)

Revision 536 - Directory Listing
Modified Sat Jan 22 17:53:11 2011 UTC (8 years, 9 months ago) by braverock
- add dailyStats fn, only lightly tested

Revision 535 - Directory Listing
Modified Sat Jan 22 14:50:00 2011 UTC (8 years, 9 months ago) by braverock
- allow Columns to be specified, default is as the function previously worked, so change is legacy-code-compatible.

Revision 534 - Directory Listing
Modified Tue Jan 18 14:15:55 2011 UTC (8 years, 9 months ago) by llevenson
- Fixed color bug
- Overplot actual cumPL 

Revision 533 - Directory Listing
Modified Mon Jan 17 15:23:56 2011 UTC (8 years, 9 months ago) by braverock
- update chart.Reocncile documentation

Revision 532 - Directory Listing
Modified Mon Jan 17 15:11:32 2011 UTC (8 years, 9 months ago) by braverock
initial revision of chart.Reconcile function for theoretical vs actual reconciliation

Revision 531 - Directory Listing
Modified Fri Jan 14 16:42:23 2011 UTC (8 years, 10 months ago) by llevenson
- simplied Trades extraction

Revision 530 - Directory Listing
Modified Fri Jan 7 17:14:22 2011 UTC (8 years, 10 months ago) by peter_carl
- fixes missing brackets

Revision 529 - Directory Listing
Modified Thu Jan 6 15:13:59 2011 UTC (8 years, 10 months ago) by peter_carl
- edits to documentation

Revision 528 - Directory Listing
Modified Wed Jan 5 04:04:18 2011 UTC (8 years, 10 months ago) by peter_carl
- minor edit to roxygen documentation

Revision 527 - Directory Listing
Modified Wed Jan 5 04:01:20 2011 UTC (8 years, 10 months ago) by peter_carl
- minor edits

Revision 526 - Directory Listing
Modified Wed Jan 5 04:00:45 2011 UTC (8 years, 10 months ago) by peter_carl
- edits to roxygen documentation

Revision 525 - Directory Listing
Modified Tue Jan 4 16:21:18 2011 UTC (8 years, 10 months ago) by braverock
- remove obsolete calcPortf* functions and docs

Revision 524 - Directory Listing
Modified Tue Jan 4 16:16:13 2011 UTC (8 years, 10 months ago) by braverock
- move several non-exported calc* functions to .calc*
- adjust addTxn to call .calc fns
- remove abs() in calcPosAvgCost to account for negative prices

Revision 523 - Directory Listing
Modified Tue Jan 4 12:40:10 2011 UTC (8 years, 10 months ago) by braverock
- remove PortfolioAnalytics as a Suggests
- adjust Contributors

Revision 522 - Directory Listing
Modified Sun Jan 2 14:46:43 2011 UTC (8 years, 10 months ago) by braverock
- updates to docs to pass R CMD check
- bump version

Revision 521 - Directory Listing
Modified Sun Jan 2 14:37:36 2011 UTC (8 years, 10 months ago) by braverock
- updates to docs to pass R CMD check

Revision 520 - Directory Listing
Modified Sun Jan 2 14:35:42 2011 UTC (8 years, 10 months ago) by braverock
- update copyright to 2011

Revision 519 - Directory Listing
Modified Sun Jan 2 11:52:49 2011 UTC (8 years, 10 months ago) by braverock
- add tradeStats TODO's

Revision 518 - Directory Listing
Modified Sun Jan 2 11:14:02 2011 UTC (8 years, 10 months ago) by braverock
- fix typo

Revision 517 - Directory Listing
Modified Sun Jan 2 11:11:58 2011 UTC (8 years, 10 months ago) by braverock
- update copyright to 2011

Revision 516 - Directory Listing
Modified Sun Jan 2 11:08:43 2011 UTC (8 years, 10 months ago) by braverock
- update copyright to 2011

Revision 515 - Directory Listing
Modified Sun Jan 2 10:57:07 2011 UTC (8 years, 10 months ago) by braverock
- remove duplicate Rd file, dailyTxnPL and dailyEqPL can share an Rd description

Revision 514 - Directory Listing
Modified Fri Dec 31 16:11:38 2010 UTC (8 years, 10 months ago) by braverock
- call addTxns explicitly, since it isn't exported anymore...

Revision 513 - Directory Listing
Modified Fri Dec 31 15:45:37 2010 UTC (8 years, 10 months ago) by braverock
- add additional daily trade stats functions
- update roxygen documentation
- remove non-ASCII/UTF-8 characters that were preventing PDF build
- bump version

Revision 512 - Directory Listing
Modified Thu Dec 30 21:21:45 2010 UTC (8 years, 10 months ago) by braverock
- add tradeStats function

Revision 511 - Directory Listing
Modified Thu Dec 23 17:51:50 2010 UTC (8 years, 10 months ago) by braverock
- pass dots for prefer and tz of xts creation

Revision 510 - Directory Listing
Modified Thu Dec 23 14:14:20 2010 UTC (8 years, 10 months ago) by braverock
- remove spurious Collate

Revision 509 - Directory Listing
Modified Thu Dec 23 13:49:47 2010 UTC (8 years, 10 months ago) by braverock
- add Warning on positive transaction fees
- fix description of 'instruments'

Revision 508 - Directory Listing
Modified Wed Dec 22 18:44:09 2010 UTC (8 years, 10 months ago) by braverock
- hash the .instrument env per input from Jeff Ryan
- use make.names consistently in steSymbolLookup.FI
- update NAMESPACE
- bump version

Revision 507 - Directory Listing
Modified Wed Dec 22 18:11:51 2010 UTC (8 years, 10 months ago) by braverock
- make sure dots pass through to all .init* functions, primarily for timezone handling

Revision 506 - Directory Listing
Modified Wed Dec 22 17:42:52 2010 UTC (8 years, 10 months ago) by braverock
- apply patch for NA ConMult from Wolfgang Wu , < wobwu22 <at> yahoo <dot> de >

Revision 505 - Directory Listing
Modified Tue Dec 21 15:36:36 2010 UTC (8 years, 10 months ago) by braverock
- update roxygen documentation

Revision 504 - Directory Listing
Modified Tue Dec 21 11:36:23 2010 UTC (8 years, 10 months ago) by jonathan
Spotvol function: correction for rbpcov

Revision 503 - Directory Listing
Modified Mon Dec 20 22:07:47 2010 UTC (8 years, 10 months ago) by braverock
- add make.names to dir name to look up, so that it won't have crazy chars in it.

Revision 502 - Directory Listing
Modified Mon Dec 20 12:52:08 2010 UTC (8 years, 10 months ago) by braverock
- fix Prices/prices mixup reported by  Aleksandr Rudnev < alex <dot> rudnev<at> gmail <dot> com > and Lei Jin < leijin56 <at> gmail <dot> com >

Revision 501 - Directory Listing
Modified Wed Dec 15 21:27:22 2010 UTC (8 years, 10 months ago) by braverock
- apply patch to non-unique grep bug in getOrders suggested by Aleksandr Rudnev < alex <dot> rudnev<at> gmail <dot> com > as an improvement over grep()

Revision 500 - Directory Listing
Modified Wed Dec 15 19:44:47 2010 UTC (8 years, 10 months ago) by braverock
- fix bug in nextIndex (inside applyRules) that could cause incorrect index order evaluation
- bug inquiry from Aaditya Nanduri < aaditya <dot> nanduri <at> gmail <dot> com >
- minor comment, readability, and code clarity updates along with bug fix 

Revision 499 - Directory Listing
Modified Wed Dec 15 19:15:31 2010 UTC (8 years, 10 months ago) by braverock
- fix typo

Revision 498 - Directory Listing
Modified Wed Dec 15 19:03:40 2010 UTC (8 years, 10 months ago) by braverock
- fix non-unique grep bug in getOrders reported by Aleksandr Rudnev < alex <dot> rudnev<at> gmail <dot> com >

Revision 497 - Directory Listing
Modified Tue Dec 14 19:27:56 2010 UTC (8 years, 11 months ago) by jonathan


Revision 496 - Directory Listing
Modified Tue Dec 14 15:53:12 2010 UTC (8 years, 11 months ago) by peter_carl
- added make.names to ensure compatability with getInstrument
- fixed function spelling

Revision 495 - Directory Listing
Modified Tue Dec 14 15:13:56 2010 UTC (8 years, 11 months ago) by braverock
- pass dots to read.csv

Revision 494 - Directory Listing
Modified Mon Dec 13 19:40:26 2010 UTC (8 years, 11 months ago) by braverock
- add silent argument to getInstrument, FALSE by default

Revision 493 - Directory Listing
Modified Mon Dec 13 19:24:49 2010 UTC (8 years, 11 months ago) by braverock
- export fund type
- changes to load.instruments to better support new types

Revision 492 - Directory Listing
Modified Sun Dec 12 02:19:19 2010 UTC (8 years, 11 months ago) by braverock
- pass dots through updatePortf and .updatePosPl to make sure they are available for getPrice
- existence of potential issue reported by Lei Jin < leijin56 <at> gmail <dot> com > on R-SIG-Finance

Revision 491 - Directory Listing
Modified Fri Dec 10 22:57:53 2010 UTC (8 years, 11 months ago) by peter_carl
- first draft of function

Revision 490 - Directory Listing
Modified Fri Dec 10 21:18:59 2010 UTC (8 years, 11 months ago) by peter_carl
- added skeleton for 'fund' type

Revision 489 - Directory Listing
Modified Fri Dec 10 18:50:13 2010 UTC (8 years, 11 months ago) by braverock
- add bond_series instrument
- minor updates to roxygen comments

Revision 488 - Directory Listing
Modified Fri Dec 10 18:16:12 2010 UTC (8 years, 11 months ago) by peter_carl
- minor editing

Revision 487 - Directory Listing
Modified Fri Dec 10 18:15:44 2010 UTC (8 years, 11 months ago) by peter_carl
- doc changes

Revision 486 - Directory Listing
Modified Thu Dec 9 16:18:02 2010 UTC (8 years, 11 months ago) by braverock
- set more reasonable defaults in spread constructor

Revision 485 - Directory Listing
Modified Thu Dec 9 13:45:19 2010 UTC (8 years, 11 months ago) by braverock
- add handling for guaranteed_spread type as a special class of synthetic instrument
- use named argument passing in all synthetic instrument constructors to fix subtle order of arguments bug

Revision 484 - Directory Listing
Modified Sat Dec 4 21:25:49 2010 UTC (8 years, 11 months ago) by braverock
- add more Reuters workarounds to load.instruments

Revision 483 - Directory Listing
Modified Sat Dec 4 21:02:20 2010 UTC (8 years, 11 months ago) by braverock
- make load.instruments more robust to extra (duplicated) columns
- additional data quality fixes in instrument constructor 

Revision 482 - Directory Listing
Modified Fri Dec 3 21:01:27 2010 UTC (8 years, 11 months ago) by braverock
- fix bug where arguments could be declared multiple times on series load.instruments csv files

Revision 481 - Directory Listing
Modified Fri Dec 3 19:32:58 2010 UTC (8 years, 11 months ago) by braverock
- add load.instrument, setSymbolLookup.FI,  and getSymbols.FI methods
- update documentation

Revision 480 - Directory Listing
Modified Tue Nov 30 14:16:16 2010 UTC (8 years, 11 months ago) by jonathan
Bugfix TSCov & RTSCov in univariate case

Revision 479 - Directory Listing
Modified Tue Nov 30 11:56:13 2010 UTC (8 years, 11 months ago) by peter_carl
- added roxygen documentation

Revision 478 - Directory Listing
Modified Tue Nov 30 11:18:13 2010 UTC (8 years, 11 months ago) by peter_carl
- updated roxygen documentation

Revision 477 - Directory Listing
Modified Mon Nov 29 19:17:55 2010 UTC (8 years, 11 months ago) by braverock
- adapt patch to take last available price from Valdas Kondrotas related to R-Forge tracker 3697 

Revision 476 - Directory Listing
Modified Sun Nov 28 21:34:33 2010 UTC (8 years, 11 months ago) by braverock
- fix bug reported by Josh Ulrich where curIndix might not be defined in nextIndex()
- add back frequency switch for 'market' orders on low frequencies to allow same-period execution (originally removed in r433)

Revision 475 - Directory Listing
Modified Sat Nov 27 16:50:22 2010 UTC (8 years, 11 months ago) by jonathan


Revision 474 - Directory Listing
Modified Sat Nov 27 16:44:34 2010 UTC (8 years, 11 months ago) by jonathan
extra sample data

Revision 473 - Directory Listing
Modified Sat Nov 27 16:43:39 2010 UTC (8 years, 11 months ago) by jonathan


Revision 472 - Directory Listing
Modified Wed Nov 24 19:52:27 2010 UTC (8 years, 11 months ago) by peter_carl
- fixed in roxygen

Revision 471 - Directory Listing
Modified Wed Nov 24 19:51:43 2010 UTC (8 years, 11 months ago) by peter_carl
- fixed example

Revision 470 - Directory Listing
Modified Wed Nov 24 18:51:57 2010 UTC (8 years, 11 months ago) by braverock
- add defaults if instrument not found

Revision 469 - Directory Listing
Modified Wed Nov 24 17:02:24 2010 UTC (8 years, 11 months ago) by peter_carl
- changes to documentation for pennyPerShare
- deleted an argument for pennyPerShare

Revision 468 - Directory Listing
Modified Wed Nov 24 17:00:06 2010 UTC (8 years, 11 months ago) by peter_carl
- updates to main documentation and examples

Revision 467 - Directory Listing
Modified Wed Nov 24 14:28:33 2010 UTC (8 years, 11 months ago) by jonathan


Revision 466 - Directory Listing
Modified Wed Nov 24 14:20:49 2010 UTC (8 years, 11 months ago) by jonathan


Revision 465 - Directory Listing
Modified Mon Nov 22 18:38:58 2010 UTC (8 years, 11 months ago) by braverock
- fix memberratio

Revision 464 - Directory Listing
Modified Mon Nov 22 18:32:12 2010 UTC (8 years, 11 months ago) by jonathan
removing helpfiles for separate liquidity functions and changed function names..

Revision 463 - Directory Listing
Modified Mon Nov 22 18:30:44 2010 UTC (8 years, 11 months ago) by braverock
- add handling of spread and guaranteed_spread types in load.instrument fn

Revision 462 - Directory Listing
Modified Mon Nov 22 18:13:26 2010 UTC (8 years, 11 months ago) by braverock
- add guaranteed_spread constructor

Revision 461 - Directory Listing
Modified Mon Nov 22 12:04:35 2010 UTC (8 years, 11 months ago) by jonathan
major update: refreshtime, tqliquidity, new realized covariance estimators, ... (tscov and rtscov need to be doublechecked)

Revision 460 - Directory Listing
Modified Sun Nov 21 16:32:24 2010 UTC (8 years, 11 months ago) by braverock
- fix to allow explicit passing of Prices into .updatePosPL
  + patch presented by Soren < me <at> censix <dot> com >

Revision 459 - Directory Listing
Modified Sun Nov 21 16:06:45 2010 UTC (8 years, 11 months ago) by braverock
- add setSymbolLookup.FI and getSymbols.FI functions, not yet exported.
  + setSymbolLookup.FI is well-tested and presumed correct, 
  + getSymbols.FI probably belongs in quantmod

Revision 458 - Directory Listing
Modified Thu Nov 18 14:10:55 2010 UTC (8 years, 11 months ago) by braverock
- updates to make constructors more robust
- add assign_i parameter to instrument constructor, use in all type-specific constructors
- use make.names() instead of custom regex
- use main instrument constructor for constructing synthetics
- update roxygen docs

Revision 457 - Directory Listing
Modified Wed Nov 17 20:37:49 2010 UTC (8 years, 11 months ago) by braverock
- bump version, fix Collate

Revision 456 - Directory Listing
Modified Wed Nov 17 20:27:53 2010 UTC (8 years, 11 months ago) by braverock
- add load.instruments function
- add additional custom fields handling in constructor 
- add identifier recognition, better getInstrument search
- update roxygen docs

Revision 455 - Directory Listing
Modified Wed Nov 17 03:24:29 2010 UTC (8 years, 11 months ago) by peter_carl
- fixed error in date selection when passing in Dates

Revision 454 - Directory Listing
Modified Wed Nov 17 03:21:13 2010 UTC (8 years, 11 months ago) by peter_carl
- updated

Revision 453 - Directory Listing
Modified Wed Nov 17 03:20:05 2010 UTC (8 years, 11 months ago) by peter_carl
- first draft of package documentation

Revision 452 - Directory Listing
Modified Mon Nov 15 15:59:36 2010 UTC (8 years, 11 months ago) by braverock
- bump xts requirement to 0.7-6.8 to address subsetting bug fixed in that version by Josh

Revision 451 - Directory Listing
Modified Sat Nov 13 18:35:04 2010 UTC (9 years ago) by braverock
- update docs, DESCRIPTION, NAMESPACE

Revision 450 - Directory Listing
Modified Sat Nov 13 18:30:40 2010 UTC (9 years ago) by braverock
- minor updates to demo code

Revision 449 - Directory Listing
Modified Sat Nov 13 18:29:16 2010 UTC (9 years ago) by braverock
- remove deprecated code for updating trailing orders from applyRules

Revision 448 - Directory Listing
Modified Sat Nov 13 18:16:45 2010 UTC (9 years ago) by braverock
- add loop jumping for trailing orders, jump to next move or next cross
- add environment for dindex index of mktdata indices we might have to process on
- leave commented code for more complicated order update/replace trailing move while loop

Revision 447 - Directory Listing
Modified Sat Nov 13 17:26:55 2010 UTC (9 years ago) by braverock
- roxygen doc update

Revision 446 - Directory Listing
Modified Sat Nov 13 16:57:40 2010 UTC (9 years ago) by braverock
- make sure order price sent to addOrder is numeric
- export getPosQty

Revision 445 - Directory Listing
Modified Sat Nov 13 16:56:26 2010 UTC (9 years ago) by braverock
- fix setting tmult=TRUE threshold for trailing orders
- minor updates, mostly to roxygen docs

Revision 444 - Directory Listing
Modified Fri Nov 12 17:08:20 2010 UTC (9 years ago) by braverock
- update second chart parameters and add getEndEq in response to query from Aleksandr Rudnev <alex <dot> rudnev <at> gmail <dot> com>

Revision 443 - Directory Listing
Modified Wed Nov 10 13:25:52 2010 UTC (9 years ago) by braverock
- remove Collate for now

Revision 442 - Directory Listing
Modified Fri Nov 5 04:29:22 2010 UTC (9 years ago) by bodanker
- Move more variable-creation to top of loops to avoid repeated calls

Revision 441 - Directory Listing
Modified Thu Nov 4 19:40:35 2010 UTC (9 years ago) by braverock
- pass through OHLC data if we have it

Revision 440 - Directory Listing
Modified Thu Nov 4 18:05:32 2010 UTC (9 years ago) by braverock
- roxygenize (almost) all docs
- updates to come closer to passing R CMD check


Revision 439 - Directory Listing
Modified Thu Nov 4 16:16:54 2010 UTC (9 years ago) by braverock
- bump version

Revision 438 - Directory Listing
Modified Thu Nov 4 16:14:20 2010 UTC (9 years ago) by braverock
- stub/update roxygen comments for all functions
- update @export tags
- remove obsolete functions
- convert private fns to .fns where appropriate

Revision 437 - Directory Listing
Modified Tue Nov 2 20:08:59 2010 UTC (9 years ago) by braverock
- add dimension reduction for limit orders

Revision 436 - Directory Listing
Modified Tue Nov 2 14:45:06 2010 UTC (9 years ago) by braverock
- add arbitrary identifiers and other fields
- search identifiers with getInstrument if primary_id doesn't match
- update documentation

Revision 435 - Directory Listing
Modified Mon Nov 1 13:04:23 2010 UTC (9 years ago) by llevenson
- Added verbose field to give user ability to view output or not.

Revision 434 - Directory Listing
Modified Thu Oct 28 16:41:12 2010 UTC (9 years ago) by braverock
- apply dimension reduction to path dependent rules with signature like ruleSignal
- skip indices where we don't need to do anything, process every index while we have open orders
- update docs

Revision 433 - Directory Listing
Modified Thu Oct 28 13:19:39 2010 UTC (9 years ago) by braverock
- remove switch on frequency to eliminate duplicated code in ruleOrderProc

Revision 432 - Directory Listing
Modified Wed Oct 27 21:08:50 2010 UTC (9 years ago) by llevenson
- commented out timespan line since it is not being used yet (orders.R)
- added "pre" and "post" types (rules.R)
- added a check for path.dep to only run applyRules when needed (strategy.R)

Revision 431 - Directory Listing
Modified Mon Oct 25 14:40:35 2010 UTC (9 years ago) by llevenson
- revert iceberg handling comments from performance tuning
- add argument for 'prefer' to address R-Forge request 1146

Revision 430 - Directory Listing
Modified Mon Oct 25 12:46:19 2010 UTC (9 years ago) by braverock
- add argument handling for 'prefer' argument to address R-Forge request 1146 for Mark Breman
- update docs

Revision 429 - Directory Listing
Modified Mon Oct 25 12:23:05 2010 UTC (9 years ago) by bodanker
- Elminate doubled subsetting calls:
    e.g. ordersubset[ii, ]$Txn.Fees -> ordersubset[ii,"Txn.Fees"]
- Create variables at top of loops to avoid repeated subsetting calls

Revision 428 - Directory Listing
Modified Mon Oct 25 12:02:26 2010 UTC (9 years ago) by bodanker
- converted "\t" to "    " in orders.R

Revision 427 - Directory Listing
Modified Fri Oct 22 19:03:06 2010 UTC (9 years ago) by braverock
- update DESCRIPTION file dependency on xts to current 0.7-6.1

Revision 426 - Directory Listing
Modified Fri Oct 22 18:27:24 2010 UTC (9 years ago) by braverock
- eliminate (most?) match.fun calls in applyRules by doing match.fun in add.rule
- update docs

Revision 425 - Directory Listing
Modified Fri Oct 22 18:20:35 2010 UTC (9 years ago) by llevenson
- In ruleOrderProc moved remqty above if statement
- In addPosLimit fixed colnames(newrow) 

Revision 424 - Directory Listing
Modified Fri Oct 22 18:12:16 2010 UTC (9 years ago) by llevenson
- add getPrice(Prices,...) to handle multicolumn price data

Revision 423 - Directory Listing
Modified Mon Oct 18 21:10:17 2010 UTC (9 years ago) by braverock
- add risk rules and stoptrailing support for higher frequency bars
- add timespan parameter for ISO-8601 time subset rule execution
- update docs
- minor as.numeric bug fixes

Revision 422 - Directory Listing
Modified Thu Oct 14 19:26:32 2010 UTC (9 years, 1 month ago) by braverock
- add iceberg order type
- impute side in osMaxPos if necessary
- minor typo/bug fixes
- update docs

Revision 421 - Directory Listing
Modified Thu Oct 14 18:54:07 2010 UTC (9 years, 1 month ago) by llevenson
- fixed multiple as.numeric()
- added isTRUE around is.na()

Revision 420 - Directory Listing
Modified Tue Oct 12 17:33:09 2010 UTC (9 years, 1 month ago) by braverock
- explicitly pass tmult as argument to ruleSignal
- change macd demo to demonstrate stoplimit order at threshold multiplier

Revision 419 - Directory Listing
Modified Tue Oct 12 15:56:29 2010 UTC (9 years, 1 month ago) by braverock
- fix bug in stoplimit processing on low-frequency data in ruleOrderPorc
- fix s/mkdata/mktdata/ typo in applyRules

Revision 418 - Directory Listing
Modified Tue Oct 12 13:39:58 2010 UTC (9 years, 1 month ago) by llevenson
- Changed > to >= for length(price)

Revision 417 - Directory Listing
Modified Tue Oct 12 13:27:10 2010 UTC (9 years, 1 month ago) by braverock
- make instrument meta-data available in applyRules as mktinstr; call via quote(mktinstr)

Revision 416 - Directory Listing
Modified Mon Oct 11 19:01:24 2010 UTC (9 years, 1 month ago) by braverock
- update sigFormula to make it more robust (thanks to THomas Bolton)
- minor updates to roxygen docs

Revision 415 - Directory Listing
Modified Mon Oct 11 13:23:33 2010 UTC (9 years, 1 month ago) by llevenson
- Fixed creation of xts object newrow with cbind (traderules.R, line 180)
- Added as.numeric wrapper around qty[i] (orders.R, line 262)

Revision 414 - Directory Listing
Modified Mon Oct 11 12:11:57 2010 UTC (9 years, 1 month ago) by braverock
- more updates to PortfReturns, documentation, export it

Revision 413 - Directory Listing
Modified Mon Oct 11 08:54:36 2010 UTC (9 years, 1 month ago) by braverock
- move GrossTxnRealizedPL calc into addTxns, removing obsolete one-line calcRealizedPL fn

Revision 412 - Directory Listing
Modified Mon Oct 11 00:07:10 2010 UTC (9 years, 1 month ago) by braverock
- initial revision of PortfReturns fn, not yet exported, provides per-instrument contribution to return on equity

Revision 411 - Directory Listing
Modified Sun Oct 10 12:05:53 2010 UTC (9 years, 1 month ago) by braverock
- remove three obsolete calc* functions

Revision 410 - Directory Listing
Modified Fri Oct 8 13:47:27 2010 UTC (9 years, 1 month ago) by llevenson
- Fixed which logic to evaluate all conditions 
- Removed bug in is.null(side), was is.null(status)

Revision 409 - Directory Listing
Modified Thu Oct 7 20:21:22 2010 UTC (9 years, 1 month ago) by braverock
- remove edge case bug where priorPL has no rows

Revision 408 - Directory Listing
Modified Thu Oct 7 16:54:31 2010 UTC (9 years, 1 month ago) by braverock
- trim the Account $summary slot to trim anything after the beginning of Dates we're asked to run on.
  closes R-Forge bug 831

Revision 407 - Directory Listing
Modified Wed Oct 6 14:26:38 2010 UTC (9 years, 1 month ago) by peter_carl
- functions rolled up into a single parent function and no longer needed

Revision 406 - Directory Listing
Modified Wed Oct 6 14:24:26 2010 UTC (9 years, 1 month ago) by peter_carl
- finished account multicurrency and vectorization

Revision 405 - Directory Listing
Modified Tue Oct 5 13:20:59 2010 UTC (9 years, 1 month ago) by braverock
- add Net Realized P&L to getTxns summary report

Revision 404 - Directory Listing
Modified Mon Oct 4 20:29:13 2010 UTC (9 years, 1 month ago) by braverock
- add as.numeric wrappers for OHLC handling for orderProc. 
  fixes bug identified by Thomas Bolton <thomasrbolton <at> yahoo <dot> co <dot> uk>

Revision 403 - Directory Listing
Modified Sat Oct 2 18:12:24 2010 UTC (9 years, 1 month ago) by braverock
- fix edge cases for PL calc when transactions happen on first measurement period
- simplify some of the other calculations
- fix turtles demo so it can be run multiple times in the same session

Revision 402 - Directory Listing
Modified Mon Sep 27 13:03:51 2010 UTC (9 years, 1 month ago) by braverock
- fix NA in first row of Gross.Trading.PL, 
  resolves possible improper result in first period

Revision 401 - Directory Listing
Modified Thu Sep 23 20:48:57 2010 UTC (9 years, 1 month ago) by braverock
- workarounds to counter cases where dateRange may end up with NA for $last.date from .parseISO8601
  NOTE: this regresses to using time() from first portfolio instrument for summary table..

Revision 400 - Directory Listing
Modified Thu Sep 23 12:56:32 2010 UTC (9 years, 1 month ago) by braverock
- reverse order of .parseISO8601 and first to allow full xts style strings to be passed

Revision 399 - Directory Listing
Modified Thu Sep 23 12:54:42 2010 UTC (9 years, 1 month ago) by braverock
- reverse order of .parseISO8601 and first to allow full xts style strings to be passed

Revision 398 - Directory Listing
Modified Mon Sep 20 11:52:08 2010 UTC (9 years, 1 month ago) by braverock
- make change to check for no Txns to accommodate newest 'subset' code in xts
- roll back change temporary change to longtrend demo

Revision 397 - Directory Listing
Modified Sat Sep 18 21:24:41 2010 UTC (9 years, 1 month ago) by braverock
- hopefully temporary change to workaround xts dropping columns in merge

Revision 396 - Directory Listing
Modified Sat Sep 18 21:04:55 2010 UTC (9 years, 1 month ago) by braverock
- update documentation

Revision 395 - Directory Listing
Modified Sat Sep 18 20:11:22 2010 UTC (9 years, 1 month ago) by braverock
- change addTxn to be consistent w/ new xts subset code

Revision 394 - Directory Listing
Modified Sun Sep 12 17:27:33 2010 UTC (9 years, 2 months ago) by braverock
- fix passing of dots and TxnFees.  bug reported by Andre Barosso < andre <dot> barroso <at> gmail <dot> com >

Revision 393 - Directory Listing
Modified Sun Sep 12 17:27:10 2010 UTC (9 years, 2 months ago) by braverock
- fix passing of dots and TxnFees.  bug reported by Andre Barosso < andre <dot> barroso <at> gmail <dot> com >

Revision 392 - Directory Listing
Modified Fri Sep 10 13:50:48 2010 UTC (9 years, 2 months ago) by braverock
- update docs, minor additions

Revision 391 - Directory Listing
Modified Thu Sep 9 15:03:04 2010 UTC (9 years, 2 months ago) by braverock
- initial revision of extractTxns fn

Revision 390 - Directory Listing
Modified Wed Sep 8 20:45:32 2010 UTC (9 years, 2 months ago) by braverock
- apply patch 1065 from Mstislav Elagin (m_elagin)
  - fix assignment of sret in strategy symbols loop 

Revision 389 - Directory Listing
Modified Wed Sep 8 20:36:08 2010 UTC (9 years, 2 months ago) by braverock
- add multi-currency Faber example script

Revision 388 - Directory Listing
Modified Wed Sep 8 20:35:14 2010 UTC (9 years, 2 months ago) by braverock
- bug fixes in matrix mult and assignment

Revision 387 - Directory Listing
Modified Wed Sep 8 17:47:19 2010 UTC (9 years, 2 months ago) by braverock
- apply patches from Mstislav Elagin (m_elagin), fix bg, ad ==, >=, <= to sigComparison
  - R-Forge patches 1062, 1064 

Revision 386 - Directory Listing
Modified Wed Sep 8 14:41:28 2010 UTC (9 years, 2 months ago) by braverock
- fix typo 'prices' -> 'price' in addOrder

Revision 385 - Directory Listing
Modified Fri Sep 3 14:09:02 2010 UTC (9 years, 2 months ago) by braverock
- apply patch for subset issue in some combinations of R/xts provided by Alex Bird

Revision 384 - Directory Listing
Modified Fri Sep 3 13:06:31 2010 UTC (9 years, 2 months ago) by braverock
- add tick_size to instruments
- update docs and demo

Revision 383 - Directory Listing
Modified Thu Sep 2 18:22:04 2010 UTC (9 years, 2 months ago) by braverock
- fix issue with subsetting in latest xts, caused rbind to fail
  - reported by Ben McCann, Alex Bird. thx to Jeff Ryan for xts debugging help
- bump xts version requirement to 0.7-5

Revision 382 - Directory Listing
Modified Thu Aug 26 11:26:06 2010 UTC (9 years, 2 months ago) by braverock
- initial support for market maker orders 
  (paired orders or order sets on both sides of market) 

Revision 381 - Directory Listing
Modified Tue Aug 24 19:27:24 2010 UTC (9 years, 2 months ago) by braverock
- fix edge case in updatePosPL where there was not enough information to calc period P&L
- update turtles demo to use chart.Posn

Revision 380 - Directory Listing
Modified Mon Aug 23 17:45:00 2010 UTC (9 years, 2 months ago) by braverock
- increment version
- remove obsolete tests

Revision 379 - Directory Listing
Modified Mon Aug 23 15:44:54 2010 UTC (9 years, 2 months ago) by braverock
- fix bug for all summary attributes that use Pos.Value to calc
- limit duplicate .getBySymbol calls

Revision 378 - Directory Listing
Modified Fri Aug 20 18:12:00 2010 UTC (9 years, 2 months ago) by braverock
- add summary slot to portfolio object
- move instrument data to $symbols slot
- modify all other code to access in $symbols slot

Revision 377 - Directory Listing
Modified Fri Aug 20 14:22:48 2010 UTC (9 years, 2 months ago) by peter_carl
- adds portfolio summary calculations, but does not save them yet
- BROKEN

Revision 376 - Directory Listing
Modified Tue Aug 17 21:03:50 2010 UTC (9 years, 2 months ago) by braverock
- apply patch from Ben McCann Tracker item 1028

Revision 375 - Directory Listing
Modified Tue Aug 17 19:34:36 2010 UTC (9 years, 2 months ago) by braverock
- patch submitted by Ben McCann for Tracker 1022

Revision 374 - Directory Listing
Modified Tue Aug 17 18:43:35 2010 UTC (9 years, 2 months ago) by braverock
- vectorize updatePosPL
- update demos to show more timing information

Revision 373 - Directory Listing
Modified Mon Aug 16 18:04:41 2010 UTC (9 years, 2 months ago) by braverock
- fix edge case bug in updatePosPL (first bug spotted by a regression test!)
- update tests with new code from Ben McCann (thanks!)

Revision 372 - Directory Listing
Modified Mon Aug 16 15:30:39 2010 UTC (9 years, 2 months ago) by braverock
- apply first part of patch from Wolfgang Wu to streamline portfolio PL processing

Revision 371 - Directory Listing
Modified Thu Aug 12 20:18:09 2010 UTC (9 years, 3 months ago) by braverock
- update demos

Revision 370 - Directory Listing
Modified Thu Aug 12 13:52:05 2010 UTC (9 years, 3 months ago) by braverock
- update demos
- fix RSI demo, which was broken

Revision 369 - Directory Listing
Modified Thu Aug 12 11:44:00 2010 UTC (9 years, 3 months ago) by braverock
- set default for data param in signals and rules, should simplify strat creation
- update docs
- revise demos to conform to new defaults

Revision 368 - Directory Listing
Modified Thu Aug 12 02:36:35 2010 UTC (9 years, 3 months ago) by peter_carl
- added currency attribute to Account

Revision 367 - Directory Listing
Modified Fri Aug 6 16:40:47 2010 UTC (9 years, 3 months ago) by braverock
- add Contributors
- update URL to point to R-Forge

Revision 366 - Directory Listing
Modified Fri Aug 6 15:49:00 2010 UTC (9 years, 3 months ago) by braverock
- add Runit to Suggests to account for new tests written by Ben McCann

Revision 365 - Directory Listing
Modified Fri Aug 6 15:42:28 2010 UTC (9 years, 3 months ago) by braverock


Revision 364 - Directory Listing
Modified Thu Jul 29 15:43:53 2010 UTC (9 years, 3 months ago) by braverock
- update exports

Revision 363 - Directory Listing
Modified Wed Jul 28 16:49:57 2010 UTC (9 years, 3 months ago) by braverock
- fix index bug that could insert bad orders in the order book
- clean up when we use assign, limit duplication of get/assign to avoid collisions
- add options to return indices or full records as needed

Revision 362 - Directory Listing
Modified Wed Jul 28 16:47:39 2010 UTC (9 years, 3 months ago) by braverock
- rename demos to not collide with TTR function names
- add example of stoplimit order rule to macd demo
- minor updates 

Revision 361 - Directory Listing
Modified Tue Jul 27 14:06:38 2010 UTC (9 years, 3 months ago) by braverock
- convert to use parameters

Revision 360 - Directory Listing
Modified Mon Jul 26 19:08:35 2010 UTC (9 years, 3 months ago) by braverock
- add parameter support for passing parameters at evaluation-time
- update BBands demo to use parameters
- update docs

Revision 359 - Directory Listing
Modified Thu Jul 22 12:22:24 2010 UTC (9 years, 3 months ago) by braverock
- add additional commented rules to handle the short side of a stop and reverse trade strategy

Revision 358 - Directory Listing
Modified Wed Jul 21 16:46:46 2010 UTC (9 years, 3 months ago) by braverock
- add MA-cross strategy demo from R. Raghuraman ("Raghu")

Revision 357 - Directory Listing
Modified Mon Jul 19 17:04:07 2010 UTC (9 years, 3 months ago) by jonathan
bugfix thx to reporting of Ruey-wan Liou

Revision 356 - Directory Listing
Modified Mon Jul 19 13:53:53 2010 UTC (9 years, 3 months ago) by braverock
- add RSI(2) and MACD trend strategy examples

Revision 355 - Directory Listing
Modified Fri Jul 16 19:08:41 2010 UTC (9 years, 3 months ago) by braverock
- fix 'enter'/'entry' confusion
- normalize docs and code
- accept either argument

Revision 354 - Directory Listing
Modified Fri Jul 16 18:00:48 2010 UTC (9 years, 3 months ago) by braverock
- pass ruletype into ruleProc

Revision 353 - Directory Listing
Modified Fri Jul 16 17:44:32 2010 UTC (9 years, 3 months ago) by braverock
- smarter handling of orderqty='all'
- better handling of 'prefer' argument
- update documentation

Revision 352 - Directory Listing
Modified Wed Jul 14 15:44:43 2010 UTC (9 years, 4 months ago) by braverock
- apply patches by Wolfgang Wu <wobwu22 [at] yahoo [dot] de>

Revision 351 - Directory Listing
Modified Tue Jul 13 17:15:56 2010 UTC (9 years, 4 months ago) by braverock
- update docs

Revision 350 - Directory Listing
Modified Tue Jul 13 15:45:58 2010 UTC (9 years, 4 months ago) by braverock
- add error check for multiple columns in Prices
- fix typo

Revision 349 - Directory Listing
Modified Wed Jul 7 02:00:28 2010 UTC (9 years, 4 months ago) by peter_carl
- fixed bug in rowSums, misplaced parens missed na.rm flag

Revision 348 - Directory Listing
Modified Wed Jun 30 16:52:07 2010 UTC (9 years, 4 months ago) by peter_carl
- fixed to get the summary by portfolio currency

Revision 347 - Directory Listing
Modified Tue Jun 29 01:18:19 2010 UTC (9 years, 4 months ago) by braverock
- add dots to osFun call in ruleSignal fn, per msg from Krish Maheswaran

Revision 346 - Directory Listing
Modified Thu Jun 24 13:42:44 2010 UTC (9 years, 4 months ago) by jonathan
Help-files update (WRDS standard)

Revision 345 - Directory Listing
Modified Thu Jun 24 10:25:11 2010 UTC (9 years, 4 months ago) by jonathan
second bunch of EZ comments incoporated (WRDS standard)

Revision 344 - Directory Listing
Modified Wed Jun 23 11:39:51 2010 UTC (9 years, 4 months ago) by jonathan
incorporation of first comments Eric Zivot

Revision 343 - Directory Listing
Modified Wed Jun 16 15:39:36 2010 UTC (9 years, 4 months ago) by braverock
- add 'cross'-over argument to sigThreshold

Revision 342 - Directory Listing
Modified Tue Jun 15 17:47:23 2010 UTC (9 years, 5 months ago) by braverock
- updates to pass R CMD check

Revision 341 - Directory Listing
Modified Tue Jun 15 17:23:04 2010 UTC (9 years, 5 months ago) by braverock
- add stratFaber data object and documentation

Revision 340 - Directory Listing
Modified Tue Jun 15 15:39:18 2010 UTC (9 years, 5 months ago) by braverock
- remove simplestrat

Revision 339 - Directory Listing
Modified Tue Jun 15 14:52:25 2010 UTC (9 years, 5 months ago) by braverock
- add references

Revision 338 - Directory Listing
Modified Tue Jun 15 14:36:01 2010 UTC (9 years, 5 months ago) by braverock
- add BBands strategy object to 'data' directory

Revision 337 - Directory Listing
Modified Tue Jun 15 14:08:49 2010 UTC (9 years, 5 months ago) by braverock
- add a strategy definition object for BBands

Revision 336 - Directory Listing
Modified Thu Jun 10 14:19:15 2010 UTC (9 years, 5 months ago) by jonathan


Revision 335 - Directory Listing
Modified Thu Jun 10 14:12:09 2010 UTC (9 years, 5 months ago) by jonathan
pdf manual update

Revision 334 - Directory Listing
Modified Fri Jun 4 22:41:56 2010 UTC (9 years, 5 months ago) by braverock
- raise quantmod and xts version requirements

Revision 333 - Directory Listing
Modified Tue May 25 13:14:31 2010 UTC (9 years, 5 months ago) by jonathan


Revision 332 - Directory Listing
Modified Thu Apr 29 20:55:57 2010 UTC (9 years, 6 months ago) by braverock
- make price handlnig more robust for BBO data

Revision 331 - Directory Listing
Modified Thu Apr 29 20:51:11 2010 UTC (9 years, 6 months ago) by braverock
- add currency table to initPortf
- use getPrice rather than Cl in posPL calcs to get price on the mark, should be more robust

Revision 330 - Directory Listing
Modified Tue Apr 20 12:08:58 2010 UTC (9 years, 6 months ago) by braverock
- initial revision of parameter functions, not complete yet

Revision 329 - Directory Listing
Modified Wed Apr 14 14:39:07 2010 UTC (9 years, 7 months ago) by jonathan
last help files

Revision 328 - Directory Listing
Modified Mon Apr 12 21:04:26 2010 UTC (9 years, 7 months ago) by jonathan
revision kris + first part liquidity help files

Revision 327 - Directory Listing
Modified Mon Apr 12 13:35:51 2010 UTC (9 years, 7 months ago) by jonathan
help files revision by Kris

Revision 326 - Directory Listing
Modified Fri Apr 9 16:48:24 2010 UTC (9 years, 7 months ago) by jonathan
aggregation function adapted

Revision 325 - Directory Listing
Modified Fri Apr 9 16:47:18 2010 UTC (9 years, 7 months ago) by jonathan
help files: volatility and aggregation functions

Revision 324 - Directory Listing
Modified Thu Apr 8 10:16:09 2010 UTC (9 years, 7 months ago) by jonathan
update sample data

Revision 323 - Directory Listing
Modified Wed Apr 7 20:21:52 2010 UTC (9 years, 7 months ago) by braverock
- doc and exports updates

Revision 322 - Directory Listing
Modified Wed Apr 7 17:21:18 2010 UTC (9 years, 7 months ago) by jonathan
correction help files (e.g. correct reference for cleaning procedures)

Revision 321 - Directory Listing
Modified Mon Apr 5 16:32:34 2010 UTC (9 years, 7 months ago) by jonathan
help files update

Revision 320 - Directory Listing
Modified Thu Apr 1 20:07:39 2010 UTC (9 years, 7 months ago) by braverock
- multi-currency support for portfolio as another 'table' in $posPL

Revision 319 - Directory Listing
Modified Wed Mar 31 20:33:25 2010 UTC (9 years, 7 months ago) by braverock
- add symbol name to chart.POSN
- plot both current (na.locf) Position and changes in Position

Revision 318 - Directory Listing
Modified Wed Mar 31 15:06:49 2010 UTC (9 years, 7 months ago) by jryan
o  utilize new current.chob() call in quantmod (rev 542)
   to allow for one final plot to happen instead of the iterative
   add_TA during chart.Posn calls - jar

Revision 317 - Directory Listing
Modified Tue Mar 30 22:28:19 2010 UTC (9 years, 7 months ago) by peter_carl
- additions will have the same date format as prices

Revision 316 - Directory Listing
Modified Mon Mar 29 03:48:27 2010 UTC (9 years, 7 months ago) by peter_carl
- fixed example

Revision 315 - Directory Listing
Modified Mon Mar 29 02:49:18 2010 UTC (9 years, 7 months ago) by peter_carl
- fixed for new column names in Account

Revision 314 - Directory Listing
Modified Sun Mar 28 19:02:08 2010 UTC (9 years, 7 months ago) by jonathan
code update (with correct/consequent input argument names)

Revision 313 - Directory Listing
Modified Sun Mar 28 18:53:07 2010 UTC (9 years, 7 months ago) by jonathan
cleaning functions help files: first version

Revision 312 - Directory Listing
Modified Sun Mar 28 17:17:55 2010 UTC (9 years, 7 months ago) by braverock
- add capability for reversed exchange rate e.g. EURUSD required, but USDEUR available

Revision 311 - Directory Listing
Modified Sun Mar 28 17:05:22 2010 UTC (9 years, 7 months ago) by braverock
- initial revision of worknig currency support for updatePortf 
  TODO integrate into updateAcct

Revision 310 - Directory Listing
Modified Sun Mar 28 15:40:03 2010 UTC (9 years, 7 months ago) by braverock
- update to use new quantmod charts instead of the old ones

Revision 309 - Directory Listing
Modified Sun Mar 28 15:38:49 2010 UTC (9 years, 7 months ago) by braverock
- update to use new quantmod charts instead of the old ones

Revision 308 - Directory Listing
Modified Sat Mar 27 16:33:43 2010 UTC (9 years, 7 months ago) by peter_carl
- added addDiv for dividends

Revision 307 - Directory Listing
Modified Fri Mar 26 23:38:48 2010 UTC (9 years, 7 months ago) by peter_carl
- added Gross and Net PL to Account structure

Revision 306 - Directory Listing
Modified Fri Mar 26 21:19:51 2010 UTC (9 years, 7 months ago) by peter_carl
- modified to clarify Gross and Net P&L calcs

Revision 305 - Directory Listing
Modified Fri Mar 26 14:28:57 2010 UTC (9 years, 7 months ago) by peter_carl
- applies fixes to Realized.PL in posPL table

Revision 304 - Directory Listing
Modified Fri Mar 26 10:29:05 2010 UTC (9 years, 7 months ago) by jonathan
sample data documentation

Revision 303 - Directory Listing
Modified Thu Mar 25 23:37:46 2010 UTC (9 years, 7 months ago) by jonathan


Revision 302 - Directory Listing
Modified Thu Mar 25 21:54:34 2010 UTC (9 years, 7 months ago) by jonathan
price sample data

Revision 301 - Directory Listing
Modified Thu Mar 25 18:13:21 2010 UTC (9 years, 7 months ago) by peter_carl
- fixed UnrealizedPL calc

Revision 300 - Directory Listing
Modified Wed Mar 24 12:32:00 2010 UTC (9 years, 7 months ago) by jonathan


Revision 299 - Directory Listing
Modified Wed Mar 24 11:19:32 2010 UTC (9 years, 7 months ago) by jonathan
help file test

Revision 298 - Directory Listing
Modified Wed Mar 24 08:16:13 2010 UTC (9 years, 7 months ago) by jonathan
pdf with documentation

Revision 297 - Directory Listing
Modified Thu Mar 18 20:25:40 2010 UTC (9 years, 7 months ago) by jonathan
periodicity functions (Kris)

Revision 296 - Directory Listing
Modified Thu Mar 18 20:24:58 2010 UTC (9 years, 7 months ago) by jonathan
rbpcov correction

Revision 295 - Directory Listing
Modified Wed Mar 17 22:03:21 2010 UTC (9 years, 7 months ago) by braverock
- fix unrealized GL calculation

Revision 294 - Directory Listing
Modified Wed Mar 17 15:22:31 2010 UTC (9 years, 7 months ago) by braverock
- update time stamp calculation for low-frequency strategies

Revision 293 - Directory Listing
Modified Wed Mar 17 12:56:25 2010 UTC (9 years, 7 months ago) by braverock
- move getInstrument to outside Dates loop for efficiency
- fix typo

Revision 292 - Directory Listing
Modified Tue Mar 16 20:10:12 2010 UTC (9 years, 7 months ago) by braverock
- move Price lookup into updatePosPL if not passed

Revision 291 - Directory Listing
Modified Tue Mar 16 19:14:44 2010 UTC (9 years, 7 months ago) by braverock
- allow for passing of Symbol and Prices into functions, and allow for NULL Dates in updatePortf 

Revision 290 - Directory Listing
Modified Tue Mar 16 15:33:51 2010 UTC (9 years, 7 months ago) by braverock
- switch warning to message

Revision 289 - Directory Listing
Modified Tue Mar 16 15:29:48 2010 UTC (9 years, 7 months ago) by braverock
- update descriptions

Revision 288 - Directory Listing
Modified Tue Mar 16 14:38:55 2010 UTC (9 years, 8 months ago) by peter_carl
- added faber demo

Revision 287 - Directory Listing
Modified Tue Mar 16 14:37:31 2010 UTC (9 years, 8 months ago) by peter_carl
- demo of a long term trend system

Revision 286 - Directory Listing
Modified Tue Mar 16 13:58:10 2010 UTC (9 years, 8 months ago) by braverock
- fix date subsetting
- improve Close price location

Revision 285 - Directory Listing
Modified Mon Mar 15 21:04:09 2010 UTC (9 years, 8 months ago) by braverock
- always get(symbol) for mktdata, otherwise the loop isn't working

Revision 284 - Directory Listing
Modified Mon Mar 15 20:52:14 2010 UTC (9 years, 8 months ago) by braverock
- updates to fix issues in low-frequency strategy around timestamp matching

Revision 283 - Directory Listing
Modified Sun Mar 14 17:53:29 2010 UTC (9 years, 8 months ago) by braverock
- get mktdata for each symbol if mktdata not passed in manually

Revision 282 - Directory Listing
Modified Sun Mar 14 17:09:15 2010 UTC (9 years, 8 months ago) by braverock
- move setup strings to top of file

Revision 281 - Directory Listing
Modified Tue Mar 9 23:19:16 2010 UTC (9 years, 8 months ago) by bodanker
- match.names() now matches the end of the column name string, to avoid
  more than one match if other columns contain OHLCV names.
- Updated sigCrossover to handle more than one column.
- Changed column(s) in sigComparison, sigPeak, sigThreshold to colNum(s)
  to avoid clashing with the respective function formals.
- Added a check/error to sigComparison for "Close" in columns formal when
  relationship=='op'.
- Fiddled with (data mined) the BBands example to make it profitable.

Revision 280 - Directory Listing
Modified Mon Mar 8 09:08:34 2010 UTC (9 years, 8 months ago) by jonathan


Revision 279 - Directory Listing
Modified Thu Mar 4 13:37:09 2010 UTC (9 years, 8 months ago) by jonathan
more general data input convert (quotes); rowvar,rowcov correction.

Revision 278 - Directory Listing
Modified Wed Mar 3 19:39:09 2010 UTC (9 years, 8 months ago) by jonathan
More general data input methods: (only for trades, quotes="todo") 

Revision 277 - Directory Listing
Modified Wed Mar 3 15:21:33 2010 UTC (9 years, 8 months ago) by braverock
- search for portfolio or account followed by a dot, to allow those words in user-supplied names
- fix for bug 837, reported by Mark Breman

Revision 276 - Directory Listing
Modified Mon Mar 1 16:07:56 2010 UTC (9 years, 8 months ago) by braverock
- set initEq in demos, props to Mark Breman for the patch

Revision 275 - Directory Listing
Modified Mon Mar 1 13:17:36 2010 UTC (9 years, 8 months ago) by jonathan
more general ROWVar, ROWCov and RBPCov functions

Revision 274 - Directory Listing
Modified Fri Feb 26 18:46:27 2010 UTC (9 years, 8 months ago) by braverock
- add 'op' side to sigComparison
- add 'all' orderqty to ruleSignal
- add 'exit' rule handling only if you have a position

Revision 273 - Directory Listing
Modified Fri Feb 26 17:35:46 2010 UTC (9 years, 8 months ago) by braverock
- store a human-readable status update timestamp

Revision 272 - Directory Listing
Modified Fri Feb 26 17:35:22 2010 UTC (9 years, 8 months ago) by braverock
- update names to 'bbands' for this demo

Revision 271 - Directory Listing
Modified Fri Feb 26 15:08:19 2010 UTC (9 years, 8 months ago) by braverock
- move simplestrat to BBands

Revision 270 - Directory Listing
Modified Fri Feb 26 14:58:00 2010 UTC (9 years, 8 months ago) by braverock
- update roxygen docs and NAMESPACE file

Revision 269 - Directory Listing
Modified Fri Feb 26 14:54:16 2010 UTC (9 years, 8 months ago) by braverock
- update roxygen docs
- updates to pass R CMD check

Revision 268 - Directory Listing
Modified Fri Feb 26 14:17:24 2010 UTC (9 years, 8 months ago) by braverock
- fix updateOrderMatrix fn

Revision 267 - Directory Listing
Modified Fri Feb 26 13:56:01 2010 UTC (9 years, 8 months ago) by braverock
- wrap BBands in plot so it will graph from inside function scope like 'source' or 'demo'

Revision 266 - Directory Listing
Modified Fri Feb 26 13:52:39 2010 UTC (9 years, 8 months ago) by braverock
- changes so addTxn works properly

Revision 265 - Directory Listing
Modified Thu Feb 25 22:51:04 2010 UTC (9 years, 8 months ago) by braverock
- more fixes towards generating txns from orders

Revision 264 - Directory Listing
Modified Thu Feb 25 21:55:59 2010 UTC (9 years, 8 months ago) by braverock
- support cancel/replace of open orders

Revision 263 - Directory Listing
Modified Thu Feb 25 15:47:24 2010 UTC (9 years, 8 months ago) by braverock
- add code showing how to examine order book
- add copyright and license

Revision 262 - Directory Listing
Modified Thu Feb 25 14:58:04 2010 UTC (9 years, 8 months ago) by braverock
- improve ordertime to be less sensitive to frequency and time zone

Revision 261 - Directory Listing
Modified Thu Feb 25 14:44:35 2010 UTC (9 years, 8 months ago) by braverock
- orders entered correctly

Revision 260 - Directory Listing
Modified Wed Feb 24 23:01:02 2010 UTC (9 years, 8 months ago) by braverock
- multiple small fixes to make applyStrategy() run without error

Revision 259 - Directory Listing
Modified Wed Feb 24 21:15:45 2010 UTC (9 years, 8 months ago) by braverock
- always pass mktdata into ruleProc fn

Revision 258 - Directory Listing
Modified Wed Feb 24 20:40:24 2010 UTC (9 years, 8 months ago) by braverock
- multiple small fixes to make applyStrategy() run without error

Revision 257 - Directory Listing
Modified Wed Feb 24 15:22:11 2010 UTC (9 years, 8 months ago) by braverock
- reverse argument order to match order of 'grep'

Revision 256 - Directory Listing
Modified Wed Feb 24 15:17:54 2010 UTC (9 years, 8 months ago) by braverock
- use collapse to get rid of vectorization in paste()

Revision 255 - Directory Listing
Modified Tue Feb 23 22:43:43 2010 UTC (9 years, 8 months ago) by braverock
- now add order rules

Revision 254 - Directory Listing
Modified Tue Feb 23 22:43:29 2010 UTC (9 years, 8 months ago) by braverock
- fix add.rule code to put things in the strategy container properly

Revision 253 - Directory Listing
Modified Tue Feb 23 22:42:47 2010 UTC (9 years, 8 months ago) by braverock
- fix initialization of order book

Revision 252 - Directory Listing
Modified Tue Feb 23 22:19:16 2010 UTC (9 years, 8 months ago) by braverock
- cleanup to use utility functions and set defaults

Revision 251 - Directory Listing
Modified Tue Feb 23 20:23:09 2010 UTC (9 years, 8 months ago) by braverock
- add orderside detection if NULL 

Revision 250 - Directory Listing
Modified Tue Feb 23 15:20:48 2010 UTC (9 years, 8 months ago) by braverock
- add pricemethod and order sizing implementation code to ruleSignal

Revision 249 - Directory Listing
Modified Tue Feb 23 12:34:08 2010 UTC (9 years, 8 months ago) by braverock
- re-export functions not exported by @alias, props to Josh Ulrich for spotting

Revision 248 - Directory Listing
Modified Wed Feb 17 19:07:31 2010 UTC (9 years, 8 months ago) by braverock
- add minimal documentation for package

Revision 247 - Directory Listing
Modified Tue Feb 16 22:23:10 2010 UTC (9 years, 8 months ago) by braverock
- add trade rules and position sizing functions + docs for same

Revision 246 - Directory Listing
Modified Mon Feb 15 18:38:28 2010 UTC (9 years, 8 months ago) by jonathan
addition: treshold covariance estimator (mancini & gobbi)

Revision 245 - Directory Listing
Modified Mon Feb 15 10:45:40 2010 UTC (9 years, 8 months ago) by jonathan
TAQload: improved version

Revision 244 - Directory Listing
Modified Fri Feb 12 15:49:35 2010 UTC (9 years, 9 months ago) by jonathan
taqload, rowcov update

Revision 243 - Directory Listing
Modified Thu Feb 11 13:18:24 2010 UTC (9 years, 9 months ago) by jonathan
correction RBPCov

Revision 242 - Directory Listing
Modified Wed Feb 10 22:13:59 2010 UTC (9 years, 9 months ago) by braverock
- multiple updates and new functions to integrate order and rule processing
- update docs and NAMESPACE

Revision 241 - Directory Listing
Modified Wed Feb 10 02:33:13 2010 UTC (9 years, 9 months ago) by peter_carl
- fixed exports

Revision 240 - Directory Listing
Modified Tue Feb 9 17:17:18 2010 UTC (9 years, 9 months ago) by braverock
- change updateOrder to updateOrders
- change getOrdersByStatus to getOrders
- add replace option to addOrder
- change .Rd file names

Revision 239 - Directory Listing
Modified Tue Feb 9 13:08:22 2010 UTC (9 years, 9 months ago) by braverock
- update for cases where there are potentially no buys or Sells
- add simple date scoping where Dates is an xts range

Revision 238 - Directory Listing
Modified Mon Feb 8 18:49:06 2010 UTC (9 years, 9 months ago) by braverock
- implement updateOrder fn
- minor revisions of other order documentation

Revision 237 - Directory Listing
Modified Mon Feb 8 14:55:19 2010 UTC (9 years, 9 months ago) by braverock
- implement getOrdersByStatus fn

Revision 236 - Directory Listing
Modified Mon Feb 8 13:26:31 2010 UTC (9 years, 9 months ago) by braverock
- updated 'Collate' line

Revision 235 - Directory Listing
Modified Mon Feb 8 12:45:14 2010 UTC (9 years, 9 months ago) by braverock
- implement addOrder fn

Revision 234 - Directory Listing
Modified Sun Feb 7 20:10:35 2010 UTC (9 years, 9 months ago) by braverock
- initial revision of orders subsystem, incomplete

Revision 233 - Directory Listing
Modified Sun Feb 7 16:11:08 2010 UTC (9 years, 9 months ago) by braverock
- update applyRules function to handle Date subsetting and ordered execution of rule functions

Revision 232 - Directory Listing
Modified Sat Feb 6 14:13:22 2010 UTC (9 years, 9 months ago) by braverock
- applyRules template function
- more documentation
- minor bugfixes

Revision 231 - Directory Listing
Modified Sat Feb 6 12:11:21 2010 UTC (9 years, 9 months ago) by braverock
- add.rule documentation
- multiple documentation updates
- updates to pass R CMD check
- bump version to 0.0.2

Revision 230 - Directory Listing
Modified Sat Feb 6 11:04:13 2010 UTC (9 years, 9 months ago) by braverock
- add rule types to the strategy container

Revision 229 - Directory Listing
Modified Sat Feb 6 00:09:17 2010 UTC (9 years, 9 months ago) by braverock
- initial commit of add.rules

Revision 228 - Directory Listing
Modified Fri Feb 5 16:58:29 2010 UTC (9 years, 9 months ago) by braverock
- implement sigCrossover
- add documentation

Revision 227 - Directory Listing
Modified Thu Feb 4 17:14:17 2010 UTC (9 years, 9 months ago) by braverock
add enabled check to signals/indicators processing

Revision 226 - Directory Listing
Modified Thu Feb 4 16:29:07 2010 UTC (9 years, 9 months ago) by braverock
- clean up function name matching
- update demo script

Revision 225 - Directory Listing
Modified Thu Feb 4 15:20:53 2010 UTC (9 years, 9 months ago) by braverock
- applying patch modified from Josh Ulrich to handle dots correctly for functions that can't accept them.

Revision 224 - Directory Listing
Modified Wed Feb 3 21:32:54 2010 UTC (9 years, 9 months ago) by braverock
- add code to add signals
- add arbitrary text labels to signals and indicators
- add to demo code

Revision 223 - Directory Listing
Modified Tue Feb 2 12:47:13 2010 UTC (9 years, 9 months ago) by braverock
- file doesn't need to be in svn

Revision 222 - Directory Listing
Modified Tue Feb 2 03:25:09 2010 UTC (9 years, 9 months ago) by peter_carl
- first draft of strategy framework

Revision 221 - Directory Listing
Modified Mon Feb 1 13:10:00 2010 UTC (9 years, 9 months ago) by peter_carl
- cleaned up graphs

Revision 220 - Directory Listing
Modified Sat Jan 30 13:30:29 2010 UTC (9 years, 9 months ago) by braverock
- make turtles demo work with new code (environments)
- update variable names for fewer side effects

Revision 219 - Directory Listing
Modified Fri Jan 29 21:12:16 2010 UTC (9 years, 9 months ago) by braverock
- add cumulative P&L

Revision 218 - Directory Listing
Modified Fri Jan 29 18:11:21 2010 UTC (9 years, 9 months ago) by braverock
- updates to functionality of chart.Spread

Revision 217 - Directory Listing
Modified Fri Jan 29 18:10:53 2010 UTC (9 years, 9 months ago) by braverock
- add more robust error handling and environment lookup

Revision 216 - Directory Listing
Modified Fri Jan 29 04:11:44 2010 UTC (9 years, 9 months ago) by peter_carl
- moved cleanup to the beginning

Revision 215 - Directory Listing
Modified Thu Jan 28 22:29:43 2010 UTC (9 years, 9 months ago) by braverock
- additions to improve NA handling in irregular series

Revision 214 - Directory Listing
Modified Thu Jan 28 22:19:27 2010 UTC (9 years, 9 months ago) by braverock
- further additions to handling date subsets and ranges, mostly related to updateAcct and functions called by it.

Revision 213 - Directory Listing
Modified Thu Jan 28 16:03:54 2010 UTC (9 years, 9 months ago) by braverock
- remove extraneous instrument check

Revision 212 - Directory Listing
Modified Thu Jan 28 15:11:34 2010 UTC (9 years, 9 months ago) by braverock
- add gettAcct comment

Revision 211 - Directory Listing
Modified Thu Jan 28 13:59:01 2010 UTC (9 years, 9 months ago) by braverock
- add getAccount function
- add class to account object to facilitate testing
- export getAccount

Revision 210 - Directory Listing
Modified Thu Jan 28 13:42:31 2010 UTC (9 years, 9 months ago) by braverock
- update demos

Revision 209 - Directory Listing
Modified Wed Jan 27 21:50:29 2010 UTC (9 years, 9 months ago) by braverock
- multiple updates to error checking and making demo work, including updates to accounts for intraday trades/updates 

Revision 208 - Directory Listing
Modified Wed Jan 27 20:19:23 2010 UTC (9 years, 9 months ago) by braverock
- add more error handling

Revision 207 - Directory Listing
Modified Wed Jan 27 20:18:14 2010 UTC (9 years, 9 months ago) by braverock
- add more error handling

Revision 206 - Directory Listing
Modified Wed Jan 27 14:57:10 2010 UTC (9 years, 9 months ago) by braverock
- addinstrument definitions to get rid of warnings in demo

Revision 205 - Directory Listing
Modified Wed Jan 27 14:24:52 2010 UTC (9 years, 9 months ago) by braverock
- fix multiple confusions in passing by value or by reference

Revision 204 - Directory Listing
Modified Tue Jan 26 21:04:02 2010 UTC (9 years, 9 months ago) by braverock
- add functions getPortfolio and getPortfAcct

Revision 203 - Directory Listing
Modified Tue Jan 26 17:30:20 2010 UTC (9 years, 9 months ago) by braverock
- remove special handling for synthetics, include addPortfInstr

Revision 202 - Directory Listing
Modified Mon Jan 25 21:51:02 2010 UTC (9 years, 9 months ago) by braverock
- remove currency check at end, no longer necessary

Revision 201 - Directory Listing
Modified Mon Jan 25 21:45:41 2010 UTC (9 years, 9 months ago) by braverock
- working version of synthetic ratio-based spreads

Revision 200 - Directory Listing
Modified Mon Jan 25 16:12:32 2010 UTC (9 years, 9 months ago) by braverock
Rename to buildSpread.R in pkgn FinancialInstrument

Revision 199 - Directory Listing
Modified Mon Jan 25 16:09:12 2010 UTC (9 years, 9 months ago) by braverock
- commit in advance of move

Revision 198 - Directory Listing
Modified Mon Jan 25 13:33:47 2010 UTC (9 years, 9 months ago) by braverock
- further debugging in handling synthetics such as spreads

Revision 197 - Directory Listing
Modified Sun Jan 24 16:11:07 2010 UTC (9 years, 9 months ago) by braverock
- fix syntax error

Revision 196 - Directory Listing
Modified Sun Jan 24 15:48:55 2010 UTC (9 years, 9 months ago) by peter_carl
- fixed calculations to show contract multiplier
- added contract multiplier

Revision 195 - Directory Listing
Modified Sat Jan 23 18:18:34 2010 UTC (9 years, 9 months ago) by braverock
- more support for synthetic instruments

Revision 194 - Directory Listing
Modified Thu Jan 21 13:33:41 2010 UTC (9 years, 9 months ago) by braverock
- updates to documentation to bring in line with recent code changes, 
  especially passing identifiers as strings for lookup in the environment 

Revision 193 - Directory Listing
Modified Thu Jan 21 00:57:00 2010 UTC (9 years, 9 months ago) by bodanker
- corrected stock_tmp to stock_temp in stock()

Revision 192 - Directory Listing
Modified Wed Jan 20 12:22:46 2010 UTC (9 years, 9 months ago) by braverock
- add exchange rate conversions to buildSpread
- export buildSpread

Revision 191 - Directory Listing
Modified Tue Jan 19 22:51:27 2010 UTC (9 years, 9 months ago) by braverock
- add functionality to calculate spread ratio for two-instrument spread

Revision 190 - Directory Listing
Modified Tue Jan 19 21:30:55 2010 UTC (9 years, 9 months ago) by braverock
- add check for spread instrument type

Revision 189 - Directory Listing
Modified Tue Jan 19 21:30:22 2010 UTC (9 years, 9 months ago) by braverock
- add check for spread instrument type

Revision 188 - Directory Listing
Modified Tue Jan 19 21:29:53 2010 UTC (9 years, 9 months ago) by braverock
- add check for spread instrument type

Revision 187 - Directory Listing
Modified Tue Jan 19 21:26:51 2010 UTC (9 years, 9 months ago) by braverock
- add lookups to functions missing them
- update auto keywords

Revision 186 - Directory Listing
Modified Tue Jan 19 21:26:31 2010 UTC (9 years, 9 months ago) by braverock
- initial revision

Revision 185 - Directory Listing
Modified Tue Jan 19 18:55:03 2010 UTC (9 years, 9 months ago) by jonathan
MinRV, MedRV correction

Revision 184 - Directory Listing
Modified Tue Jan 19 14:58:00 2010 UTC (9 years, 9 months ago) by braverock
- add comments

Revision 183 - Directory Listing
Modified Tue Jan 19 14:55:43 2010 UTC (9 years, 9 months ago) by braverock
- add synthetic instrument template constructors

Revision 182 - Directory Listing
Modified Tue Jan 19 14:04:10 2010 UTC (9 years, 9 months ago) by braverock
- add blank line at end to get rid of Warning on install

Revision 181 - Directory Listing
Modified Mon Jan 18 19:03:34 2010 UTC (9 years, 9 months ago) by braverock
- strip first dummy Buy/Sell

Revision 180 - Directory Listing
Modified Mon Jan 18 18:29:49 2010 UTC (9 years, 9 months ago) by braverock
- more error handling at the edges of aligning Trades and Price bars

Revision 179 - Directory Listing
Modified Mon Jan 18 18:13:40 2010 UTC (9 years, 9 months ago) by braverock
- put get back into is.currency fn

Revision 178 - Directory Listing
Modified Mon Jan 18 16:27:04 2010 UTC (9 years, 9 months ago) by braverock
- update demo so that it cleans up and can be run multiple times

Revision 177 - Directory Listing
Modified Mon Jan 18 16:20:58 2010 UTC (9 years, 9 months ago) by braverock
- fix rounding, add equality test if data is already aligned

Revision 176 - Directory Listing
Modified Mon Jan 18 15:47:56 2010 UTC (9 years, 9 months ago) by jonathan
rtaq upload

Revision 175 - Directory Listing
Modified Mon Jan 18 13:59:20 2010 UTC (9 years, 9 months ago) by braverock
- add amzn example

Revision 174 - Directory Listing
Modified Mon Jan 18 13:14:46 2010 UTC (9 years, 9 months ago) by braverock
- add amzn example data

Revision 173 - Directory Listing
Modified Sun Jan 17 14:41:23 2010 UTC (9 years, 9 months ago) by braverock
- make updatePosPL robust to lack of price data, iterating until it has data without fatal error

Revision 172 - Directory Listing
Modified Sat Jan 16 10:04:19 2010 UTC (9 years, 9 months ago) by braverock
- clean up the environment after running longtrend so that it may be run again

Revision 171 - Directory Listing
Modified Sat Jan 16 09:52:30 2010 UTC (9 years, 9 months ago) by braverock
- make warning check on ConMult more robust

Revision 170 - Directory Listing
Modified Sat Jan 16 09:46:12 2010 UTC (9 years, 9 months ago) by braverock
- remove get from is. functions

Revision 169 - Directory Listing
Modified Sat Jan 16 09:34:17 2010 UTC (9 years, 9 months ago) by braverock
- change package name

Revision 168 - Directory Listing
Modified Sat Jan 16 09:04:27 2010 UTC (9 years, 9 months ago) by braverock
- change package name to FinancialInstrument in DESCRIPTION

Revision 167 - Directory Listing
Modified Fri Jan 15 21:57:31 2010 UTC (9 years, 9 months ago) by peter_carl
- fixed query to PrevPosQty

Revision 166 - Directory Listing
Modified Fri Jan 15 21:46:12 2010 UTC (9 years, 9 months ago) by peter_carl
- fixed ConMult math

Revision 165 - Directory Listing
Modified Fri Jan 15 21:39:05 2010 UTC (9 years, 9 months ago) by braverock
- fix Realized.PL in addTxns

Revision 164 - Directory Listing
Modified Fri Jan 15 21:32:35 2010 UTC (9 years, 9 months ago) by peter_carl
- added default to ConMult, fixed bug in parameters

Revision 163 - Directory Listing
Modified Fri Jan 15 21:25:41 2010 UTC (9 years, 9 months ago) by peter_carl
- added ConMult to calculations for correct scaling

Revision 162 - Directory Listing
Modified Fri Jan 15 20:26:45 2010 UTC (9 years, 9 months ago) by peter_carl
- modified to handle irregular price timeseries

Revision 161 - Directory Listing
Modified Fri Jan 15 20:23:51 2010 UTC (9 years, 9 months ago) by braverock
- fix Realized.PL in addTxns

Revision 160 - Directory Listing
Modified Fri Jan 15 03:50:54 2010 UTC (9 years, 9 months ago) by peter_carl
- test prices for periodicity, then truncates dates for xts subsetting

Revision 159 - Directory Listing
Modified Fri Jan 15 02:28:47 2010 UTC (9 years, 9 months ago) by peter_carl
- added depends

Revision 158 - Directory Listing
Modified Fri Jan 15 02:22:02 2010 UTC (9 years, 9 months ago) by edd
fix tiny typo

Revision 157 - Directory Listing
Modified Thu Jan 14 22:48:25 2010 UTC (9 years, 9 months ago) by braverock
- more fixes to alignment

Revision 156 - Directory Listing
Modified Thu Jan 14 21:44:25 2010 UTC (9 years, 9 months ago) by peter_carl
- fixed a typo in a variable name

Revision 155 - Directory Listing
Modified Thu Jan 14 18:56:32 2010 UTC (9 years, 10 months ago) by braverock
- fix average cost calcs with contract multiplier

Revision 154 - Directory Listing
Modified Thu Jan 14 18:18:15 2010 UTC (9 years, 10 months ago) by braverock
- only create environment if it doesn't exist

Revision 153 - Directory Listing
Modified Thu Jan 14 18:14:42 2010 UTC (9 years, 10 months ago) by braverock
- add logic to use contract multiplier

Revision 152 - Directory Listing
Modified Thu Jan 14 16:25:35 2010 UTC (9 years, 10 months ago) by braverock
- revised the way envir is called in assign, per Jeff, to fix clobering objects in the .GolbalEnv

Revision 151 - Directory Listing
Modified Thu Jan 14 13:55:32 2010 UTC (9 years, 10 months ago) by braverock
- add TODO

Revision 150 - Directory Listing
Modified Thu Jan 14 13:55:19 2010 UTC (9 years, 10 months ago) by braverock
-add contract multiplier

Revision 149 - Directory Listing
Modified Thu Jan 14 13:54:19 2010 UTC (9 years, 10 months ago) by braverock
- add contract multiplier

Revision 148 - Directory Listing
Modified Thu Jan 14 13:51:38 2010 UTC (9 years, 10 months ago) by braverock
- update instrument model

Revision 147 - Directory Listing
Modified Wed Jan 13 22:37:01 2010 UTC (9 years, 10 months ago) by braverock
- add align.time to Prices and Trades to try to line things up so that irregular trades print on the bars
  alignment still seems off, need to work on fixing

Revision 146 - Directory Listing
Modified Tue Jan 12 20:01:01 2010 UTC (9 years, 10 months ago) by braverock
- add logic to only chart CumPL if summary portfolio stats have been calculated

Revision 145 - Directory Listing
Modified Tue Jan 12 19:47:21 2010 UTC (9 years, 10 months ago) by braverock
-update chart.Posn to better handle irregular/intraday time series and match them top periodicity of price data

Revision 144 - Directory Listing
Modified Tue Jan 12 18:13:25 2010 UTC (9 years, 10 months ago) by jryan
o  removed another Dates[grep and replaced with which.i=TRUE

Revision 143 - Directory Listing
Modified Tue Jan 12 17:22:27 2010 UTC (9 years, 10 months ago) by braverock
- add assignment operator (back) to rbind in addTxn() fn

Revision 142 - Directory Listing
Modified Tue Jan 12 16:49:53 2010 UTC (9 years, 10 months ago) by jryan
o  added requirement for xts 0.7-0

Revision 141 - Directory Listing
Modified Tue Jan 12 16:48:54 2010 UTC (9 years, 10 months ago) by jryan
o  removed reliance on grep, replaced with [.xts which.i=TRUE

Revision 140 - Directory Listing
Modified Tue Jan 12 16:35:01 2010 UTC (9 years, 10 months ago) by braverock
- add Ccy.Mult

Revision 139 - Directory Listing
Modified Tue Jan 12 16:05:41 2010 UTC (9 years, 10 months ago) by braverock
- fix cumulation of position/cost in adding multiple txns

Revision 138 - Directory Listing
Modified Tue Jan 12 14:53:23 2010 UTC (9 years, 10 months ago) by braverock
- fix needed as.numeric so that c.xts isn't called when c() will do

Revision 137 - Directory Listing
Modified Tue Jan 12 14:19:20 2010 UTC (9 years, 10 months ago) by braverock
- initial support for adding multiple transactions at once fn addTxns

Revision 136 - Directory Listing
Modified Tue Jan 12 04:11:11 2010 UTC (9 years, 10 months ago) by peter_carl
- edited to use ConMult in calculation functions

Revision 135 - Directory Listing
Modified Tue Jan 12 03:27:55 2010 UTC (9 years, 10 months ago) by peter_carl
- added contract multiplier with a default of 1

Revision 134 - Directory Listing
Modified Mon Jan 11 22:32:02 2010 UTC (9 years, 10 months ago) by braverock
- add longtrend to the list of demos

Revision 133 - Directory Listing
Modified Mon Jan 11 21:41:18 2010 UTC (9 years, 10 months ago) by braverock
- multiple changes to move primary storage to environment .blotter
- add NAMESPACE
- add some roxygen comments to facilitate creation of NAMESPACE file, *do not* run R CMD roxygen with -d option

Revision 132 - Directory Listing
Modified Mon Jan 11 15:56:17 2010 UTC (9 years, 10 months ago) by braverock
- update version

Revision 130 - Directory Listing
Modified Sat Jan 2 12:29:13 2010 UTC (9 years, 10 months ago) by braverock
- update copyright to 2010

Revision 129 - Directory Listing
Modified Wed Dec 23 19:01:46 2009 UTC (9 years, 10 months ago) by braverock
- remove yahoo data sourced example

Revision 128 - Directory Listing
Modified Mon Dec 14 18:34:28 2009 UTC (9 years, 11 months ago) by braverock
- move demo dir

Revision 127 - Directory Listing
Modified Mon Dec 14 18:25:39 2009 UTC (9 years, 11 months ago) by braverock
- move demo dir

Revision 126 - Directory Listing
Modified Mon Dec 14 18:24:54 2009 UTC (9 years, 11 months ago) by braverock
- rename 'instrument' package to 'FinancialInstrument'

Revision 125 - Directory Listing
Modified Mon Dec 14 16:24:36 2009 UTC (9 years, 11 months ago) by braverock
- Initial Revision of demo to set up financial instruments

Revision 124 - Directory Listing
Modified Tue Nov 24 04:53:05 2009 UTC (9 years, 11 months ago) by peter_carl
- patches submitted by Daniel Cegielka

Revision 123 - Directory Listing
Modified Tue Nov 24 03:46:44 2009 UTC (9 years, 11 months ago) by peter_carl
- added library calls and removed untested functions

Revision 122 - Directory Listing
Modified Tue Nov 24 03:46:05 2009 UTC (9 years, 11 months ago) by peter_carl
- fixed test lines for updatePortf

Revision 121 - Directory Listing
Modified Mon Nov 23 18:35:57 2009 UTC (9 years, 11 months ago) by braverock
- add doc directory

Revision 120 - Directory Listing
Modified Fri Nov 13 23:57:58 2009 UTC (10 years ago) by peter_carl
- fixed paste

Revision 119 - Directory Listing
Modified Fri Nov 13 23:53:33 2009 UTC (10 years ago) by jryan
o   changed grep to match in initPortf to account for multiple hits

Revision 118 - Directory Listing
Modified Fri Nov 13 23:39:31 2009 UTC (10 years ago) by edd
added NAMESPACE (with evil global match reg.exp) 
added an .onLoad() function to create the .instrument() environment

Revision 117 - Directory Listing
Modified Fri Nov 13 23:16:04 2009 UTC (10 years ago) by peter_carl
- add title so package is installable

Revision 116 - Directory Listing
Modified Fri Nov 13 23:08:32 2009 UTC (10 years ago) by jryan
o   empty man fixed to install

Revision 115 - Directory Listing
Modified Fri Nov 13 13:26:36 2009 UTC (10 years ago) by braverock
- update environment handling

Revision 114 - Directory Listing
Modified Fri Nov 13 13:11:07 2009 UTC (10 years ago) by braverock
- set properties

Revision 113 - Directory Listing
Modified Fri Nov 13 13:01:14 2009 UTC (10 years ago) by braverock
- change environment name to .instrument, to match convention
- add futures and options series
- move type to after dots in instrument() call

Revision 112 - Directory Listing
Modified Thu Nov 12 22:14:57 2009 UTC (10 years ago) by jryan
o   initial instrument.R commit

Revision 111 - Directory Listing
Modified Thu Nov 12 21:45:04 2009 UTC (10 years ago) by braverock
- initial revision of DESCRIPTION file

Revision 110 - Directory Listing
Modified Thu Nov 12 21:37:45 2009 UTC (10 years ago) by braverock
- create man dir for instrument

Revision 109 - Directory Listing
Modified Thu Nov 12 21:37:30 2009 UTC (10 years ago) by braverock
- create R dir for instrument

Revision 108 - Directory Listing
Modified Thu Nov 12 21:36:49 2009 UTC (10 years ago) by braverock
- create instrument directory

Revision 107 - Directory Listing
Modified Thu Nov 12 21:36:18 2009 UTC (10 years ago) by braverock
- move to blotter/ directory

Revision 106 - Directory Listing
Modified Thu Nov 12 21:35:48 2009 UTC (10 years ago) by braverock
- move to blotter/ directory

Revision 105 - Directory Listing
Modified Thu Nov 12 21:35:17 2009 UTC (10 years ago) by braverock
- move to blotter/ directory

Revision 104 - Directory Listing
Modified Thu Nov 12 21:34:52 2009 UTC (10 years ago) by braverock
- move to blotter/ directory

Revision 103 - Directory Listing
Modified Thu Nov 12 21:34:22 2009 UTC (10 years ago) by braverock
- move to blotter/ directory

Revision 102 - Directory Listing
Modified Thu Nov 12 21:33:45 2009 UTC (10 years ago) by braverock
- move to blotter/ directory

Revision 101 - Directory Listing
Modified Thu Nov 12 21:33:14 2009 UTC (10 years ago) by braverock
- move to blotter/ directory

Revision 100 - Directory Listing
Modified Thu Nov 12 21:31:36 2009 UTC (10 years ago) by braverock
- create directory for blotter package to separate from other things

Revision 99 - Directory Listing
Modified Mon Oct 12 17:11:23 2009 UTC (10 years, 1 month ago) by jryan
- fixed index.class of getSymbols to match POSIXct portfolio object

Revision 98 - Directory Listing
Modified Mon Oct 12 16:48:39 2009 UTC (10 years, 1 month ago) by jryan
- fixed download symbols to have POSIXct indexing, like the
  portfolio object

Revision 97 - Directory Listing
Modified Tue Aug 11 15:49:52 2009 UTC (10 years, 3 months ago) by peter_carl
- draft of chart function for position information

Revision 96 - Directory Listing
Modified Tue Aug 11 15:44:49 2009 UTC (10 years, 3 months ago) by peter_carl
- renamed file

Revision 95 - Directory Listing
Modified Thu Aug 6 03:05:44 2009 UTC (10 years, 3 months ago) by peter_carl
- first draft of simple long-term trend following model

Revision 94 - Directory Listing
Modified Sat Jul 18 13:51:08 2009 UTC (10 years, 3 months ago) by peter_carl
- shorter run time

Revision 93 - Directory Listing
Modified Sat Jul 18 13:49:15 2009 UTC (10 years, 3 months ago) by peter_carl
- fixes selection of prior date to support single day update

Revision 92 - Directory Listing
Modified Fri Jul 17 03:51:17 2009 UTC (10 years, 3 months ago) by peter_carl
- fixed getSymbols, which was commented out

Revision 91 - Directory Listing
Modified Wed Jul 15 02:56:39 2009 UTC (10 years, 4 months ago) by peter_carl
- fixed documentation to match the code about TxnFees

Revision 90 - Directory Listing
Modified Wed Jul 15 02:55:58 2009 UTC (10 years, 4 months ago) by peter_carl
- fixed the example to use negative fees

Revision 89 - Directory Listing
Modified Wed Jul 15 02:55:09 2009 UTC (10 years, 4 months ago) by peter_carl
- fixed comments about TxnFees
- made transaction function pennyPerShare negative

Revision 88 - Directory Listing
Modified Tue Jun 9 20:07:44 2009 UTC (10 years, 5 months ago) by jryan
changed getSymbols call to set index.class to POSIXct to comply with new quantmod
package changes. 0.3-10.  (currently commented out)

Revision 87 - Directory Listing
Modified Mon May 11 00:42:10 2009 UTC (10 years, 6 months ago) by peter_carl
- changed the interface for updatePortf, thanks Josh Ulrich

Revision 86 - Directory Listing
Modified Wed Apr 15 03:40:47 2009 UTC (10 years, 7 months ago) by peter_carl
- updated example to reflect changes to updatePortf and updatePosPL

Revision 85 - Directory Listing
Modified Wed Apr 15 03:40:08 2009 UTC (10 years, 7 months ago) by peter_carl
- reflects change to Dates parameter

Revision 84 - Directory Listing
Modified Wed Apr 15 03:38:26 2009 UTC (10 years, 7 months ago) by peter_carl
- all functions now have the same Dates parameter that takes xts subsets

Revision 83 - Directory Listing
Modified Sat Mar 21 03:28:30 2009 UTC (10 years, 7 months ago) by peter_carl
- added tests for calculated values and transactions

Revision 82 - Directory Listing
Modified Sat Mar 14 17:08:04 2009 UTC (10 years, 8 months ago) by edd
add missing \itemize{} spotted by R CMD check from R 2.9.0 pre-releases and its new Rd parser

Revision 81 - Directory Listing
Modified Sat Mar 14 16:52:42 2009 UTC (10 years, 8 months ago) by edd
document optional argument symbols (spotted by R CMD check)

Revision 80 - Directory Listing
Modified Sat Mar 14 16:48:34 2009 UTC (10 years, 8 months ago) by edd
align function argument order in Rd file to that in R file (spotted by R CMD check)

Revision 79 - Directory Listing
Modified Sat Mar 14 16:46:32 2009 UTC (10 years, 8 months ago) by edd
changed pennyPerShare function argument names to be more consistent with addTxn

Revision 78 - Directory Listing
Modified Sat Mar 14 16:42:59 2009 UTC (10 years, 8 months ago) by edd
also set options("width") to force consistent print() output

Revision 77 - Directory Listing
Modified Sat Mar 14 16:42:21 2009 UTC (10 years, 8 months ago) by edd
added missing documentation for pennyPerShare helper function

Revision 76 - Directory Listing
Modified Sat Mar 14 16:41:38 2009 UTC (10 years, 8 months ago) by edd
added missing help file for IBM dataset

Revision 75 - Directory Listing
Modified Sat Mar 14 16:24:53 2009 UTC (10 years, 8 months ago) by edd
set 'Date' property on DESCRIPTION file
reference $Date$ in Date: key/value, this will now get updated with each commit

Revision 74 - Directory Listing
Modified Thu Mar 12 19:23:07 2009 UTC (10 years, 8 months ago) by peter_carl
- set time zone to "America/Chicago" to match sample close data.

Revision 73 - Directory Listing
Modified Thu Mar 12 12:19:03 2009 UTC (10 years, 8 months ago) by edd
test portfolios, not account, for equality as the accounts reflect the different portfolio _variable_ names

Revision 72 - Directory Listing
Modified Thu Mar 12 02:46:03 2009 UTC (10 years, 8 months ago) by edd
add regression tests comparison output for R CMD check

Revision 71 - Directory Listing
Modified Thu Mar 12 02:45:21 2009 UTC (10 years, 8 months ago) by edd
use all.equal() and not identical()

Revision 70 - Directory Listing
Modified Thu Mar 12 02:39:13 2009 UTC (10 years, 8 months ago) by edd
move inst/data/ to data/ where it belongs

Revision 69 - Directory Listing
Modified Thu Mar 12 02:25:37 2009 UTC (10 years, 8 months ago) by edd
added short note on TxnFee function

Revision 68 - Directory Listing
Modified Thu Mar 12 02:23:48 2009 UTC (10 years, 8 months ago) by edd
simple test of transaction cost function versus flat cost

Revision 67 - Directory Listing
Modified Thu Mar 12 02:22:49 2009 UTC (10 years, 8 months ago) by edd
add one-month daily IBM data so that we can test off-line if need be

Revision 66 - Directory Listing
Modified Thu Mar 12 02:21:49 2009 UTC (10 years, 8 months ago) by edd
add option to supply a function of Qty and Prc to set transaction costs

Revision 65 - Directory Listing
Modified Wed Mar 11 14:22:19 2009 UTC (10 years, 8 months ago) by peter_carl
- removed abs() from aggregation calcs where incorrect

Revision 64 - Directory Listing
Modified Fri Mar 6 16:44:48 2009 UTC (10 years, 8 months ago) by peter_carl
- changed final chart theme to make trades easier to see

Revision 63 - Directory Listing
Modified Fri Mar 6 16:06:01 2009 UTC (10 years, 8 months ago) by peter_carl
- removed as.Date in favor of as.POSIXct
- fixed calculations at the end for graphics

Revision 62 - Directory Listing
Modified Fri Mar 6 05:52:22 2009 UTC (10 years, 8 months ago) by jryan
changed final as.Date for 'TOTAL' Account to as.POSIXct

Revision 61 - Directory Listing
Modified Thu Mar 5 05:47:41 2009 UTC (10 years, 8 months ago) by peter_carl
- fixed typos
- reduced graphed time series

Revision 60 - Directory Listing
Modified Thu Mar 5 05:39:23 2009 UTC (10 years, 8 months ago) by peter_carl
- removed PA call for now

Revision 59 - Directory Listing
Modified Thu Mar 5 05:32:39 2009 UTC (10 years, 8 months ago) by peter_carl
-- added quantmod graphic with trades

Revision 58 - Directory Listing
Modified Tue Mar 3 02:59:04 2009 UTC (10 years, 8 months ago) by peter_carl
- changed as.Date to as.POSIXct to support finer timescale trading

Revision 57 - Directory Listing
Modified Tue Mar 3 02:57:04 2009 UTC (10 years, 8 months ago) by peter_carl
- fixed result transformation into xts object

Revision 56 - Directory Listing
Modified Fri Jan 23 04:44:07 2009 UTC (10 years, 9 months ago) by peter_carl
- fixed order.by to Date

Revision 55 - Directory Listing
Modified Thu Jan 22 12:53:08 2009 UTC (10 years, 9 months ago) by peter_carl
- added Symbols attribute

Revision 54 - Directory Listing
Modified Thu Jan 22 12:52:02 2009 UTC (10 years, 9 months ago) by peter_carl
- initial commit of documentation

Revision 53 - Directory Listing
Modified Wed Jan 21 15:13:00 2009 UTC (10 years, 9 months ago) by peter_carl
- initial commit of code

Revision 52 - Directory Listing
Modified Wed Jan 21 15:11:09 2009 UTC (10 years, 9 months ago) by peter_carl
- clarified calls to getBySymbol to include Symbol scoping

Revision 51 - Directory Listing
Modified Wed Jan 21 15:10:18 2009 UTC (10 years, 9 months ago) by peter_carl
- added Symbol attribute for scoping by instrument

Revision 50 - Directory Listing
Modified Tue Jan 13 04:59:15 2009 UTC (10 years, 10 months ago) by peter_carl
- fixed strange timeseries alignment issues, thanks to Jeffrey Ryan

Revision 49 - Directory Listing
Modified Tue Jan 13 04:57:43 2009 UTC (10 years, 10 months ago) by peter_carl
- added 'Symbols' attribute for specifying symbol subsets

Revision 48 - Directory Listing
Modified Mon Jan 12 04:54:16 2009 UTC (10 years, 10 months ago) by peter_carl
- removed file that is now the 'blotter' package
- added quantmod requirement
- thanks to Dirk Eddelbuettel!

Revision 47 - Directory Listing
Modified Tue Jan 6 18:45:49 2009 UTC (10 years, 10 months ago) by jryan
changed as.xts calls that used order.by to xts() calls

Revision 44 - Directory Listing
Modified Tue Dec 30 15:30:27 2008 UTC (10 years, 10 months ago) by peter_carl
- updated svn keywords in footer

Revision 43 - Directory Listing
Modified Tue Dec 30 15:29:43 2008 UTC (10 years, 10 months ago) by peter_carl
- updated copyright

Revision 42 - Directory Listing
Modified Tue Dec 30 15:29:20 2008 UTC (10 years, 10 months ago) by peter_carl
- fixed latex errors

Revision 41 - Directory Listing
Modified Tue Dec 30 04:34:11 2008 UTC (10 years, 10 months ago) by peter_carl
- fixed latex errors

Revision 40 - Directory Listing
Modified Tue Dec 30 04:33:36 2008 UTC (10 years, 10 months ago) by peter_carl
- fixed latex errors

Revision 39 - Directory Listing
Modified Tue Dec 23 12:40:18 2008 UTC (10 years, 10 months ago) by peter_carl
- function name changed

Revision 38 - Directory Listing
Modified Tue Dec 23 12:39:28 2008 UTC (10 years, 10 months ago) by peter_carl
- changed function name for consistency

Revision 37 - Directory Listing
Modified Tue Dec 23 12:38:53 2008 UTC (10 years, 10 months ago) by peter_carl
- changed function name for consistency

Revision 36 - Directory Listing
Modified Tue Dec 23 04:13:14 2008 UTC (10 years, 10 months ago) by peter_carl
- demonstration code using Josh's turtles script

Revision 35 - Directory Listing
Modified Tue Dec 23 03:01:02 2008 UTC (10 years, 10 months ago) by peter_carl
- fixed spacing
- added keywords

Revision 34 - Directory Listing
Modified Tue Dec 23 03:00:14 2008 UTC (10 years, 10 months ago) by peter_carl
- initial draft of documentation

Revision 33 - Directory Listing
Modified Tue Dec 23 02:59:44 2008 UTC (10 years, 10 months ago) by peter_carl
- removed autogen in favor of consolidated documentation

Revision 32 - Directory Listing
Modified Tue Dec 23 02:58:50 2008 UTC (10 years, 10 months ago) by peter_carl
- initial draft of documentation

Revision 31 - Directory Listing
Modified Tue Dec 23 02:55:47 2008 UTC (10 years, 10 months ago) by peter_carl
- removed autogen Rd files in favor of consolidated documentation

Revision 30 - Directory Listing
Modified Tue Dec 23 02:54:45 2008 UTC (10 years, 10 months ago) by peter_carl
- first draft of documentation

Revision 29 - Directory Listing
Modified Tue Dec 23 02:53:48 2008 UTC (10 years, 10 months ago) by peter_carl
- removed with function stubs

Revision 28 - Directory Listing
Modified Tue Dec 23 02:53:31 2008 UTC (10 years, 10 months ago) by peter_carl
- removed function stubs

Revision 27 - Directory Listing
Modified Wed Dec 17 14:37:47 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, function doesn't sum through time

Revision 26 - Directory Listing
Modified Wed Dec 17 14:36:48 2008 UTC (10 years, 10 months ago) by peter_carl
- minor edits to text

Revision 25 - Directory Listing
Modified Wed Dec 17 14:35:56 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, using alias in getTxn.Rd

Revision 24 - Directory Listing
Modified Wed Dec 17 14:35:28 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, using alias in getTxn.Rd

Revision 23 - Directory Listing
Modified Wed Dec 17 14:34:58 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, using alias in updateAcct.Rd

Revision 22 - Directory Listing
Modified Wed Dec 17 14:33:42 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, using alias in getTxn.Rd

Revision 21 - Directory Listing
Modified Wed Dec 17 14:33:14 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, using alias in getTxn.Rd

Revision 20 - Directory Listing
Modified Wed Dec 17 14:32:38 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, using alias in getTxn.Rd

Revision 19 - Directory Listing
Modified Wed Dec 17 14:32:10 2008 UTC (10 years, 10 months ago) by peter_carl
- removed, using alias in getTxn.Rd

Revision 18 - Directory Listing
Modified Wed Dec 17 03:59:28 2008 UTC (10 years, 10 months ago) by peter_carl
- first draft of documentation

Revision 17 - Directory Listing
Modified Wed Dec 17 03:54:03 2008 UTC (10 years, 10 months ago) by peter_carl
- first draft of documentation

Revision 16 - Directory Listing
Modified Wed Dec 17 03:53:35 2008 UTC (10 years, 10 months ago) by peter_carl
- first draft of documentation

Revision 15 - Directory Listing
Modified Wed Dec 17 03:52:59 2008 UTC (10 years, 10 months ago) by peter_carl
- first draft of documentation

Revision 14 - Directory Listing
Modified Wed Dec 17 03:52:34 2008 UTC (10 years, 10 months ago) by peter_carl
- first draft of documentation

Revision 13 - Directory Listing
Modified Tue Dec 16 04:01:24 2008 UTC (10 years, 10 months ago) by peter_carl
- added getRealizedPL

Revision 12 - Directory Listing
Modified Tue Dec 16 03:37:37 2008 UTC (10 years, 10 months ago) by peter_carl
- first draft of function documentation

Revision 11 - Directory Listing
Modified Tue Dec 16 03:26:10 2008 UTC (10 years, 10 months ago) by peter_carl
- added detail about object structure

Revision 10 - Directory Listing
Modified Tue Dec 16 03:10:57 2008 UTC (10 years, 10 months ago) by peter_carl
- Fixed Txn.Avg.Cost column name

Revision 9 - Directory Listing
Modified Tue Dec 16 03:07:29 2008 UTC (10 years, 10 months ago) by peter_carl
- Fixed Txn.Avg.Cost column name

Revision 8 - Directory Listing
Modified Tue Dec 16 03:06:37 2008 UTC (10 years, 10 months ago) by peter_carl
- Initial code commit

Revision 7 - Directory Listing
Modified Sat Dec 13 19:35:22 2008 UTC (10 years, 11 months ago) by peter_carl
- fixed initial position quantity specification for multiple symbol portfolios

Revision 6 - Directory Listing
Modified Sat Dec 13 19:33:50 2008 UTC (10 years, 11 months ago) by peter_carl
- fixed example

Revision 5 - Directory Listing
Modified Fri Dec 12 16:37:20 2008 UTC (10 years, 11 months ago) by peter_carl
- Updated attributes

Revision 4 - Directory Listing
Modified Fri Dec 12 03:27:49 2008 UTC (10 years, 11 months ago) by peter_carl
- Initial commit of code

Revision 3 - Directory Listing
Modified Fri Dec 12 03:26:45 2008 UTC (10 years, 11 months ago) by peter_carl
- Initial commit of code

Revision 2 - Directory Listing
Modified Fri Dec 12 03:25:34 2008 UTC (10 years, 11 months ago) by peter_carl
- Initial commit of code

Revision 1 - Directory Listing
Added Mon Nov 24 08:47:35 2008 UTC (10 years, 11 months ago) by stefan7th
README updated

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