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Revision 1455 - Directory Listing
Modified Sun May 5 16:28:54 2013 UTC (6 years, 5 months ago) by opentrades
- reverted statustimestamp format()


Revision 1452 - Directory Listing
Modified Sat May 4 22:39:39 2013 UTC (6 years, 5 months ago) by opentrades
- introduced enable.rule() for easy rule enabling / disabling
- fixed timestamp in orderbook to print 00:00:00 when midnight


Revision 1451 - Directory Listing
Modified Mon Apr 29 11:48:30 2013 UTC (6 years, 5 months ago) by opentrades
- fixed test for curIndex going over boundary in nextIndex()


Revision 1450 - Directory Listing
Modified Thu Apr 25 13:50:15 2013 UTC (6 years, 5 months ago) by opentrades
- chain orders now use transaction price instead of order price as price reference


Revision 1449 - Directory Listing
Modified Thu Apr 25 10:43:22 2013 UTC (6 years, 5 months ago) by bodanker
- small patch to tradeOrderStats docs

Revision 1447 - Directory Listing
Modified Wed Apr 24 16:00:39 2013 UTC (6 years, 5 months ago) by braverock
- fix variable names after changing punctuation.  thanks to Scott Schmidt for pointing out.

Revision 1446 - Directory Listing
Modified Tue Apr 23 22:40:03 2013 UTC (6 years, 5 months ago) by braverock
- fix roxygen comment mixup

Revision 1445 - Directory Listing
Modified Tue Apr 23 22:23:04 2013 UTC (6 years, 5 months ago) by braverock
- add tradeOrderStats
- update roxygen docs
- update NAMESPACE

Revision 1444 - Directory Listing
Modified Mon Apr 22 01:34:03 2013 UTC (6 years, 5 months ago) by bodanker
- fix chain rule execution logic (only first order of chain was executed)

Revision 1443 - Directory Listing
Modified Sat Apr 20 12:10:27 2013 UTC (6 years, 5 months ago) by bodanker
- clean up stoptrailing code (s/stoplimit/stoptrailing in last commit)

Revision 1442 - Directory Listing
Modified Sat Apr 20 11:45:09 2013 UTC (6 years, 5 months ago) by bodanker
- fix to update dindex if stoplimit crosses but any(move_order) is FALSE

Revision 1441 - Directory Listing
Modified Fri Apr 19 14:04:05 2013 UTC (6 years, 5 months ago) by bodanker
- check for open stoplimit orders before moving to next index

Revision 1435 - Directory Listing
Modified Tue Apr 16 15:23:34 2013 UTC (6 years, 6 months ago) by bodanker
- attempt to fix BBO stoptrailing logic

Revision 1434 - Directory Listing
Modified Mon Apr 15 12:02:46 2013 UTC (6 years, 6 months ago) by bodanker
- fix trailing stop move-order logic
- tidy up:
  1) put ordersubset[oo.idx,] into object to avoid repeated subsetting
  2) replace grep() for order types with simple "=="
  3) combine quantity in ('all','trigger',0) into one block

Revision 1433 - Directory Listing
Modified Mon Apr 15 11:29:00 2013 UTC (6 years, 6 months ago) by bodanker
- another fix to chain rule execution logic

Revision 1432 - Directory Listing
Modified Sun Apr 14 21:53:14 2013 UTC (6 years, 6 months ago) by bodanker
- fix chain rule execution logic

Revision 1431 - Directory Listing
Modified Sat Apr 13 17:30:44 2013 UTC (6 years, 6 months ago) by braverock
- change to use .xts means we need to pass index, not order.by, patch suggested by Robert Schmidt

Revision 1430 - Directory Listing
Modified Wed Apr 10 10:49:33 2013 UTC (6 years, 6 months ago) by bodanker
- update nextIndex dindex/cross logic for stoplimit, limit, and stoptrailing orders
  (stoptrailing orders may still need work)

Revision 1427 - Directory Listing
Modified Sat Apr 6 22:10:42 2013 UTC (6 years, 6 months ago) by bodanker
- initiate order book as NULL instead of xts template object (avoids the
  potential for the order book index to be different than the data index)

Revision 1426 - Directory Listing
Modified Sat Apr 6 14:23:16 2013 UTC (6 years, 6 months ago) by bodanker
- Update tmult documentation

Revision 1422 - Directory Listing
Modified Wed Apr 3 21:36:45 2013 UTC (6 years, 6 months ago) by opentrades
- patch: updateOrders() needs orderset=NULL instead of orderset=NA


Revision 1421 - Directory Listing
Modified Wed Apr 3 21:08:22 2013 UTC (6 years, 6 months ago) by opentrades
- moved check for exit/all order with pos==0 from ruleSignal() into addOrder() to make sure that replace==TRUE is respected


Revision 1415 - Directory Listing
Modified Wed Mar 27 14:18:03 2013 UTC (6 years, 6 months ago) by braverock
- update label handling to paste to the end of the column names, consistent with earlier behavior
- update match.names to check for general match first, and check for match at end second if multiple matches found
- update documentation

Revision 1414 - Directory Listing
Modified Tue Mar 26 19:22:56 2013 UTC (6 years, 6 months ago) by opentrades
- patch to suppress addOrder() call for exit/all rules in case there is no current pos anyway

Revision 1412 - Directory Listing
Modified Mon Mar 25 12:26:31 2013 UTC (6 years, 6 months ago) by bodanker
- sigFormula now uses .xts constructor and as.list for speed

Revision 1411 - Directory Listing
Modified Sun Mar 24 19:21:24 2013 UTC (6 years, 6 months ago) by bodanker
- applyIndicators no longer overwrites colnames if they already exist

Revision 1410 - Directory Listing
Modified Tue Mar 19 13:10:23 2013 UTC (6 years, 6 months ago) by braverock
- alias ruleRevoke to ruleCancel, it will make more sense to those with market experience
- update NAMESPACE

Revision 1409 - Directory Listing
Modified Tue Mar 19 12:31:54 2013 UTC (6 years, 6 months ago) by braverock
- use order price for fill in low-frequency data, thanks to Peter Carl for investigating changes caused by newer xts Date index handling 
- multiple documentation updates, mostly to walk.forward
- props to Chinmay Patil for comments on chain rule descriptions
- bump version

Revision 1405 - Directory Listing
Modified Tue Feb 26 15:07:51 2013 UTC (6 years, 7 months ago) by opentrades
- removed debugging prints (oops)


Revision 1404 - Directory Listing
Modified Tue Feb 26 15:05:56 2013 UTC (6 years, 7 months ago) by opentrades
- renamed ruleSignal() order.price parameter to chain.price (to pass fill price in chained orders)
- added new order.price parameter to ruleSignal() to force the order.price, ignoring mktdata etc, to allow for stop prices that are not related to chain order fill price


Revision 1403 - Directory Listing
Modified Mon Feb 25 22:33:57 2013 UTC (6 years, 7 months ago) by opentrades
- bug fix: fill price of parent order is now passed down the chain to children, so eg. stop-loss can be calculated correctly relative to fill price


Revision 1402 - Directory Listing
Modified Sun Feb 24 13:48:31 2013 UTC (6 years, 7 months ago) by opentrades
- applyIndicators() and applySignals() now force label names if provided in add.indicator() and add.signal()


Revision 1401 - Directory Listing
Modified Thu Feb 21 18:40:59 2013 UTC (6 years, 7 months ago) by opentrades
- bug fix by Joseph Dunn to execute order at next bar if a new order was opened


Revision 1400 - Directory Listing
Modified Thu Feb 21 10:30:53 2013 UTC (6 years, 7 months ago) by opentrades
- now checks if rgl can be loaded


Revision 1399 - Directory Listing
Modified Thu Feb 21 09:57:58 2013 UTC (6 years, 7 months ago) by opentrades
- rewrite of tradeGraphs.R by Chinmay Patil
- renamed fixed.params to params.filter and implemented as regular expression by Chinmay Patil


Revision 1397 - Directory Listing
Modified Tue Feb 12 21:14:33 2013 UTC (6 years, 8 months ago) by gsee
typo fix in roxygen block (docs will be fixed on next roxygenize)

Revision 1393 - Directory Listing
Modified Tue Feb 12 16:37:51 2013 UTC (6 years, 8 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, 8 months ago) by opentrades
- typo fix


Revision 1385 - Directory Listing
Modified Mon Jan 28 22:04:22 2013 UTC (6 years, 8 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 1383 - Directory Listing
Modified Thu Jan 24 21:12:38 2013 UTC (6 years, 8 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, 8 months ago) by opentrades
- added packages parameter to apply.paramsets() to allow user to specify extra packages to load


Revision 1378 - Directory Listing
Modified Tue Jan 22 00:42:17 2013 UTC (6 years, 8 months ago) by opentrades
- some improvements in storing selected param.combo in .audit environment


Revision 1374 - Directory Listing
Modified Mon Jan 21 19:10:54 2013 UTC (6 years, 8 months ago) by opentrades
- updated documentation


Revision 1373 - Directory Listing
Modified Mon Jan 21 19:04:11 2013 UTC (6 years, 8 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, 8 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, 8 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 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 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 1354 - Directory Listing
Modified Sun Jan 13 00:11:28 2013 UTC (6 years, 9 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, 9 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, 9 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, 9 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, 9 months ago) by opentrades
- various small improvements in walk.forward() and apply.paramset()


Revision 1345 - Directory Listing
Modified Sat Jan 5 01:13:53 2013 UTC (6 years, 9 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, 9 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 1339 - Directory Listing
Modified Fri Jan 4 00:28:50 2013 UTC (6 years, 9 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, 9 months ago) by opentrades
modified walk.forward() to use parameter list for objective_args instead of just one parameter


Revision 1323 - Directory Listing
Modified Thu Dec 27 01:21:30 2012 UTC (6 years, 9 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, 9 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, 9 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 1312 - Directory Listing
Modified Fri Dec 21 00:51:29 2012 UTC (6 years, 9 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, 9 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, 9 months ago) by efmrforge
fixed a spelling error

Revision 1309 - Directory Listing
Modified Thu Dec 20 02:46:27 2012 UTC (6 years, 9 months ago) by opentrades
further improvements to walk.forward()


Revision 1308 - Directory Listing
Modified Thu Dec 20 00:18:42 2012 UTC (6 years, 9 months ago) by opentrades
verbose flag added for print


Revision 1307 - Directory Listing
Modified Wed Dec 19 23:30:05 2012 UTC (6 years, 9 months ago) by opentrades
some improvements 


Revision 1306 - Directory Listing
Modified Wed Dec 19 02:21:50 2012 UTC (6 years, 9 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, 9 months ago) by opentrades
even more documentation


Revision 1304 - Directory Listing
Modified Wed Dec 19 01:16:44 2012 UTC (6 years, 9 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, 9 months ago) by opentrades
first draft for walk.forward.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 1277 - Directory Listing
Modified Mon Dec 10 01:41:21 2012 UTC (6 years, 10 months ago) by opentrades
set .maxcombine to nrows(pararm.combos), to specify number of combine arguments


Revision 1275 - Directory Listing
Modified Sun Dec 9 18:06:17 2012 UTC (6 years, 10 months ago) by braverock
- rearrange the 'side' detection, and allow for proper side detection when orderqty=='all'

Revision 1272 - Directory Listing
Modified Mon Dec 3 18:14:30 2012 UTC (6 years, 10 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, 10 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, 10 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, 10 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, 10 months ago) by braverock
- remove spurious debug print

Revision 1266 - Directory Listing
Modified Mon Nov 26 19:29:01 2012 UTC (6 years, 10 months ago) by braverock
- fix symbol loop in applyStrategy.rebalancing for rebalancing step
- bump version, remove Collate, turn ByteCompile back on

Revision 1262 - Directory Listing
Modified Thu Nov 22 03:13:56 2012 UTC (6 years, 10 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, 10 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, 10 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, 10 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, 10 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, 10 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, 10 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, 10 months ago) by opentrades
fixed some tab stops issues


Revision 1252 - Directory Listing
Modified Sun Nov 18 23:39:54 2012 UTC (6 years, 10 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 (6 years, 11 months ago) by opentrades
removed .maxcombine=100


Revision 1250 - Directory Listing
Modified Tue Nov 13 21:23:30 2012 UTC (6 years, 11 months 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 (6 years, 11 months 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 (6 years, 11 months 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 (6 years, 11 months ago) by opentrades
added support for timespan paramsets


Revision 1243 - Directory Listing
Modified Thu Nov 8 20:54:41 2012 UTC (6 years, 11 months ago) by braverock
- add rebalance rule rulePctEquity

Revision 1242 - Directory Listing
Modified Thu Nov 8 16:44:01 2012 UTC (6 years, 11 months ago) by braverock
- pass portfolio to rebalance fn via ruleProc

Revision 1241 - Directory Listing
Modified Thu Nov 8 15:47:44 2012 UTC (6 years, 11 months ago) by opentrades
small improvement in erorr msgs


Revision 1240 - Directory Listing
Modified Thu Nov 8 15:36:00 2012 UTC (6 years, 11 months ago) by braverock
- pass un-matching arguments, assuming the user knows what they're doing, still warn.

Revision 1238 - Directory Listing
Modified Sun Nov 4 14:50:22 2012 UTC (6 years, 11 months 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 (6 years, 11 months ago) by braverock
- fix support for 'rebalance' rules
- minor documentation updates

Revision 1233 - Directory Listing
Modified Thu Nov 1 12:52:25 2012 UTC (6 years, 11 months ago) by braverock
- add ruleCancel function contributed by Niklas Kolster

Revision 1231 - Directory Listing
Modified Fri Oct 26 21:07:53 2012 UTC (6 years, 11 months 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 1228 - Directory Listing
Modified Mon Oct 22 22:02:05 2012 UTC (6 years, 11 months 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 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 1219 - Directory Listing
Modified Thu Oct 11 22:21:01 2012 UTC (7 years 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 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 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 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 ago) by opentrades
- introduced applyConstraints() function
- constraints now also applied in expand mode


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


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


Revision 1206 - Directory Listing
Modified Tue Oct 2 20:39:38 2012 UTC (7 years 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 ago) by braverock
- remove rule.env

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

Revision 1200 - Directory Listing
Modified Sat Sep 29 17:43:36 2012 UTC (7 years 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 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 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 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 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 ago) by opentrades
- implemented support for mktdata column containing threshold values
- fixed bug in stoptrailing nextIdx computation from dindex


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 1164 - Directory Listing
Modified Thu Sep 6 20:21:08 2012 UTC (7 years, 1 month ago) by opentrades
update documentation on thresholds


Revision 1163 - Directory Listing
Modified Thu Sep 6 19:51:23 2012 UTC (7 years, 1 month 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, 1 month 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, 1 month 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, 1 month 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 1158 - Directory Listing
Modified Wed Sep 5 23:59:14 2012 UTC (7 years, 1 month 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, 1 month 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, 1 month ago) by opentrades
changed var slorder to torder around line 541 - apparently copied from slorder and never changed / never tested


Revision 1154 - Directory Listing
Modified Tue Sep 4 23:55:44 2012 UTC (7 years, 1 month ago) by opentrades
fixed bug in stoptrailing (was single & where double && was required)


Revision 1152 - Directory Listing
Modified Tue Sep 4 19:27:09 2012 UTC (7 years, 1 month ago) by opentrades
added support for orderchains in add.rule() - see: demo/luxor.orderchains.R
removed "entry" ruletype


Revision 1149 - Directory Listing
Modified Sun Sep 2 15:49:40 2012 UTC (7 years, 1 month ago) by braverock
- update copyright date, overdue

Revision 1148 - Directory Listing
Modified Sun Sep 2 15:45:44 2012 UTC (7 years, 1 month ago) by braverock
- minor updates to init and wrapup
- fix typo

Revision 1123 - Directory Listing
Modified Wed Aug 8 11:10:03 2012 UTC (7 years, 2 months ago) by opentrades
- applyParameters(verbose=FALSE) now only returns tradeStats, params, and portfolio name
- applyParameters(verbose=TRUE) returns all data, as before


Revision 1119 - Directory Listing
Modified Sun Aug 5 17:00:54 2012 UTC (7 years, 2 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, 2 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, 2 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 1115 - Directory Listing
Modified Wed Aug 1 16:14:47 2012 UTC (7 years, 2 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, 2 months ago) by opentrades
vectorized inner for loop in tradeGraphs.R

Revision 1112 - Directory Listing
Modified Tue Jul 31 19:13:22 2012 UTC (7 years, 2 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, 2 months ago) by opentrades
added tradeGraphs() function

Revision 1109 - Directory Listing
Modified Tue Jul 24 15:10:59 2012 UTC (7 years, 2 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, 2 months ago) by opentrades
fixed accumulating memory bug in .blotter environment by cleaning .blotter at start of each 
foreach loop in applyParameters() 


Revision 1106 - Directory Listing
Modified Thu Jul 12 20:18:19 2012 UTC (7 years, 3 months ago) by braverock
- pass dots in applyParameter, into foreach, and to applyStrategy

Revision 1095 - Directory Listing
Modified Sat Jun 30 21:33:50 2012 UTC (7 years, 3 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 1082 - Directory Listing
Modified Thu Jun 28 09:43:45 2012 UTC (7 years, 3 months ago) by opentrades
* orderQty now set to 0 again in cases where sign and orderside do not match; stop condition removed


Revision 1080 - Directory Listing
Modified Thu Jun 28 09:00:44 2012 UTC (7 years, 3 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 1078 - Directory Listing
Modified Thu Jun 28 04:38:16 2012 UTC (7 years, 3 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, 3 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 1073 - Directory Listing
Modified Mon Jun 25 19:21:43 2012 UTC (7 years, 3 months ago) by opentrades
- reject order if pos==0


Revision 1068 - Directory Listing
Modified Sat Jun 23 19:20:48 2012 UTC (7 years, 3 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, 3 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, 3 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, 3 months ago) by bodanker
- Only update ordersubset with cancelled orders if some are *actually* canceled

Revision 1058 - Directory Listing
Modified Wed Jun 20 12:57:10 2012 UTC (7 years, 3 months ago) by opentrades
throwing warming when trying to exit/all pos while orderqty sign is wrong


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 1047 - Directory Listing
Modified Thu Jun 14 17:53:09 2012 UTC (7 years, 4 months ago) by opentrades
fixed case where prefer = NULL


Revision 1046 - Directory Listing
Modified Thu Jun 14 17:28:03 2012 UTC (7 years, 4 months ago) by opentrades
fixed bug in handling prefer for market orders


Revision 1031 - Directory Listing
Modified Mon May 28 21:32:03 2012 UTC (7 years, 4 months ago) by opentrades
risk/exit-'all' orders now cancel all open orders in corresponding orderset, even if current position = 0

Revision 1029 - Directory Listing
Modified Fri May 25 17:19:32 2012 UTC (7 years, 4 months ago) by opentrades
fixed stoplimit order bug (order sometimes executed immediately)

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 1021 - Directory Listing
Modified Tue May 8 21:17:49 2012 UTC (7 years, 5 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, 5 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 1015 - Directory Listing
Modified Fri May 4 20:03:53 2012 UTC (7 years, 5 months ago) by braverock
- add patch from Jan Humme to fix some broken exit rule order entry logic

Revision 1010 - Directory Listing
Modified Fri May 4 11:55:18 2012 UTC (7 years, 5 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, 5 months ago) by braverock
- add notes on fixing current order sizing bug

Revision 993 - Directory Listing
Modified Sat Mar 31 17:29:03 2012 UTC (7 years, 6 months ago) by braverock
- don't evaluate exit orders if you are flat and they are of type 'market'

Revision 990 - Directory Listing
Modified Mon Mar 26 17:07:54 2012 UTC (7 years, 6 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, 6 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, 6 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, 6 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, 6 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 984 - Directory Listing
Modified Sun Mar 25 16:25:19 2012 UTC (7 years, 6 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, 6 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, 6 months ago) by braverock
- separate ruleOrderProc into its own file
- add TZ patch provided by Jan Humme <jan <at> opentrades <dot> nl>

Revision 966 - Directory Listing
Modified Wed Mar 7 20:40:36 2012 UTC (7 years, 7 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 961 - Directory Listing
Modified Sun Mar 4 19:52:03 2012 UTC (7 years, 7 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, 7 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, 7 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, 7 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 945 - Directory Listing
Modified Fri Feb 24 17:45:21 2012 UTC (7 years, 7 months ago) by braverock
- change to use .instrument environment in the FinancialInstrument NAMESPACE

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

Revision 890 - Directory Listing
Modified Fri Dec 23 15:32:27 2011 UTC (7 years, 9 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 854 - Directory Listing
Modified Thu Nov 24 18:16:48 2011 UTC (7 years, 10 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, 10 months ago) by bodanker
- part of the applyRules fix didn't make the commit in r847

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 847 - Directory Listing
Modified Fri Nov 11 21:12:12 2011 UTC (7 years, 11 months ago) by bodanker
- fix applyRules and ruleProc to honor timespan

Revision 846 - Directory Listing
Modified Fri Nov 11 17:22:13 2011 UTC (7 years, 11 months ago) by gsee
mktdata arg was being overwritten

Revision 844 - Directory Listing
Modified Fri Nov 11 15:07:14 2011 UTC (7 years, 11 months 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 (7 years, 11 months ago) by gsee
typo in docs: maker --> active

Revision 840 - Directory Listing
Modified Sun Nov 6 14:40:25 2011 UTC (7 years, 11 months ago) by gsee
 differentiate between limit and stoplimit

Revision 837 - Directory Listing
Modified Sun Nov 6 00:53:52 2011 UTC (7 years, 11 months 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 (7 years, 11 months ago) by bodanker
- fix stoplimit handling for OHLC data in ruleOrderProc

Revision 835 - Directory Listing
Modified Sat Nov 5 18:24:22 2011 UTC (7 years, 11 months 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 832 - Directory Listing
Modified Sat Nov 5 01:22:25 2011 UTC (7 years, 11 months ago) by bodanker
- fix spelling in ruleOrderProc (orderprice -> orderPrice)

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

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

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

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

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

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 774 - Directory Listing
Modified Mon Sep 12 17:08:40 2011 UTC (8 years, 1 month 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 762 - Directory Listing
Modified Thu Sep 8 12:32:01 2011 UTC (8 years, 1 month ago) by braverock
- fix syntax error

Revision 747 - Directory Listing
Modified Mon Aug 29 12:27:44 2011 UTC (8 years, 1 month ago) by braverock
- make label handling more sophisticated

Revision 744 - Directory Listing
Modified Fri Aug 26 04:31:19 2011 UTC (8 years, 1 month ago) by cyrforge
More roxygen documentation comments. 
@example change of lines etc.

Revision 739 - Directory Listing
Modified Thu Aug 25 20:00:10 2011 UTC (8 years, 1 month ago) by braverock
- update roxygen documentation

Revision 737 - Directory Listing
Modified Wed Aug 24 21:07:11 2011 UTC (8 years, 1 month ago) by cyrforge
Added/ changed more roxygen documentation comments.

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, 2 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 728 - Directory Listing
Modified Fri Aug 12 01:46:57 2011 UTC (8 years, 2 months ago) by bodanker
- fix addOrder to extract coredata and drop dims from qtysign

Revision 713 - Directory Listing
Modified Sat Aug 6 15:07:10 2011 UTC (8 years, 2 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, 2 months ago) by braverock
- extra roxygen

Revision 711 - Directory Listing
Modified Sat Aug 6 14:57:46 2011 UTC (8 years, 2 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, 2 months ago) by braverock
- stub file for common initialization of strategies 

Revision 697 - Directory Listing
Modified Sat Jul 23 00:06:37 2011 UTC (8 years, 2 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, 2 months ago) by gsee
some improvements to stoplimit order handling, but still not perfect

Revision 694 - Directory Listing
Modified Fri Jul 22 14:29:16 2011 UTC (8 years, 2 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, 2 months ago) by cyrforge
Add comments and clean up.

Revision 691 - Directory Listing
Modified Thu Jul 21 22:58:38 2011 UTC (8 years, 2 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 688 - Directory Listing
Modified Wed Jul 20 21:27:24 2011 UTC (8 years, 2 months ago) by cyrforge
Add comments 
Try to implement parallel execution  in applyParameter , but still need to solve the error.

Revision 679 - Directory Listing
Modified Mon Jul 11 19:46:09 2011 UTC (8 years, 3 months ago) by braverock
- fix cut and paste errors in applying parameter arguments to each strategy object copy

Revision 677 - Directory Listing
Modified Mon Jul 11 19:20:01 2011 UTC (8 years, 3 months ago) by braverock
- fix roxygen problems (mostly export)
- stringsAsFactors=FALSE in expand.grid for applyParameters

Revision 664 - Directory Listing
Modified Fri Jul 8 01:03:26 2011 UTC (8 years, 3 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 652 - Directory Listing
Modified Wed Jun 29 20:22:09 2011 UTC (8 years, 3 months ago) by cyrforge
Put new functions for parameter generating and testing together with the existing functions.

Revision 636 - Directory Listing
Modified Fri Jun 24 04:14:35 2011 UTC (8 years, 3 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, 3 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, 3 months ago) by gsee
-check sign of orderqty before replacing orders

Revision 630 - Directory Listing
Modified Tue Jun 14 02:11:59 2011 UTC (8 years, 4 months ago) by gsee
typo

Revision 629 - Directory Listing
Modified Tue Jun 14 02:04:07 2011 UTC (8 years, 4 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, 4 months ago) by gsee
revert order qty adjustment change.

Revision 627 - Directory Listing
Modified Mon Jun 13 14:18:00 2011 UTC (8 years, 4 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, 4 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, 4 months ago) by braverock
- update pricemethod based on feedback from Garrett See
- update roxygen docs
- bump version

Revision 623 - Directory Listing
Modified Fri Jun 10 15:47:38 2011 UTC (8 years, 4 months ago) by gsee
opside now checks for BBO data before using bid/ask.

Revision 620 - Directory Listing
Modified Thu Jun 9 23:15:14 2011 UTC (8 years, 4 months ago) by gsee
suppress unnecessary warnings + patch to avoid warning in rules.R

Revision 618 - Directory Listing
Modified Wed Jun 8 22:31:43 2011 UTC (8 years, 4 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, 4 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, 4 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 606 - Directory Listing
Modified Sun May 22 21:30:44 2011 UTC (8 years, 4 months ago) by braverock
- remove spurious txnprice = orderPrice at line 473 spotted by Garrett See

Revision 603 - Directory Listing
Modified Tue May 10 02:51:38 2011 UTC (8 years, 5 months ago) by braverock
- fix storage of position limits as a time series
- patch provided by Garrett See  <gsee000 <at> gmail <dot> com >

Revision 594 - Directory Listing
Modified Sat Apr 9 20:11:13 2011 UTC (8 years, 6 months ago) by braverock
- make quantstrat less 'chatty' with Warnings

Revision 588 - Directory Listing
Modified Thu Mar 31 14:24:31 2011 UTC (8 years, 6 months ago) by braverock
- fix sigPeak

Revision 569 - Directory Listing
Modified Tue Mar 8 20:31:57 2011 UTC (8 years, 7 months ago) by braverock
- explicitly set prefer

Revision 568 - Directory Listing
Modified Tue Mar 8 19:15:54 2011 UTC (8 years, 7 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, 7 months ago) by braverock
- minor improvements to hold/holdtill

Revision 548 - Directory Listing
Modified Fri Feb 4 21:17:03 2011 UTC (8 years, 8 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 542 - Directory Listing
Modified Thu Jan 27 04:35:57 2011 UTC (8 years, 8 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 522 - Directory Listing
Modified Sun Jan 2 14:46:43 2011 UTC (8 years, 9 months ago) by braverock
- updates to docs to pass R CMD check
- bump version

Revision 516 - Directory Listing
Modified Sun Jan 2 11:08:43 2011 UTC (8 years, 9 months ago) by braverock
- update copyright to 2011

Revision 511 - Directory Listing
Modified Thu Dec 23 17:51:50 2010 UTC (8 years, 9 months ago) by braverock
- pass dots for prefer and tz of xts creation

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 476 - Directory Listing
Modified Sun Nov 28 21:34:33 2010 UTC (8 years, 10 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 449 - Directory Listing
Modified Sat Nov 13 18:29:16 2010 UTC (8 years, 11 months 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 (8 years, 11 months 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 (8 years, 11 months ago) by braverock
- roxygen doc update

Revision 446 - Directory Listing
Modified Sat Nov 13 16:57:40 2010 UTC (8 years, 11 months 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 (8 years, 11 months ago) by braverock
- fix setting tmult=TRUE threshold for trailing orders
- minor updates, mostly to roxygen docs

Revision 442 - Directory Listing
Modified Fri Nov 5 04:29:22 2010 UTC (8 years, 11 months ago) by bodanker
- Move more variable-creation to top of loops to avoid repeated calls

Revision 437 - Directory Listing
Modified Tue Nov 2 20:08:59 2010 UTC (8 years, 11 months ago) by braverock
- add dimension reduction for limit orders

Revision 435 - Directory Listing
Modified Mon Nov 1 13:04:23 2010 UTC (8 years, 11 months 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 (8 years, 11 months 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 (8 years, 11 months 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 (8 years, 11 months 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 (8 years, 11 months 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 (8 years, 11 months 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 (8 years, 11 months 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 (8 years, 11 months ago) by bodanker
- converted "\t" to "    " in orders.R

Revision 426 - Directory Listing
Modified Fri Oct 22 18:27:24 2010 UTC (8 years, 11 months 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 (8 years, 11 months ago) by llevenson
- In ruleOrderProc moved remqty above if statement
- In addPosLimit fixed colnames(newrow) 

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 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 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 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 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 ago) by llevenson
- Changed > to >= for length(price)

Revision 417 - Directory Listing
Modified Tue Oct 12 13:27:10 2010 UTC (9 years 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 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 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 410 - Directory Listing
Modified Fri Oct 8 13:47:27 2010 UTC (9 years ago) by llevenson
- Fixed which logic to evaluate all conditions 
- Removed bug in is.null(side), was is.null(status)

Revision 404 - Directory Listing
Modified Mon Oct 4 20:29:13 2010 UTC (9 years 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 396 - Directory Listing
Modified Sat Sep 18 21:04:55 2010 UTC (9 years ago) by braverock
- update documentation

Revision 393 - Directory Listing
Modified Sun Sep 12 17:27:10 2010 UTC (9 years, 1 month ago) by braverock
- fix passing of dots and TxnFees.  bug reported by Andre Barosso < andre <dot> barroso <at> gmail <dot> com >

Revision 390 - Directory Listing
Modified Wed Sep 8 20:45:32 2010 UTC (9 years, 1 month ago) by braverock
- apply patch 1065 from Mstislav Elagin (m_elagin)
  - fix assignment of sret in strategy symbols loop 

Revision 387 - Directory Listing
Modified Wed Sep 8 17:47:19 2010 UTC (9 years, 1 month 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, 1 month ago) by braverock
- fix typo 'prices' -> 'price' in addOrder

Revision 382 - Directory Listing
Modified Thu Aug 26 11:26:06 2010 UTC (9 years, 1 month ago) by braverock
- initial support for market maker orders 
  (paired orders or order sets on both sides of market) 

Revision 378 - Directory Listing
Modified Fri Aug 20 18:12:00 2010 UTC (9 years, 1 month 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 369 - Directory Listing
Modified Thu Aug 12 11:44:00 2010 UTC (9 years, 2 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 363 - Directory Listing
Modified Wed Jul 28 16:49:57 2010 UTC (9 years, 2 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 360 - Directory Listing
Modified Mon Jul 26 19:08:35 2010 UTC (9 years, 2 months ago) by braverock
- add parameter support for passing parameters at evaluation-time
- update BBands demo to use parameters
- update docs

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 351 - Directory Listing
Modified Tue Jul 13 17:15:56 2010 UTC (9 years, 3 months ago) by braverock
- update docs

Revision 347 - Directory Listing
Modified Tue Jun 29 01:18:19 2010 UTC (9 years, 3 months ago) by braverock
- add dots to osFun call in ruleSignal fn, per msg from Krish Maheswaran

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, 4 months ago) by braverock
- updates to pass R CMD check

Revision 332 - Directory Listing
Modified Thu Apr 29 20:55:57 2010 UTC (9 years, 5 months ago) by braverock
- make price handlnig more robust for BBO data

Revision 330 - Directory Listing
Modified Tue Apr 20 12:08:58 2010 UTC (9 years, 5 months ago) by braverock
- initial revision of parameter functions, not complete yet

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 290 - Directory Listing
Modified Tue Mar 16 15:33:51 2010 UTC (9 years, 7 months ago) by braverock
- switch warning to message

Revision 285 - Directory Listing
Modified Mon Mar 15 21:04:09 2010 UTC (9 years, 7 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, 7 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, 7 months ago) by braverock
- get mktdata for each symbol if mktdata not passed in manually

Revision 281 - Directory Listing
Modified Tue Mar 9 23:19:16 2010 UTC (9 years, 7 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 274 - Directory Listing
Modified Fri Feb 26 18:46:27 2010 UTC (9 years, 7 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, 7 months ago) by braverock
- store a human-readable status update timestamp

Revision 269 - Directory Listing
Modified Fri Feb 26 14:54:16 2010 UTC (9 years, 7 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, 7 months ago) by braverock
- fix updateOrderMatrix fn

Revision 266 - Directory Listing
Modified Fri Feb 26 13:52:39 2010 UTC (9 years, 7 months ago) by braverock
- changes so addTxn works properly

Revision 265 - Directory Listing
Modified Thu Feb 25 22:51:04 2010 UTC (9 years, 7 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, 7 months ago) by braverock
- support cancel/replace of open orders

Revision 262 - Directory Listing
Modified Thu Feb 25 14:58:04 2010 UTC (9 years, 7 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, 7 months ago) by braverock
- orders entered correctly

Revision 260 - Directory Listing
Modified Wed Feb 24 23:01:02 2010 UTC (9 years, 7 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, 7 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, 7 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, 7 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, 7 months ago) by braverock
- use collapse to get rid of vectorization in paste()

Revision 254 - Directory Listing
Modified Tue Feb 23 22:43:29 2010 UTC (9 years, 7 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, 7 months ago) by braverock
- fix initialization of order book

Revision 251 - Directory Listing
Modified Tue Feb 23 20:23:09 2010 UTC (9 years, 7 months ago) by braverock
- add orderside detection if NULL 

Revision 250 - Directory Listing
Modified Tue Feb 23 15:20:48 2010 UTC (9 years, 7 months ago) by braverock
- add pricemethod and order sizing implementation code to ruleSignal

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 242 - Directory Listing
Modified Wed Feb 10 22:13:59 2010 UTC (9 years, 8 months ago) by braverock
- multiple updates and new functions to integrate order and rule processing
- update docs and NAMESPACE

Revision 240 - Directory Listing
Modified Tue Feb 9 17:17:18 2010 UTC (9 years, 8 months ago) by braverock
- change updateOrder to updateOrders
- change getOrdersByStatus to getOrders
- add replace option to addOrder
- change .Rd file names

Revision 238 - Directory Listing
Modified Mon Feb 8 18:49:06 2010 UTC (9 years, 8 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, 8 months ago) by braverock
- implement getOrdersByStatus fn

Revision 235 - Directory Listing
Modified Mon Feb 8 12:45:14 2010 UTC (9 years, 8 months ago) by braverock
- implement addOrder fn

Revision 234 - Directory Listing
Modified Sun Feb 7 20:10:35 2010 UTC (9 years, 8 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, 8 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, 8 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, 8 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, 8 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, 8 months ago) by braverock
- initial commit of add.rules

Revision 228 - Directory Listing
Modified Fri Feb 5 16:58:29 2010 UTC (9 years, 8 months ago) by braverock
- implement sigCrossover
- add documentation

Revision 227 - Directory Listing
Modified Thu Feb 4 17:14:17 2010 UTC (9 years, 8 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, 8 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, 8 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, 8 months ago) by braverock
- add code to add signals
- add arbitrary text labels to signals and indicators
- add to demo code

Revision 222 - Directory Listing
Added Tue Feb 2 03:25:09 2010 UTC (9 years, 8 months ago) by peter_carl
- first draft of strategy framework

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