R/positionManagers.R

In Vitalic57/stratbuilder2pub: It Provides Tools to Create and Backtest Financial Models

#' @export
#' @rdname getPM
getPM <- function(this, recalc, ...){
    UseMethod('getPM', this)
}




#Position managers
#' Gets all position managers
#'
#' @param this modelStrategy
#' @param recalc logical
#' @param ... params
#'
#' @return list
#' @export
#' @rdname getPM
#' @method getPM modelStrategy
getPM.modelStrategy <- function(this){
  return(this$thisEnv$positionManagers)
}




#' @export
#' @rdname addPM
addPM <- function(this, ...){
    UseMethod('addPM', this)
}



#' Creator for position manager.
#'
#' @param this modelStrategy
#' @param as character, name
#' @param increase list, the first argument is resposible for condition when this rule will work,
#' the second argument is expression that must calculate size of position(mult_delta)(how many spreads it needs to be bought).
#' In another words the last row must contain 'mult_delta <- ...'. Or you could define 'money' variable. It should be equal to
#' current amount of money in position after execution of the rule.
#' @param decrease list, see increase, in expr quote beta_new must be defined
#' @param close list, see increase
#' @param oco charcter, name of namespace
#' @param rebalance list, see increase, in expr quote beta_new must be defined
#' @param change list, see increase, in expr quote mult_delta must be defined
#' @param args list, arguments of that manager
#' @param ... params
#' @param rule_name character, if it is determined, then this manager will be addicted to rule by this name and
#' params of this rule will be applied.
#'
#' @export
#' @rdname addPM
#' @method addPM modelStrategy
addPM.modelStrategy <- function(this,
                                as,
                                increase = list(cond = quote(FALSE), expr = quote({})),
                                decrease = list(cond = quote(FALSE), expr = quote({})),
                                rebalance = list(cond = quote(FALSE), expr = quote({})),
                                change = list(cond = quote(FALSE), expr = quote({})),
                                close = list(cond = quote(FALSE)),
                                oco,
                                args = list(),
                                rule_name = NULL,
                                ...
){
    e <- this$thisEnv
    if(missing(as)){
        as <- paste0('x', length(e$positionManagers) + 1)
    }
    as <- gsub('\\.','_',as)
    if(missing(oco)){
        oco <- as
    }
    e$positionManagers[[as]] <- list(
        as = as,
        increase = quote_list(rlang::enexpr(increase), parent.frame()),
        decrease = quote_list(rlang::enexpr(decrease), parent.frame()),
        rebalance = quote_list(rlang::enexpr(rebalance), parent.frame()),
        change = quote_list(rlang::enexpr(change), parent.frame()),
        close = quote_list(rlang::enexpr(close), parent.frame()),
        oco = oco,
        args = args
    )
    if(!is.null(rule_name)){
        e$positionManagers[[as]][['rule_name']] <- rule_name
    }
}