clone.orderbook does not strip history

[nmatare]

The clone.orderbook function in paramsets.R does not actually strip history:

The old orderbook is assigned a new name 'cloned.portfolio.st', but the for loop continues to reference the old name, effectively voiding the strip.history = TRUE. Also, by keeping the first order with [1, ] one could potential pass an undesired open order to an attempted set of parameters, "<- list(NULL) solves this issue".

library(quantstrat)

quantstrat:::clone.orderbook
function (portfolio.st, cloned.portfolio.st, strip.history = TRUE) 
{
    orderbook <- getOrderBook(portfolio.st)
    i <- 1
    names(orderbook)[i] <- cloned.portfolio.st # !! # we change name here
    if (strip.history == TRUE) { # !! # but still attempt to reference old names in the loop
        for (symbol in names(orderbook[[portfolio.st]])) orderbook[[portfolio.st]][[symbol]] <- orderbook[[portfolio.st]][[symbol]][1, ] # keep potentially open orders
    }
    put.orderbook(cloned.portfolio.st, orderbook)
}

Example:

library(quantstrat)
options(width = 250)
 
# INIT FABER
FinancialInstrument::currency('USD')
FinancialInstrument::stock(primary_id = "IBM", currency = "USD", multiplier = 1)    
# Sys.setenv(TZ = "UTC")
 
initPortf('faber', symbols="IBM")
initAcct('faber', portfolios='faber', initEq=100)
initOrders(portfolio='faber')
strategy("faber", store=TRUE)
add.indicator('faber', name = "rollapply", 
    arguments = list(data = quote(Cl(mktdata)), width=10, FUN=mean, fill = 0), label="SMA10")
add.signal('faber',name="sigCrossover",
    arguments = list(columns=c("Close","SMA10"),relationship="gte"),label="Cl.gt.SMA")
add.signal('faber',name="sigCrossover",
    arguments = list(columns=c("Close","SMA10"),relationship="lt"),label="Cl.lt.SMA")
add.rule('faber', name='ruleSignal', 
    arguments = list(sigcol="Cl.gt.SMA", sigval=TRUE, delay = 10, orderqty=500, 
             ordertype='market', orderside='long', pricemethod='market',TxnFees=-5), 
     type='enter', path.dep=TRUE)
 
add.rule('faber', name='ruleSignal', 
    arguments = list(sigcol="Cl.lt.SMA", sigval=TRUE, orderqty='all', ordertype='market', 
             orderside='long', pricemethod='market',TxnFees=-5),
     type='exit', path.dep=TRUE)
## END FABER
 
getSymbols(
    Symbols="IBM", 
    src="yahoo", 
    from=as.Date("2013-01-01"), 
    to=as.Date("2013-04-05"), 
    auto.assign = TRUE
)
 
applyStrategy(
    strategy='faber', 
    portfolios='faber'#,
    # rule.subset = "2014-12-23/2015-03-07"
)

quantstrat:::clone.orderbook('faber', 'faber.test', strip.history = TRUE)
all.equal(getOrderBook('faber')$faber$IBM, getOrderBook('faber.test')$faber.test$IBM)
[1] TRUE

[braverock]

Your second commit makes perfect sense to me to use list2env.

I don't think your first commit makes sense. Just because we are splitting time can't mean that any open orders won't be processed. I believe that we need open orders to carry forward. If strip.history is TRUE, then maybe it makes sense, but it isn't clear from the patch that it only applies in that case?