Improved column matching for OHLCVA

DESCRIPTION

@@ -11,7 +11,7 @@ Authors@R: c(
   )
 Depends: R (>= 3.2.0), xts(>= 0.9-0), zoo, TTR(>= 0.2), methods
 Imports: curl
-Suggests: DBI,RMySQL,RSQLite,timeSeries,XML,downloader,jsonlite(>= 1.1)
+Suggests: DBI,RMySQL,RSQLite,timeSeries,XML,downloader,jsonlite(>= 1.1), tinytest
 Description: Specify, build, trade, and analyse quantitative financial trading strategies.
 LazyLoad: yes
 License: GPL-3

R/OHLC.transformations.R

@@ -181,144 +181,143 @@ OHLCV <- function(x)
 `Op` <-
 function(x)
 {
-  if(has.Op(x))
-    return(x[,grep('Open',colnames(x),ignore.case=TRUE)])
-  stop('subscript out of bounds: no column name containing "Open"')
+  col <- has.Op(x, which = TRUE)
+  if(!identical(col, integer(0))) {
+    return(x[, col])
+  } else {
+    stop('subscript out of bounds: Open column not found')
+  }
 }
-
 `has.Op` <-
 function(x,which=FALSE)
 {
-  colAttr <- attr(x, "Op")
-  if(!is.null(colAttr))
-    return(if(which) colAttr else TRUE)
-
-  loc <- grep('Open',colnames(x),ignore.case=TRUE)
-  if(!identical(loc,integer(0))) {
-    return(if(which) loc else TRUE)
-  } else FALSE
+  n <- which(colnames(x) %in% c("Op", "Open"))
+
+  if(identical(n,integer(0))) {
+    n <- grep('Open$', colnames(x), ignore.case = TRUE)
+  }
+
+  return(if(which) n else !identical(n,integer(0)))
 }
-
 `Hi` <-
 function(x)
 {
-  if(has.Hi(x))
-    return(x[,grep('High',colnames(x),ignore.case=TRUE)])
-  stop('subscript out of bounds: no column name containing "High"')
+  col <- has.Hi(x, which = TRUE)
+  if(!identical(col, integer(0))) {
+    return(x[, col])
+  } else {
+    stop('subscript out of bounds: High column not found')
+  }
 }
-
 `has.Hi` <-
 function(x,which=FALSE)
 {
-  colAttr <- attr(x, "Hi")
-  if(!is.null(colAttr))
-    return(if(which) colAttr else TRUE)
-
-  loc <- grep('High',colnames(x),ignore.case=TRUE)
-  if(!identical(loc,integer(0))) {
-    return(if(which) loc else TRUE)
-  } else FALSE
+  n <- which(colnames(x) %in% c("Hi", "High"))
+
+  if(identical(n,integer(0))) {
+    n <- grep('High$', colnames(x), ignore.case = TRUE)
+  }
+
+  return(if(which) n else !identical(n,integer(0)))
 }
-
 `Lo` <-
 function(x)
 {
-  if(has.Lo(x))
-    return(x[,grep('Low',colnames(x),ignore.case=TRUE)])
-  stop('subscript out of bounds: no column name containing "Low"')
+  col <- has.Lo(x, which = TRUE)
+  if(!identical(col, integer(0))) {
+    return(x[, col])
+  } else {
+    stop('subscript out of bounds: Low column not found')
+  }
 }
-
 `has.Lo` <-
 function(x,which=FALSE)
 {
-  colAttr <- attr(x, "Lo")
-  if(!is.null(colAttr))
-    return(if(which) colAttr else TRUE)
-
-  loc <- grep('Low',colnames(x),ignore.case=TRUE)
-  if(!identical(loc,integer(0))) {
-    return(if(which) loc else TRUE)
-  } else FALSE
+  n <- which(colnames(x) %in% c("Lo", "Low"))
+
+  if(identical(n,integer(0))) {
+    n <- grep('Low$', colnames(x), ignore.case = TRUE)
+  }
+
+  return(if(which) n else !identical(n,integer(0)))
 }
-
 `Cl` <-
 function(x)
 {
-  if(has.Cl(x))
-    return(x[,grep('Close',colnames(x),ignore.case=TRUE)])
-  stop('subscript out of bounds: no column name containing "Close"')
+  col <- has.Cl(x, which = TRUE)
+  if(!identical(col, integer(0))) {
+    return(x[, col])
+  } else {
+    stop('subscript out of bounds: Close column not found')
+  }
 }
 `has.Cl` <-
 function(x,which=FALSE)
 {
-  colAttr <- attr(x, "Cl")
-  if(!is.null(colAttr))
-    return(if(which) colAttr else TRUE)
-
-  loc <- grep('Close',colnames(x),ignore.case=TRUE)
-  if(!identical(loc,integer(0))) {
-    return(if(which) loc else TRUE)
-  } else FALSE
+  n <- which(colnames(x) %in% c("Cl", "Close"))
+
+  if(identical(n,integer(0))) {
+    n <- grep('Close$', colnames(x), ignore.case = TRUE)
+  }
+
+  return(if(which) n else !identical(n,integer(0)))
 }
-
 `Vo` <-
 function(x)
 {
-  #vo <- grep('Volume',colnames(x))
-  #if(!identical(vo,integer(0)))
-  if(has.Vo(x))
-    return(x[,grep('Volume',colnames(x),ignore.case=TRUE)])
-  stop('subscript out of bounds: no column name containing "Volume"')
+  col <- has.Vo(x, which = TRUE)
+  if(!identical(col, integer(0))) {
+    return(x[, col])
+  } else {
+    stop('subscript out of bounds: Volume column not found')
+  }
 }
 `has.Vo` <-
 function(x,which=FALSE)
 {
-  colAttr <- attr(x, "Vo")
-  if(!is.null(colAttr))
-    return(if(which) colAttr else TRUE)
-
-  loc <- grep('Volume',colnames(x),ignore.case=TRUE)
-  if(!identical(loc,integer(0))) {
-    return(if(which) loc else TRUE)
-  } else FALSE
+  n <- which(colnames(x) %in% c("Vo", "Vol", "Volume"))
+
+  if(identical(n,integer(0))) {
+    n <- grep('Volume$', colnames(x), ignore.case = TRUE)
+  }
+
+  return(if(which) n else !identical(n,integer(0)))
 }
-
 `Ad` <-
 function(x)
 {
-  if(has.Ad(x))
-    return(x[,grep('Adjusted',colnames(x),ignore.case=TRUE)])
-  stop('subscript out of bounds: no column name containing "Adjusted"')
+  col <- has.Ad(x, which = TRUE)
+  if(!identical(col, integer(0))) {
+    return(x[, col])
+  } else {
+    stop('subscript out of bounds: Adjusted column not found')
+  }
 }
 `has.Ad` <-
 function(x,which=FALSE)
 {
-  colAttr <- attr(x, "Ad")
-  if(!is.null(colAttr))
-    return(if(which) colAttr else TRUE)
-
-  loc <- grep('Adjusted',colnames(x),ignore.case=TRUE)
-  if(!identical(loc,integer(0))) {
-    return(if(which) loc else TRUE)
-  } else FALSE
+  n <- which(colnames(x) %in% c("Ad", "Adj", "Adjusted"))
+
+  if(identical(n,integer(0))) {
+    n <- grep('Adjusted$', colnames(x), ignore.case = TRUE)
+  }
+
+  return(if(which) n else !identical(n,integer(0)))
 }
-
 `OpCl` <-
 function(x)
 {
     xx <- Delt(Op(x),Cl(x))
     colnames(xx) <- paste("OpCl",deparse(substitute(x)),sep='.')
     xx
 }
-
 `OpOp` <-
 function(x)
 {
     xx <- Delt(Op(x))
     colnames(xx) <- paste("OpOp",deparse(substitute(x)),sep='.')
     xx
 }
-
 `ClCl` <-
 function(x)
 {

inst/tinytest/test_OHLCVA.R

@@ -0,0 +1,121 @@
+## OHLC test-cases, including underlying supporting functions.
+
+# Load stock test data (originating from getSymbols())
+stock <- readRDS("stock.rda")
+cols <- colnames(stock)
+
+# Test is/has OHLC functions to be true.
+expect_true(has.Op(stock))
+expect_true(has.Hi(stock))
+expect_true(has.Lo(stock))
+expect_true(has.Cl(stock))
+expect_true(has.Vo(stock))
+expect_true(is.HLC(stock))
+expect_true(all(has.HLC(stock)))
+expect_true(is.OHLC(stock))
+expect_true(all(has.OHLC(stock)))
+expect_true(is.OHLCV(stock))
+expect_true(all(has.OHLCV(stock)))
+
+# Test which for has/OHLC functions.
+expect_equal(has.Op(stock, which = TRUE), 1)
+expect_equal(has.Hi(stock, which = TRUE), 2)
+expect_equal(has.Lo(stock, which = TRUE), 3)
+expect_equal(has.Cl(stock, which = TRUE), 4)
+expect_equal(has.Vo(stock, which = TRUE), 5)
+expect_equal(has.HLC(stock, which = TRUE), c(2,3,4))
+expect_equal(has.OHLC(stock, which = TRUE), c(1,2,3,4))
+expect_equal(has.OHLCV(stock, which = TRUE), c(1,2,3,4,5))
+
+# Test return correct OHLC column(s).
+expect_identical(colnames(Op(stock)), cols[1])
+expect_identical(colnames(Hi(stock)), cols[2])
+expect_identical(colnames(Lo(stock)), cols[3])
+expect_identical(colnames(Cl(stock)), cols[4])
+expect_identical(colnames(HLC(stock)), cols[c(2,3,4)])
+expect_identical(colnames(OHLC(stock)), cols[c(1,2,3,4)])
+expect_identical(colnames(OHLCV(stock)), cols[c(1,2,3,4,5)])
+
+# Test sample matrix regression
+data(sample_matrix, package = "xts")
+sample <- as.xts(sample_matrix)
+expect_equal(has.Op(sample, which = TRUE), 1)
+expect_equal(has.Hi(sample, which = TRUE), 2)
+expect_equal(has.Lo(sample, which = TRUE), 3)
+expect_equal(has.Cl(sample, which = TRUE), 4)
+expect_identical(colnames(Op(sample)), "Open")
+expect_identical(colnames(Hi(sample)), "High")
+expect_identical(colnames(Lo(sample)), "Low")
+expect_identical(colnames(Cl(sample)), "Close")
+
+# Test "Open" columns with column "Op".
+colnames(stock) <- gsub("MSFT.Open", "Op", cols)
+expect_true(has.Op(stock))
+expect_equal(has.Op(stock, which = TRUE), 1)
+expect_identical(colnames(Op(stock)), "Op")
+
+# Test "High" columns with column "Hi".
+colnames(stock) <- gsub("MSFT.High", "Hi", cols)
+expect_true(has.Hi(stock))
+expect_equal(has.Hi(stock, which = TRUE), 2)
+expect_identical(colnames(Hi(stock)), "Hi")
+
+# Test "Low" columns with column "Lo".
+colnames(stock) <- gsub("MSFT.Low", "Lo", cols)
+expect_true(has.Lo(stock))
+expect_equal(has.Lo(stock, which = TRUE), 3)
+expect_identical(colnames(Lo(stock)), "Lo")
+
+# Test "Close" columns with column "Cl".
+colnames(stock) <- gsub("MSFT.Close", "Cl", cols)
+expect_true(has.Cl(stock))
+expect_equal(has.Cl(stock, which = TRUE), 4)
+expect_identical(colnames(Cl(stock)), "Cl")
+
+# Test "Volume" columns with column "Vo".
+colnames(stock) <- gsub("MSFT.Volume", "Vo", cols)
+expect_true(has.Vo(stock))
+expect_equal(has.Vo(stock, which = TRUE), 5)
+expect_identical(colnames(Vo(stock)), "Vo")
+
+# Test "Adjusted" columns with column "Ad".
+colnames(stock) <- gsub("MSFT.Adjusted", "Ad", cols)
+expect_true(has.Ad(stock))
+expect_equal(has.Ad(stock, which = TRUE), 6)
+expect_identical(colnames(Ad(stock)), "Ad")
+
+# Test "Open" columns with symbol "OPEN".
+colnames(stock) <- gsub("MSFT", "OPEN", cols)
+expect_true(has.Op(stock))
+expect_equal(has.Op(stock, which = TRUE), 1)
+expect_identical(colnames(Op(stock)), colnames(stock)[1])
+
+# Test "High" columns with symbol "HIGH".
+colnames(stock) <- gsub("MSFT", "HIGH", cols)
+expect_true(has.Hi(stock))
+expect_equal(has.Hi(stock, which = TRUE), 2)
+expect_identical(colnames(Hi(stock)), colnames(stock)[2])
+
+# Test "Low" columns with symbol "LOW".
+colnames(stock) <- gsub("MSFT", "LOW", cols)
+expect_true(has.Lo(stock))
+expect_equal(has.Lo(stock, which = TRUE), 3)
+expect_identical(colnames(Lo(stock)), colnames(stock)[3])
+
+# Test "Close" columns with symbol "CLOSE".
+colnames(stock) <- gsub("MSFT", "CLOSE", cols)
+expect_true(has.Cl(stock))
+expect_equal(has.Cl(stock, which = TRUE), 4)
+expect_identical(colnames(Cl(stock)), colnames(stock)[4])
+
+# Test "Volume" columns with symbol "VOLUME".
+colnames(stock) <- gsub("MSFT", "VOLUME", cols)
+expect_true(has.Vo(stock))
+expect_equal(has.Vo(stock, which = TRUE), 5)
+expect_identical(colnames(Vo(stock)), colnames(stock)[5])
+
+# Test "Adjusted" columns with symbol "ADJUSTED".
+colnames(stock) <- gsub("MSFT", "ADJUSTED", cols)
+expect_true(has.Ad(stock))
+expect_equal(has.Ad(stock, which = TRUE), 6)
+expect_identical(colnames(Ad(stock)), colnames(stock)[6])

tests/tinytest.R

@@ -0,0 +1,5 @@
+
+if ( requireNamespace("tinytest", quietly=TRUE) ){
+  tinytest::test_package("quantmod")
+}
+