quantstrat パッケージで、applyRule 関数の遅さの主な原因の 1 つを特定し、while ループをより効率的に記述する方法があるかどうか疑問に思いました。どんなフィードバックも役に立ちます。この部分を Parallel R にラップした経験のある人向けです。
オプションとして適用すると、代わりに動作しますか? それとも、この部分を ruleProc や nextIndex などの新しい関数に書き直す必要がありますか? 私も Rcpp を研究していますが、それは筋違いかもしれません。ヘルプと建設的なアドバイスをいただければ幸いです。
while (curIndex) {
timestamp = Dates[curIndex]
if (isTRUE(hold) & holdtill < timestamp) {
hold = FALSE
holdtill = NULL
}
types <- sort(factor(names(strategy$rules), levels = c("pre",
"risk", "order", "rebalance", "exit", "enter", "entry",
"post")))
for (type in types) {
switch(type, pre = {
if (length(strategy$rules[[type]]) >= 1) {
ruleProc(strategy$rules$pre, timestamp = timestamp,
path.dep = path.dep, mktdata = mktdata, portfolio = portfolio,
symbol = symbol, ruletype = type, mktinstr = mktinstr)
}
}, risk = {
if (length(strategy$rules$risk) >= 1) {
ruleProc(strategy$rules$risk, timestamp = timestamp,
path.dep = path.dep, mktdata = mktdata, portfolio = portfolio,
symbol = symbol, ruletype = type, mktinstr = mktinstr)
}
}, order = {
if (length(strategy$rules[[type]]) >= 1) {
ruleProc(strategy$rules[[type]], timestamp = timestamp,
path.dep = path.dep, mktdata = mktdata, portfolio = portfolio,
symbol = symbol, ruletype = type, mktinstr = mktinstr,)
} else {
if (isTRUE(path.dep)) {
timespan <- paste("::", timestamp, sep = "")
} else timespan = NULL
ruleOrderProc(portfolio = portfolio, symbol = symbol,
mktdata = mktdata, timespan = timespan)
}
}, rebalance = , exit = , enter = , entry = {
if (isTRUE(hold)) next()
if (type == "exit") {
if (getPosQty(Portfolio = portfolio, Symbol = symbol,
Date = timestamp) == 0) next()
}
if (length(strategy$rules[[type]]) >= 1) {
ruleProc(strategy$rules[[type]], timestamp = timestamp,
path.dep = path.dep, mktdata = mktdata, portfolio = portfolio,
symbol = symbol, ruletype = type, mktinstr = mktinstr)
}
if (isTRUE(path.dep) && length(getOrders(portfolio = portfolio,
symbol = symbol, status = "open", timespan = timestamp,
which.i = TRUE))) {
}
}, post = {
if (length(strategy$rules$post) >= 1) {
ruleProc(strategy$rules$post, timestamp = timestamp,
path.dep = path.dep, mktdata = mktdata, portfolio = portfolio,
symbol = symbol, ruletype = type, mktinstr = mktinstr)
}
})
}
if (isTRUE(path.dep))
curIndex <- nextIndex(curIndex)
else curIndex = FALSE
}