[R-SIG-Finance] quantstrat- adding transaction fee to rule

[Brian G. Peterson]

On Sat, 11 Sep 2010 23:44:09 +0200, Andre Barroso
<andre.barroso at gmail.com>
wrote:
> Dear all,
> 
> I  tried to change the Faber demo from quantstrat to include transaction
> fees but without success. The original rule is:
> 
> stratFaber <- add.rule(stratFaber, name='ruleSignal',arguments =
> list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=1000,ordertype='market',
> orderside='long', pricemethod='market'), type='enter',path.dep=TRUE)
> 
> my idea was just to include TxnFees as an argument, but this was
> ineffective:
> 
> stratFaber <- add.rule(stratFaber, name='ruleSignal',arguments =
> list(sigcol="Cl.gt.SMA", sigval=TRUE, orderqty=1000,ordertype='market',
> orderside='long', pricemethod='market'),TxnFees=-5,
> type='enter',path.dep=TRUE)
> 
> Any ideas of how this work?

I'm not at a machine that has quantstrat installed right this moment to
test it, but I believe that you should be able to put TxnFees into the
arguments=list(...) for ruleSignal.  if that doesn't work, try adding it as


parameters=list(TxnFees=-5)

The relevant code files, I think, are traderules.R and orders.R  The
function ruleOrderProc (and its documentation) might say more about the
precise method of calling addTxn.  

I suppose it's possible we're not passing dots correctly somewhere, but I
hope one of my suggestions works. Let us know if/which one works.  

Otherwise, I'll test tomorrow or Monday.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973cat ruleSi
IM: bgpbraverock