[R-SIG-Finance] [quantstrat] Trading a synthetic asset

[Anass Mouhsine]

Hi all,

While using the demos in package quantstrat ( btw a very nice and useful 
package), I wondered about the application on a synthetic asset.
I've seen the possibilities offered by the FinancialInstrument package 
on the subject. This package enables us to define a synthetic asset e.g. 
a spread between two stocks.

My question is about the way of using this synthetic asset in a 
quantstrat strategy.
How is it constructed? How is it handled by the getSymbols function used.

My problem can be seen in two ways:

1- I have a constructed a synthetic spread (of two stocks) as an xts 
object with a varying ratios through time.
How can use it in a quantstrategy as an asset itself? Specifically, 
since quantstrat uses mainly the getSymbols function, how the data 
loading is done?

2-Suppose now I have the original symbols series and a time series of 
weights defining the spread ratio.
I can use the getSymbols function to load original data. How can I 
construct my time-varying spread using the package FinancialInstrument 
and use it in a quantstrat framework?

I would like to know a little bit more about the logic intended when 
facing this kind of use of the quantstrat framework.

Thank you for your insights,

Anass