[R-SIG-Finance] quantstrat and nonstandard column names in the price series

[Brian G. Peterson]

On 02/09/2011 12:24 PM, Vladimir Egorin wrote:
> Does anyone have a short demo for quantstrat that does not use standard column
> names for price data in mktdata?  I am curious what the syntax would be in case,
> for example, when xts price series has a column named "XXX".
> I figured so far that I need to provide a "prefer" value for the getPrice
> function to indicate the column name with the price, but the running backtest
> fails, apparently when parsing the orders.
>
> Thanks, Vladimir

The 'prefer' argument should work.

We use quantstrat on tick data all the time.  However, this is also in 
'standard' format as recognized by is.BBO is quantmod (the tick 
equivalent of is.OHLC).

The fallback guess in quantstrat if is.OHLC and is.BBO fail calls for a 
column named for the symbol.  This works for multicolumn series, e.g. in 
a portfolio strategy, where each column is named for the symbol in question.

However, as I said initially, tyhe prefer= argument should be handled 
and passed through everywhere.  So please provide a minimal example and 
we'll investigate.

Regards,

   - Brian

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