[R-SIG-Finance] Passing Transaction costs from quantstrat to blotter

Brian G. Peterson brian at braverock.com
Thu Mar 17 16:42:50 CET 2011

On 03/16/2011 05:50 PM, Gei Lin wrote:
> Is there a way to pass transaction costs from quantstrat in a rule down to
> blotter in the tool chain?
> I haven't found any example of this yet.  Been digging down through the code
> from applyStrategy ->  applyRules ->  ruleOrderProc but haven't found it yet.

You see the TxnFees argument to addOrder and addTxn?

Basically, in your call to addOrder, you'll include TxnFees.  This 
should be passable in dots when you call applyStrategy as well (if for 
example you're using ruleSignal with simple order logic)

TxnFees can be a custom function, if your fees are not a simple numeric. 
  Simplistic example of fees per share are included in blotter.


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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