[R-SIG-Finance] Quantstrat Prefer Pricing - v2
Brian G. Peterson
brian at braverock.com
Tue Nov 15 16:37:27 CET 2011
Enter limit orders instead of market orders. Then you can put in a
price at your limit, and if the market cooperates, you get filled.
I suppose we could separate price preferences for enters and exits: but
as documented, the one price defined by the 'prefer' argument will be
used to fill market orders for OHLC data.
On Tue, 2011-11-15 at 07:21 -0800, Dan Avery wrote:
> I sent the following last week but email was set to HTML.
>
> I'm continuing to work with Quantstrat to try to understand the syntax and functionality of the program. I've been experimenting with the prefer pricing options in add.rule and applyStrategy. The prefer pricing works in applyStrategy - but there is only one option, enter and exit on the same prefer choice, which is not what I'm looking for.
>
> On the other hand, add.rule allows the choice of different price preferences for enter and exit. However, the results are not what I would expect. The order book shows the correct prices - High for enter and Low for exit but the transactions show Closing prices as shown below
> # Order.Qty Order.Price Txn.Qty Txn.Price IBM.High IBM.Low IBM.Close
> #2007-02-26 100 97.86 100 96.91 97.86 96.46 96.91
> #2007-03-20 -100 93.55 -100 94.50 94.53 93.55 94.50
> #2007-04-03 -100 96.23 -100 96.10 96.23 95.33 96.10
> #2007-04-12 100 94.53 100 95.67 95.82 94.53 95.67
> #2007-04-17 -100 97.66 -100 97.12 97.66 96.02 97.12
> #2007-04-18 100 94.40 100 94.80 95.91 94.40 94.80
> #2007-04-24 -100 99.90 -100 98.49 99.90 97.23 98.49
>
> I've tried putting the prefer settings in parameters and dots but that doesn't work. I've also tried debugging in ruleOrderProc and it appears that the prefer setting is not being passed to the getPrice function. However, the code is complex and I haven't been able to understand where the issue is.
>
> The following shows the code based on the bbands demo example. Any help would be welcome.
>
> Thanks
> Dan
>
> #### CODE #####################################################
> require(quantstrat)
> suppressWarnings(rm("order_book.bbands",pos=.strategy))
> suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
> suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'))
>
> # some things to set up here
> stock.str='IBM' # what are we trying it on
>
> # we'll pass these
> SD = 2 # how many standard deviations, traditionally 2
> N = 20 # how many periods for the moving average, traditionally 20
>
> currency('USD')
> stock(stock.str,currency='USD',multiplier=1)
>
> initDate='2006-12-31'
> initEq=1000000
>
> portfolio.st='bbands'
> account.st='bbands'
>
> initPortf(portfolio.st,symbols=stock.str, initDate=initDate)
> initAcct(account.st,portfolios='bbands', initDate=initDate)
> initOrders(portfolio=portfolio.st,initDate=initDate)
>
> stratBBands <- strategy("bbands")
>
> #one indicator
> stratBBands <- add.indicator(strategy = stratBBands, name = "BBands", arguments = list(HLC = quote(HLC(mktdata)), maType='SMA'))
>
>
> #add signals:
> stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = list(columns=c("Close","up"),relationship="gt"),label="Cl.gt.UpperBand")
> stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = list(columns=c("Close","dn"),relationship="lt"),label="Cl.lt.LowerBand")
> stratBBands <- add.signal(stratBBands,name="sigCrossover",arguments = list(columns=c("High","Low","mavg"),relationship="op"),label="Cross.Mid")
>
> # lets add some rules
> #put prefer as an argument
> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market',
> orderside=NULL, threshold=NULL,prefer="High"),type='enter')
>
> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market',
> orderside=NULL, threshold=NULL,prefer="High"),type='enter')
>
> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market',
> orderside=NULL, threshold=NULL,prefer="Low"),type='exit')
>
> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market',
> orderside=NULL, threshold=NULL,prefer="High"),type='enter')
>
> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market',
> orderside=NULL, threshold=NULL,prefer="High"),type='enter')
>
> stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market',
> orderside=NULL, threshold=NULL,prefer="Low"),type='exit')
>
>
>
> #alternately, to exit at the opposite band, the rules would be...
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Lo.gt.UpperBand",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments = list(data=quote(mktdata),sigcol="Hi.lt.LowerBand",sigval=TRUE, orderqty= 'all', ordertype='market', orderside=NULL, threshold=NULL),type='exit')
>
> #TODO add thresholds and stop-entry and stop-exit handling to test
> if(!exists(stock.str)){
> getSymbols(stock.str,from=initDate)
> }
>
> start_t<-Sys.time()
> out<-try(applyStrategy(strategy=stratBBands , portfolios='bbands',parameters=list(sd=SD,n=N)) )
>
> # look at the order book
> ob<-getOrderBook(portfolio.st)
> closedOrders<-ob$bbands$IBM[ob$bbands$IBM[,6]=="closed",1:2]
> #get the stock prices then put in the order book and transactions
> IBM_HLC<-HLC(get(stock.str)) #get the prices for the stock
> txns<-getTxns(portfolio.st,stock.str) #transactions come from the portfolio
>
> compare<-merge(closedOrders[index(txns)],txns[,1:2],IBM_HLC[index(txns),])
> compare[2:8,]
>
> # Order.Qty Order.Price Txn.Qty Txn.Price IBM.High IBM.Low IBM.Close
> #2007-02-26 100 97.86 100 96.91 97.86 96.46 96.91
> #2007-03-20 -100 93.55 -100 94.50 94.53 93.55 94.50
> #2007-04-03 -100 96.23 -100 96.10 96.23 95.33 96.10
> #2007-04-12 100 94.53 100 95.67 95.82 94.53 95.67
> #2007-04-17 -100 97.66 -100 97.12 97.66 96.02 97.12
> #2007-04-18 100 94.40 100 94.80 95.91 94.40 94.80
> #2007-04-24 -100 99.90 -100 98.49 99.90 97.23 98.49
> #
>
>
> start_t<-Sys.time()
> updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''),Prices=tran_cl)
> end_t<-Sys.time()
> print("updatePortf execution time:")
> print(end_t-start_t)
>
> chart.Posn(Portfolio='bbands',Symbol=stock.str)
> plot(add_BBands(on=1,sd=SD,n=N))
>
> ############### stuff that didn't work ######################################
>
> #move the prefer to paramaters - doesn't work - "close" is returned for orders and txns
> #try list(prefer=High)etc
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> #list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',parameters=list("prefer=High"))
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',parameters=list("prefer=High"))
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market',
> # orderside=NULL, threshold=NULL),type='exit',parameters=list("prefer=Low"))
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> #list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',parameters=list("prefer=High"))
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',parameters=list("prefer=High"))
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market',
> # orderside=NULL, threshold=NULL),type='exit',parameters=list("prefer=Low"))
> #
>
> #now try without parameters designation, presumably as part of dots
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> #list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',prefer="High")
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',prefer="High")
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market',
> # orderside=NULL, threshold=NULL),type='exit',prefer="Low")
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> #list(sigcol="Cl.gt.UpperBand",sigval=TRUE, orderqty=-100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',prefer="High")
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cl.lt.LowerBand",sigval=TRUE, orderqty= 100, ordertype='market',
> # orderside=NULL, threshold=NULL),type='enter',prefer="High")
> #
> #stratBBands <- add.rule(stratBBands,name='ruleSignal', arguments =
> # list(sigcol="Cross.Mid",sigval=TRUE, orderqty= 'all', ordertype='market',
> # orderside=NULL, threshold=NULL),type='exit',prefer="Low")
> #
>
> ###############################################################################
> # R (http://r-project.org/) Quantitative Strategy Model Framework
> #
> # Copyright (c) 2009-2010
> # Peter Carl, Dirk Eddelbuettel, Brian G. Peterson, Jeffrey Ryan, and Joshua Ulrich
> #
> # This library is distributed under the terms of the GNU Public License (GPL)
> # for full details see the file COPYING
> #
> # $Id: bbands.R 621 2011-06-09 23:18:04Z gsee $
> #
>
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--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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