[R-SIG-Finance] Quantstrat: buy at tomorrow open

varcovar varcovar at live.com
Tue Feb 21 11:54:22 CET 2012


I am working on a weekly strategy in quantstrat. I use weekly bars that end
on Friday and I want to place trades on Monday at the open. My question is:
Where can I tell quantstrat which column it should use for placing trades? 

My first idea was to put the next Monday Open into the Friday Close column
and use another column name for the Friday Close so that quantstrat would
calculate the indicators and apply the rules I want, but it can become

Any idea? Thanks! 

Markus Douglas

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