[R-SIG-Finance] quantstrat - 1) iceberg, 2) trailing entry examples, and 3) fundamental data indicator

Brian G. Peterson brian at braverock.com
Thu Mar 1 17:51:47 CET 2012

On Wed, 2012-02-29 at 20:06 -0700, Ben quant wrote:
> Hello,
> I've search all of the demo scripts (I think) and quite a bit online, but I
> have not seen an example of an 'iceberg' order or a trailing entry. The
> iceberg is listed as a supported ordertype so I suspect there is an example
> out there somewhere. For the trailing entry, I was just hoping there was an
> example I could see out there somewhere.

Not that I know of (at least, I haven't written one)

Icebergs, as documented, will ack like a limit order at your shown
quantity, when filled, they will enter a new order for the same shown
quantity at the same price.  When I wrote them, I had access to a better
(proprietary) fill simulator, so I'm not sure how much use they would be
with the default quantstrat fill simulation, YMMV.

For trailing orders, all I can say is 'try them'.
> On a different note, my company has quite a bit of historical fundamental
> data I can use. I was thinking if I put the fundamental data in the same
> format as the other indicators I could make rules based on the fundamental
> data and backtest price and fundamental data. Or is this not possible?

Sure you can, just add columns to your market data objects, then
inidcator and signal functions will be able to utilize them.
Alternately, have your custom indicator and signal functions look things
up in whatever repository you have locally.  

> I'm brand new to the quantstrat package. Still getting my head around it.
> Cool package so far.


   - Brian

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

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