[R-SIG-Finance] qantstrat same period execution

af2tr dominykasgrigonis at gmail.com
Sun Dec 9 09:59:10 CET 2012


I know that there has already been several posts regarding this matter, but I
feel I still need clarification.

I understand that if the signal triggered at time n, then order will be
executed on tim n+1 if using daily of lower frequency data. It is possible
to change the price by prefer parameter, but it is not possible to execute
order at the same time as signal triggered. The lag parameter in ruleSignal
function is useful, but only on lower frequency data as it does not account
for weekends. The other option is to add a new column 'PervClose' and link
it via add.signal FUN. However this is not convenient if you have many
indicators and they depend not only on Closing price.

I could live with this but... I was watching yollin slides I replicated his
code. Outcome was that his orders executed 1 day earlier. Was this an
update? what is the execution time linked to?

Thanks to anyone who could help



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