[R-SIG-Finance] Quantstrat - Entering a limit order below the open price
Brian G. Peterson
brian at braverock.com
Thu Feb 11 12:39:56 CET 2016
(if that is your real name, the complete lack of online footprint seems
to suggest that it is not)
On 02/11/2016 12:50 AM, Smith Jimmy wrote:
> I'm wanting to enter a limit order at a set percentage below the open price
> if that's possible with Quantstrat.
Yes, it is.
Please do your homework, and read the documentation. Many people have
contributed that documentation in the hopes that users will actually
> I'm not sure if I have set this out correctly but here is an example. I was
> trying to set the limit 1% below the open price.
This is *still* not a minimal reproducible example.
> I'm not quite sure how to use order.price to achieve this.
You won't use order.price, you'll use threshold.
> add.rule(strategy.st, name="ruleSignal",
> arguments=list(sigcol="longentry", sigval=TRUE, ordertype="limit",
> orderside="long", replace=FALSE, prefer="Open",
> order.price=mktdata*(0.99),tmult=TRUE, orderqty=tradeSize,
> osFUN=osMaxDollar, tradeSize=tradeSize,
> type="enter", path.dep=TRUE, label="enterlong")
You most likely want
and no order.price argument.
in your code, 'mktdata' probably doesn't exist yet, which is why you get
no errors. Have you noticed the use of quote() in many of the demos? I
suggest you look at
and the descriptions of the 'mktdata' object inside quantstrat to
understand why mktdata is so often quoted when used inside parts of the
In your example mktdata probably doesn't exist at the time of strategy
specification, so you are setting order.price = NULL*0.99, getting NULL.
quantstrat will quite reasonably set no price and enter no order.
If you had a mktdata object from a previous run or inadvisably quoted
mktdata as it is in the other demos, you would have been multiplying
0.99 by the entire time series of the mktdata object, and quantstrat
would fail pointing out that order.price needs to be a scalar.
> I'd ideally like to have a trailing stop that would be based on the
> executed price.
Then please spend some time examining and working with the many demos
which do this already.
Brian G. Peterson
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