[R-SIG-Finance] Time in Force conditions with Quantstrat

[Ryan]

I'm having some difficulty getting time in force to work with quanstrat.

I've studied the documentation and it states that:

timestamp time-in-force; either a time stamp, or a number of seconds, or
'GTC' / ”, 'GTC' and ” both meaning 'Good Till Canceled'; order expires if
still 'open' at this timestamp, default is ”

I have been trying to enter a limit order, 5% below the Close price, as
when I study the orderbook and mktdata object, it appears that a limit
order is based on the bar in which the signal occurs. Hence the limit price
would be 5% below the Close.

I've tried to enter a time in seconds, which is the equivalent to two days,
for the sake of the example. If I remove timestamp it runs however
time.in.force remains blank in the orderbook as I would expect timestamp +
time.in.force is the time when the order is cancelled.

As laid out below I get the following error:

Error in if (prefer == "Close") { : argument is of length zero


Below is a reproducible example that produces the error. Any assistance
would be greatly appreciated.


require(quantstrat)
require(quantmod)
require(PerformanceAnalytics)
require(TTR)
require(blotter)
require(IKTrading)

# Suppresses warnings
options("getSymbols.warning4.0" = FALSE)

# Set the currency and the timezone
currency('USD')
Sys.setenv(TZ = "UTC")

# Define symbols of interest
symbols <- c("AMP.AX",
             "BHP.AX",
             "ANZ.AX",
             "CBA.AX",
             "BXB.AX",
             "CSL.AX",
             "IAG.AX",
             "MQG.AX",
             "NAB.AX",
             "ORG.AX",
             "QBE.AX",
             "RIO.AX",
             "SCG.AX",
             "SUN.AX",
             "TLS.AX",
             "WBC.AX",
             "WES.AX",
             "WOW.AX",
             "WPL.AX",
             "TCL.AX",
             "WFD.AX",
             "AMC.AX"
)


#Get Symbols
getSymbols(Symbols=symbols, from="2010-01-01", to="2015-12-31")

# Define the instrument type
stock(symbols, currency = "USD", multiplier = 1)

#Boilerplate
initDate = "2005-01-01"
from = "2010-01-01"
to = "2015-12-31"

#trade sizing and initial equity settings
tradeSize <- 2500
initEq <- 100000

strategy.st <- portfolio.st <- account.st <- "Timeinforce"
rm.strat(portfolio.st)
rm.strat(strategy.st)
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate,
currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)

#parameters

nSMA=20

#Add Indicators

add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(Cl(mktdata)), n=nSMA),
              label="sma")

#Add Entry and Exit Signals

add.signal(strategy.st, name="sigComparison",
           arguments=list(columns=c("Close", "SMA.20.sma"),
relationship="gt"),
           label="longentry")

#add.signal(strategy.st, name="sigComparison",
#          arguments=list(columns=c("Close", "SMA.20.sma"),
relationship="lt"),
#         label="longexit")

#enter signal rule
add.rule(strategy.st, name="ruleSignal",
         arguments=list(sigcol="longentry", sigval=TRUE, ordertype="limit",
                        orderside="long", replace=TRUE, prefer="Close",
tmult = TRUE, threshold = 0.05, timestamp, time.in.force='172800',
orderqty=tradeSize, osFUN=osMaxDollar, tradeSize=tradeSize,
                        maxSize=tradeSize),
         type="enter", path.dep=TRUE, label="enterlong")

#add.rule(strategy.st, name="ruleSignal",
#       arguments=list(sigcol="longexit", sigval=TRUE, ordertype="market",
#                    orderside="long", replace=FALSE, prefer="Open",
orderqty="all", TxnFees=-12),
#   type="exit", path.dep=TRUE, label="exitlong")

#stop loss.
add.rule(strategy.st, name="ruleSignal", arguments=list(sigcol="longentry",
                                                        sigval=TRUE,

ordertype="stoptrailing",
                                                        orderside="long",
                                                        replace=FALSE,
                                                        orderqty="all",
                                                        threshold=0.05,
                                                        tmult=TRUE,
                                                        orderset="ocolong"),
         type="chain",
         parent="enterlong",
         label="stopLossLong",
         path.dep=TRUE,
         enable=TRUE)

#apply strategy
t1 <- Sys.time()
out2 <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st )
t2 <- Sys.time()
print(t2-t1)

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