[R-SIG-Finance] stoplimit market price with OHLC

[Diego Peroni]

Thanks Ultich

I didn't find this information reading the docs.

Diego



> On 02 apr 2016, at 16:18, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> 
>> On Tue, Mar 29, 2016 at 9:46 AM, Diego Peroni <diegoperoni at vodafone.it> wrote:
>> Hi All,
>> 
>> my strategy exit an open position with a simple Signal based on 1 minute
>> OHLC bars.
>> 
>> This is my exit rule:
>> 
>> add.rule(qs.strategy, name='ruleSignal',
>>         arguments=list(sigcol='upTrend', sigval=TRUE,
>>                        replace=TRUE,
>>                        orderside='short',
>>                        ordertype='market',
>>                        orderqty='all',
>>                        orderset='ocoshort'
>>         ),
>>         type='exit',
>>         label='ExitShort',
>>         enabled=TRUE)
>> 
>> My question is: which price quantstrat use to sell market by default?
>> - Current Bar Close Price?
>> - Next Bar Open Price?
>> - Next Bar "worst"/"best" Price?
> Assuming you haven't specified "prefer", it will be NULL by default,
> which means getPrice will be called on mktdata with prefer=NULL.  When
> getPrice is called with prefer=NULL, it will search for a column name
> containing "price", "trade", or "close" (in that order) and will
> return the first it finds.
> 
> The transaction will occur on the observation after the order is
> entered, since it's not safe to assume that your order will be filled
> at the price you observed that triggered the order entry.
> 
>> Thanks in advance
>> 
>> Diego
>> 
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> 
> 
> 
> -- 
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com
> R/Finance 2016 | www.rinfinance.com