[R-SIG-Finance] stoplimit market price with OHLC
diegoperoni at vodafone.it
Sat Apr 2 18:22:42 CEST 2016
I didn't find this information reading the docs.
> 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,
>> 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
>> R-SIG-Finance at r-project.org mailing list
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>> -- Also note that this is not the r-help list where general R questions
>> should go.
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
> R/Finance 2016 | www.rinfinance.com
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