[R-SIG-Finance] GetOrders with Quantstrat

[Ryan Crawford]

Hello

I have been trying to view "open" orders from the orderbook in Quantstrat
and keep running into the same error.

It seems a reasonably simple process however the error I get is:

oB <- getOrders(portfolio.st, symbols, status="open")

Error in orderbook[[portfolio]][[symbol]] :
  recursive indexing failed at level 2

I've searched extensively and I can't seem to pinpoint the issue.

Below is a reproducible example that generates the error.

Thank you in advance for any help.


require(quantstrat)
require(IKTrading)

# 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="2016-04-04")

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

#Boilerplate
from = "2010-01-01"
to = "2016-04-04"

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

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

#Add Indicators
add.indicator(strategy.st, name="SMA",
              arguments=list(x=quote(Cl(mktdata)), n=20),
              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")

#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,
                        time.in.force=172800,
                        orderqty=tradeSize,
                        osFUN=osMaxDollar,
                        tradeSize=tradeSize,
                        maxSize=tradeSize),
         type="enter",
         path.dep=TRUE,
         label="enterlong")

#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
out2 <- applyStrategy(strategy=strategy.st,portfolios=portfolio.st )

#get open orders
oB <- getOrders(portfolio.st, symbols, status="open")

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