[R-SIG-Finance] GetOrders with Quantstrat

[Joshua Ulrich]

On Tue, Apr 5, 2016 at 4:26 AM, Ryan Crawford <suchislife27 at gmail.com> wrote:
> 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.
>
While reproducible, a strategy with 22 symbols isn't minimal.
Regardless, I ran your code, but no orders are created and lots of
warnings are generated by IKTrading function(s).

I also get a different error when calling getOrders():
"Error in orderbook[[portfolio]][[symbol]] : no such index at level 2".
...which is reasonable, given there are no orders.

>
> 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")
>
>         [[alternative HTML version deleted]]
>
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-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
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