[R-SIG-Finance] Long Enter Position do not "block" Short Enter Orders

[Ilya Kipnis]

Short orders do not by default cancel long orders. You need to have them in
the same order set.

On Mon, Apr 11, 2016 at 6:39 AM, Diego Peroni <diegoperoni at vodafone.it>
wrote:

> Hi all,
>
> my simple strategy sets long/short ENTER orders and relative long/short
> EXIT orders.
>
> I don't understand why, if I have an open LONG position, SHORT enter order
> triggers (wrongly closing open position...).
>
> My desire is that if I already have an OPEN position (long) "opposite"
> orders (short enter) do not triggers.
>
> Thanks in advance for your help
>
> Diego
>
>
> #################################
> # MAX POSITION (1 future)
> #################################
> addPosLimit(portfolio = qs.strategy, symbol = symbol, timestamp =
> initDate, maxpos = 1)
>
> #################################
> # LONG STRATEGY
> #################################
> add.rule(qs.strategy, name='ruleSignal',
>          arguments = list(sigcol="upTrend", sigval=TRUE,
>                           replace=TRUE,
>                           prefer='Open',
>                           orderside='long',
>                           ordertype='stoplimit',
> order.price=quote(mktdata$price.enter.long[timestamp]),
>                           orderqty=1,
>                           osFUN='osMaxPos',
>                           time.in.force=quote(timeInForceLong)),
>          type='enter',
>          label='LE')
> add.rule(qs.strategy, name='ruleSignal',
>          arguments=list(sigcol='exitLong', sigval=TRUE,
>                         replace=FALSE,
>                         orderside='long',
>                         ordertype='market',
>                         orderqty='all',
>                         prefer='Open'
>          ),
>          type='exit',
>          label='ExitLong',
>          enabled=TRUE)
>
> #################################
> # SHORT STRATEGY
> #################################
> add.rule(qs.strategy, name='ruleSignal',
>          arguments=list(sigcol="downTrend", sigval=TRUE,
>                         replace=TRUE,
>                         prefer='Open',
>                         orderside='short',
>                         ordertype='stoplimit',
> order.price=quote(mktdata$price.enter.short[timestamp]),
>                         orderqty=-1,
>                         osFUN='osMaxPos',
>                         time.in.force=quote(timeInForceShort)),
>          type='enter',
>          label='SE')
> add.rule(qs.strategy, name='ruleSignal',
>          arguments=list(sigcol='exitShort', sigval=TRUE,
>                         replace=FALSE,
>                         orderside='short',
>                         ordertype='market',
>                         orderqty='all',
>                         prefer='Open'
>          ),
>          type='exit',
>          label='ExitShort',
>          enabled=TRUE)
>
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