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

[Diego Peroni]

Thank you Ilya,

I've placed orderset='ocoall' in both ENTER orders (named "LE" and "SE") 
as in the following code but testing them I have the same problem: long 
positions are closed by short (enter) positions...
Can you please tell me what I'm doing wrong?

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',
                           orderset='ocoall',
                           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',
                         orderset='ocoall',
                         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)





On 11/04/2016 15:05, Ilya Kipnis wrote:
> 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 
> <mailto: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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