[R-SIG-Finance] Quantstrat - extracting current symbol

Brian G. Peterson brian at braverock.com
Fri May 12 11:16:38 CEST 2017

On 05/12/2017 03:58 AM, Oskar Gottlieb wrote:
> I have multiple symbols (futures contracts) of one product and I would like
> to access a data frame with their meta information. I would then parse the
> meta info into an add.indicator argument list. Is there a function, which
> would return the current symbol over which we are looping?

quantstrat would expect the metadata for these symbols to be in 
FinancialInstrument, not in a data.frame.  That is where quantstrat and 
blotter expect to get things like tick size, multiplier, expiration 
date, and currency for each instrument.

Inside quantstrat, there will always be a 'symbol' variable which you 
could access to find out what symbol is currently being processed 
(unless we're in a rebalancing rule, when that doesn't apply).

What I would recommend is to put all your instrument metadata in 
FinancialInstrument (since that is what it is for) and have your 
indicator and signal functions access that data with


To further guess at what you're trying to do, you talk about using this 
list for add.indicator.  I don't understand what you're trying to do 
with that statement.  The strategy object is a specification of how the 
strategy will work.  The indicators, signals, and rules should all work 
on the mktdata passed to them by the applyStrategy function (and inside 
that by applyIndicators, applySignals, applyRules).  So any call to 
add.indicator should be generic for the entire strategy specification.

If you wanted an indicator to do something different based on tenor or 
days to expiration, for example, you'd handle that inside the indicator 
function, not as parameters to the call to add.indicator. (probably 
after calling getInstrument to get the metadata, as described above).

If this hasn't answered your question, perhaps you could follow up with 
something more specific including a *minimal* example.



Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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