[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
getInstrument(symbol)
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.
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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