[R-SIG-Finance] Quantstrat Position Accounting System: Netting vs Hedging Systems

Ayhan yuksel @yh@nyuk@e|78 @end|ng |rom gm@||@com
Thu Nov 12 11:43:49 CET 2020

One more question to solve my case

We can access the parent rule’s order price using chain.price argument  in
rule functions.

Is it also possible to access parent rule’s order size as well? I searched
but couldn't find it

Assume that the parent order may take variable position size for each
trade. It takes one long position and then adds a second long position
before hitting the stop loss for the first one. After that the stop loss
for the first position is hit. We need to know the position size of the
first trade in writing stop loss rule. Is it possible to access the
position size of the parent rule?

Thanks for your help

On 9 Nov 2020 Mon at 11:09 Ayhan yuksel <ayhanyuksel78 using gmail.com> wrote:

> Thank you for the clarification.
> On Sun, 8 Nov 2020 at 16:21, Ilya Kipnis <ilya.kipnis using gmail.com> wrote:
>> Look at your stoploss rule and the orderqty it calls for. You actively
>> specify orderqty = 'all'. That means to flatten the entire position.
>> As far as a stop loss on a partial position, in your particular case, you
>> can simply set that with a better specified orderqty argument by specifying
>> 100 lots instead of 'all'.

	[[alternative HTML version deleted]]

More information about the R-SIG-Finance mailing list