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

[Ayhan yuksel]

Thank you very much for the clarification
I will work on it

Regards
Ayhan

On 12 Nov 2020 Thu at 14:28 Brian G. Peterson <brian using braverock.com> wrote:

> The chained order quantity isn't directly passed to the triggered chain
> rule right now.
>
> Rules have access to the full current state, since they are path
> dependent.
>
> So, you have two options here.  You can either
>
> - write a custom order sizing function that queries the order status to
> check the chained rule and order to get the quantity
>
> - propose a patch/pull request to rules.R and ruleSignal.R that could
> process a chain.qty optional argument
>
> see the code in rules.R to see how we pass chain.price, and it should
> inform how you would take either of the above approaches.
>
> Regards,
>
> Brian
>
> --
> Brian G. Peterson
> ph: +1.773.459.4973
> im: bgpbraverock
>
> On Thu, 2020-11-12 at 13:43 +0300, Ayhan yuksel wrote:
> > 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
> > Regards
> >
> >
> >
> >
> >
> > 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'.
> > > >
> > >
> >
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> >
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>
>

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