[R-SIG-Finance] Delayed orders

Fri Sep 23 15:28:08 CEST 2022

Hi Mike

I can take a closer look. Would you mind logging your questions as issues
on the project repo?

https://github.com/braverock/quantstrat/issues/new

Thanks
Jasen

On Fri, Sep 23, 2022 at 8:58 AM Mike <mike9 using posteo.nl> wrote:

> I reduced my yesterday's strategy to isolate an issue with delayed
> orders.
>
> The following strategy I would expect to issue an order at
> 2021-01-26 09:30:00 but (in the 2. run) to delay execution by one day.
> But although the order is being delayed in the order book the trade is
> still executed at 2021-01-26 09:30:00.
>
> Why does setting 'delay' in 'ruleSignal' have no effect on execution
> time?
>
> Thanks!
>
> Mike
> ----------
>
> > source('test_strategy2.R')
> [1] "delay=1e-04"
>            ^^^^^
> [1] "2021-01-26 09:30:00 SYM 100 @ 61.24"
>              ^^ok
> $str2
> $str2$SYM
>                     Order.Qty Order.Price Order.Type Order.Side
> Order.Threshold
> 2021-01-25 15:30:00 "100"     "60.58"     "market"   "long"     NA
>
>         ^^ok
>                     Order.Status Order.StatusTime      Prefer Order.Set
> 2021-01-25 15:30:00 "closed"     "2021-01-26 09:30:00" "High" NA
>                     Txn.Fees Rule        Time.In.Force
> 2021-01-25 15:30:00 "0"      "EnterLONG" ""
>
>
> > source('test_strategy2.R')
> [1] "delay=86400"
>            ^^^^^
> [1] "2021-01-26 09:30:00 SYM 100 @ 61.24"
>              ^^^^^^^^^^^?
> $str2
> $str2$SYM
>                     Order.Qty Order.Price Order.Type Order.Side
> Order.Threshold
> 2021-01-26 15:30:00 "100"     "60.58"     "market"   "long"     NA
>
>         ^^^^^^^^^^^ok
>                     Order.Status Order.StatusTime      Prefer Order.Set
> 2021-01-26 15:30:00 "closed"     "2021-01-26 09:30:00" "High" NA
>                     Txn.Fees Rule        Time.In.Force
> 2021-01-26 15:30:00 "0"      "EnterLONG" ""
> ----------
>
> test_strategy2.R:
> library(quantstrat)
>
> suppressWarnings(rm("account.str2","portfolio.str2",pos=.blotter))
> suppressWarnings(rm("order_book.str2",pos=.strategy))
>
> oldtz<-Sys.getenv("TZ")
> if(oldtz=="") Sys.setenv(TZ="UTC")
>
> sy <- 'SYM'
> fn <- paste0(sy,".csv")
> tmp <- as.xts (read.csv2.zoo (fn, header=T, stringsAsFactors=F,
>         dec = ".", FUN=as.POSIXct))
> assign(sy, tmp)
>
> tradeSize <- 5000
> initEq <- 100000
> delay_seconds <- 1 * 24*60*60
>
> currency("USD")
> stock(sy, currency="USD",multiplier=1)
>
> initPortf('str2', symbols=sy)
> initAcct('str2', portfolios='str2', initEq=initEq)
> initOrders(portfolio='str2')
>
> strategy.st <- 'str2'
> strategy (strategy.st, store=TRUE)
>
>
> add.rule(strategy.st, name='ruleSignal', arguments = list(
>         sigcol = "Long",
>         sigval = TRUE,
>         ordertype = 'market',
>         prefer = 'High',
>         orderside = 'long',
>         delay = delay_seconds,
>         orderqty = 100),
>   type='enter',
>   label='EnterLONG')
>
>
> print(paste0("delay=", delay_seconds))
> out<-try(applyStrategy(strategy='str2' , portfolios='str2'))
> print(getOrderBook('str2'))
>
> updatePortf(Portfolio='str2')
> updateAcct('str2')
> updateEndEq('str2')
>
> Sys.setenv(TZ=oldtz)
> ----------
>
> SYM.csv:
> Index;Open;High;Low;Close;Volume;Long
> 2021-01-25 09:30:00;60.67;60.77;59.705;59.98;4841167;0
> 2021-01-25 10:00:00;59.98;60.31;59.955;59.992;2331090;0
> 2021-01-25 10:30:00;59.99;60.155;59.64;59.69;2011158;0
> 2021-01-25 11:00:00;59.6771;59.76;59.26;59.38;2717999;0
> 2021-01-25 11:30:00;59.38;59.79;59.17;59.67;1758438;0
> 2021-01-25 12:00:00;59.675;59.85;59.4601;59.4601;1536049;0
> 2021-01-25 12:30:00;59.475;59.93;59.47;59.9;1212432;0
> 2021-01-25 13:00:00;59.9;60.37;59.875;60.32;1461132;0
> 2021-01-25 13:30:00;60.32;60.42;60.185;60.23;970523;0
> 2021-01-25 14:00:00;60.24;60.29;59.94;60;971210;0
> 2021-01-25 14:30:00;60;60.24;59.88;60.06;1038065;0
> 2021-01-25 15:00:00;60.055;60.4;60.04;60.345;931919;0
> 2021-01-25 15:30:00;60.35;60.58;60.3;60.56;2135034;1
> 2021-01-26 09:30:00;61.2;61.24;60.087;60.335;2512210;0
> 2021-01-26 10:00:00;60.335;60.9;60.29;60.78;1768021;0
> 2021-01-26 10:30:00;60.78;60.87;60.408;60.445;1173861;0
> 2021-01-26 11:00:00;60.45;60.56;60.15;60.52;1085131;0
> 2021-01-26 11:30:00;60.51;60.53;60.19;60.33;919405;0
> 2021-01-26 12:00:00;60.33;60.68;60.31;60.65;1130399;0
> 2021-01-26 12:30:00;60.645;60.95;60.63;60.915;756772;0
> 2021-01-26 13:00:00;60.92;61.04;60.81;60.875;848270;0
> 2021-01-26 13:30:00;60.87;60.95;60.73;60.805;822825;0
> 2021-01-26 14:00:00;60.8;61.15;60.78;60.95;989872;0
> 2021-01-26 14:30:00;60.95;60.98;60.81;60.9;1001693;0
> 2021-01-26 15:00:00;60.9;60.93;60.73;60.86;854300;0
> 2021-01-26 15:30:00;60.85;60.93;60.67;60.91;3214855;0
> 2021-01-27 09:30:00;59.9;59.99;58.53;58.98;3972687;0
> 2021-01-27 10:00:00;58.97;59.43;58.74;59.37;2386966;0
> 2021-01-27 10:30:00;59.375;59.85;59.13;59.81;2147582;0
> 2021-01-27 11:00:00;59.82;59.86;59.44;59.69;1273143;0
> 2021-01-27 11:30:00;59.6998;59.76;59.4;59.45;1183463;0
> 2021-01-27 12:00:00;59.45;60;59.35;59.41;1359946;0
> 2021-01-27 12:30:00;59.41;59.62;59.31;59.565;570512;0
> 2021-01-27 13:00:00;59.565;59.868;59.44;59.76;761216;0
> 2021-01-27 13:30:00;59.76;59.765;59.45;59.58;623576;0
> 2021-01-27 14:00:00;59.585;59.7;59.37;59.42;897427;0
> 2021-01-27 14:30:00;59.425;59.625;59.21;59.3283;2123241;0
> 2021-01-27 15:00:00;59.33;59.83;59.2;59.67;1558001;0
> 2021-01-27 15:30:00;59.66;59.7;59.17;59.4;3507501;0
>
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