I was wondering why you thought the bug I fixed had to do with stoplimits.

I think I understand the problem now.  I'll take a look.

On Fri, Jul 22, 2011 at 11:49 AM, microlino <h.stegmann@onlinehome.de>wrote:

> Thank you, Garrett!
>
> However, unfortunately, it still does not work... The result is not
> different from the original version.
>
> As you can see from the orderbook below, a buy order at Close price is
> placed whenever the signal is TRUE, i.e. after every bar that closes >1.41.
> Simultaneously, a stoplimit order is placed along with every buy order at
> the buy price -0.02. So far, so good.
>
> What I expect is that every stoplimit order will be closed later through
> the
> provided example data set, as price falls further. However, only one of the
> stoplimit orders is closed, I have highlighted it below. It seems that the
> stoplimits are closed only if (price < buyprice - 0.02) AND (signal ==
> TRUE). You can easily see this logic in my example if you use a buy
> threshold lower than 1.41.
>
> Closing of a simple stoplimit should be triggered by price only, at least
> this is what I think it should do. Are stoplimit orders defined differently
> in quantstrat, so I need to code another signal that controls the stoplimit
> orders separately, somehow?
>
> Heiko
>
> Index Order.Qty Order.Price Order.Type Order.Side Order.Threshold
> Order.Status Order.StatusTime Order.Set Txn.Fees
> 1999-01-04 00:00:00 0 NA init long 0 closed 1999-01-04 1 0
> 2010-11-03 17:00:00 -1000 1.3903 stoplimit long -0.02 open NA NA 0
> 2010-11-03 17:00:00 1000 1.4103 market long NA closed 2010-11-03 21:00:00
> NA
> 0
> 2010-11-03 21:00:00 -1000 1.3923 stoplimit long -0.02 open NA NA 0
> 2010-11-03 21:00:00 1000 1.4123 market long NA closed 2010-11-04 01:00:00
> NA
> 0
> 2010-11-04 01:00:00 -1000 1.3923 stoplimit long -0.02 open NA NA 0
> 2010-11-04 01:00:00 1000 1.4123 market long NA closed 2010-11-04 05:00:00
> NA
> 0
> 2010-11-04 05:00:00 -1000 1.3935 stoplimit long -0.02 open NA NA 0
> 2010-11-04 05:00:00 1000 1.4135 market long NA closed 2010-11-04 09:00:00
> NA
> 0
> 2010-11-04 09:00:00 -1000 1.4025 stoplimit long -0.02 open NA NA 0
> 2010-11-04 09:00:00 1000 1.4225 market long NA closed 2010-11-04 13:00:00
> NA
> 0
> *2010-11-04 13:00:00 -1000 1.4052 stoplimit long -0.02 closed 2010-11-05
> 13:00:00 NA 0*
> 2010-11-04 13:00:00 1000 1.4252 market long NA closed 2010-11-04 17:00:00
> NA
> 0
> 2010-11-04 17:00:00 -1000 1.4008 stoplimit long -0.02 open NA NA 0
> 2010-11-04 17:00:00 1000 1.4208 market long NA closed 2010-11-04 21:00:00
> NA
> 0
> 2010-11-04 21:00:00 -1000 1.4012 stoplimit long -0.02 open NA NA 0
> 2010-11-04 21:00:00 1000 1.4212 market long NA closed 2010-11-05 01:00:00
> NA
> 0
> 2010-11-05 01:00:00 -1000 1.4009 stoplimit long -0.02 open NA NA 0
> 2010-11-05 01:00:00 1000 1.4209 market long NA closed 2010-11-05 05:00:00
> NA
> 0
> 2010-11-05 05:00:00 -1000 1.3985 stoplimit long -0.02 open NA NA 0
> 2010-11-05 05:00:00 1000 1.4185 market long NA closed 2010-11-05 09:00:00
> NA
> 0
> 2010-11-05 09:00:00 -1000 1.3901 stoplimit long -0.02 open NA NA 0
> 2010-11-05 09:00:00 1000 1.4101 market long NA closed 2010-11-05 13:00:00
> NA
> 0
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Quantstrat-stoplimit-orders-not-triggered-tp3673706p3687209.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
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