Hi,

My mktdata has vwap1, vwap2, price, Bid, Ask and some other indicators and
signals created through quantstrat. In my add.rule, I specify,

stratVwap <- add.rule(strategy=stratVwap,name="ruleSignal",
                arguments=list(sigcol="pvcx.gt",sigval=TRUE, orderqty=1,
                                ordertype='market', orderside=NULL,
                                replace=FALSE,pricemethod='market',
FUN=osMaxPos),
                                type='enter', path.dep=TRUE);

Compared to previously, I had (note the prefer attribute).

stratVwap <- add.rule(strategy=stratVwap,name="ruleSignal",
                arguments=list(sigcol="pvcx.gt",sigval=TRUE, orderqty=1,
                                ordertype='market', orderside=NULL,
                                replace=FALSE,pricemethod='market',
FUN=osMaxPos, prefer="price"),
                                type='enter', path.dep=TRUE);

There is dramatic difference now. I do not see as many trades as there were
when I have attribute prefer="price" on. Looking at quantstrat code, I
believe with ordertype="market", it should pick up either "Bid" or "Ask"
based on the sign of my orderqty. I also had checked that there are 580
instances where pvcx.gt=1. However, when mktdata contains Bid and Ask, I
only got 1 trades. I am wondering what is going on here. Thank you.

Happy holidays.

Robert

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