LimitBuy: Execute Limit Buy Order

In TickExec: Execution Functions for Tick Data Back Test

Description

(Try) to buy a given instrument at given date and time slot, by limit order. If limit price was not given, then use the last trading price as limit price. If both 'orderTo' and 'orderLast' was given, then the smaller one will be adopted.

Usage

LimitBuy(dir = dir, date, ticker, capital, limitPrice = NA, orderFrom, 
         orderTo = 150000, orderLast = 7 * 3600, costIn = 0.001,
         market = 'SHSZ')

Arguments

dir	The directory containing the Tick data.
date	the date for placing the order.
ticker	ticker for traget instrument, characters or numbers are both acceptable.
capital	amount of money wanted to fully invested on the instrument.
limitPrice	the limit price to sell.
orderFrom	time of the order being placed.
orderTo	time of the order being withdrawed.
orderLast	duration of the order, in seconds.
costIn	transaction cost for buying.
market	specifying the sub-function to call depending on the market.

Value

A dataframe, with corresponding summary statistics.

Examples

## locate tick data directory ##
dir <- system.file("extdata", '', package = "TickExec")

## Execute order, given duration ##
dfLog1 = LimitBuy(dir = dir, date = 20141013, ticker = 000001, capital = 1e6, 
                 limitPrice = NA, orderFrom = 94545, orderLast = 600, 
                 costIn = 0.001, market = 'SHSZ')
                 
## Execute order, given ending time ##
dfLog2 = LimitBuy(dir = dir, date = 20141013, ticker = 000001, capital = 1e6, 
                 limitPrice = NA, orderFrom = 94545, orderTo = 100001, 
                 costIn = 0.001, market = 'SHSZ')
                  
## see result ##
dfLog1
dfLog2

TickExec documentation built on May 2, 2019, 9:58 a.m.