LimitSell: Execute Limit Sell Order

In TickExec: Execution Functions for Tick Data Back Test

Description

(Try) to sell 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

LimitSell(dir = dir, date, dfLog, limitPrice = NA, orderFrom, orderTo = 150000, 
          orderLast = 7 * 3600, costOut = 0.001, market = 'SHSZ') 

Arguments

dir	The directory containing the Tick data.
date	the date for placing the order.
dfLog	The dataframe generated by buy-orders.
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.
costOut	transaction cost for selling.
market	specifying the sub-function to call depending on the market.

Value

The same dataframe dfLog, with corresponding entries updated.

Examples

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

## establish a posiyion to sell ##
dfLog = LimitBuy(dir = dir, date = 20141013, ticker = 000001, capital = 1e6, 
                 limitPrice = NA, orderFrom = 94545, orderLast = 600, 
                 costIn = 0.001, , market = 'SHSZ')

## sell ##
dfLogSold = LimitSell(dir = dir, date = 20141013, dfLog = dfLog, limitPrice = 10.1, 
                      orderFrom = 142020, orderTo = 150000, costOut = 0.001, 
                      market = 'SHSZ') 
                       
## see result ##
dfLogSold

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