MarketSell: Execute Market Sell Order

In TickExec: Execution Functions for Tick Data Back Test

Description

(Try) to sell a given instrument at given date and time, by market order. The function can at most penetrate 5 levels of bid prices. For large capital, the average executed price WILL be depressed. There is a possibility that the order will not be fully executed and some holding volumes will remain.

Usage

MarketSell(dir = dir, date, orderTime, dfLog, costOut = 0.001, market = 'SHSZ') 

Arguments

dir	The directory containing the Tick data.
date	the date for placing the order.
orderTime	Time of the day to place the market order.
dfLog	The dataframe generated by buy-orders.
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 = MarketSell(dir = dir, date = 20141014, orderTime = 140001, 
                       dfLog = dfLog, costOut = 0.001, market = 'SHSZ')
                       
## see result ##
dfLogSold

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