order-placement: Order placement

In DavisVaughan/flyingfox: An Interface to the Quantopian Zipline Financial Backtester

Description

Place various types of orders according to amounts, percentages, and targets. Orders can be specified as market, limit, stop, or stop-limit.

Usage

fly_order(asset, amount, limit_price = NULL, stop_price = NULL,
  style = NULL)

fly_order_value(asset, value, limit_price = NULL, stop_price = NULL,
  style = NULL)

fly_order_percent(asset, percent, limit_price = NULL, stop_price = NULL,
  style = NULL)

fly_order_target(asset, target, limit_price = NULL, stop_price = NULL,
  style = NULL)

fly_order_target_value(asset, target, limit_price = NULL, stop_price = NULL,
  style = NULL)

fly_order_target_percent(asset, target, limit_price = NULL,
  stop_price = NULL, style = NULL)

Arguments

asset	The asset that this order is for.
amount	An integer. The amount of shares to order. If amount is positive, this is the number of shares to buy or cover. If amount is negative, this is the number of shares to sell or short.
limit_price	Optional. The limit price for the order.
stop_price	Optional. The stop price for the order.
style	The execution style for the order. The default is MarketOrder. See ?MarketOrder for other execution styles.
value	If the requested asset exists, the requested value is divided by its price to imply the number of shares to transact. If the Asset being ordered is a Future, the <e2><80><98>value<e2><80><99> calculated is actually the exposure, as Futures have no <e2><80><98>value<e2><80><99>. If positive, buy/cover. If negative, sell/short.
percent	The percentage of the portfolio value to allocate to asset. This is specified as a decimal, for example: 0.50 means 50 percent.
target	The new amount, value, or percent to adjust to depending on the order target function called.

Details

The limit_price and stop_price arguments provide shorthands for passing common execution styles. Passing limit_price=N is equivalent to style=LimitOrder(N). Similarly, passing stop_price=M is equivalent to style=StopOrder(M), and passing limit_price=N and stop_price=M is equivalent to style=StopLimitOrder(N, M). It is an error to pass both a style and limit_price or stop_price.

• fly_order() - Place an order.

• fly_order_value() - Place an order by desired value rather than desired number of shares.

• fly_order_percent() - Place an order in the specified asset corresponding to the given percent of the current portfolio value.

• fly_order_target(), fly_order_target_value(), fly_order_target_percent() - Place an order to adjust a position to a target number of shares, value, or percent. If the position doesn<e2><80><99>t already exist, this is equivalent to placing a new order. If the position does exist, this is equivalent to placing an order for the difference between the target number of shares, value, or percent and the current number of shares, value, or percent.

Zipline Documentation

• fly_order()

• fly_order_value()

• fly_order_percent()

• fly_order_target()

• fly_order_target_value()

• fly_order_target_percent()

DavisVaughan/flyingfox documentation built on May 5, 2019, 12:28 a.m.