multisubmission: multisubmission

In chenhaotian/High-Frequency-Trading-Simulation-System: High-Frequency Trading Simulation System

Description

submit multiple orders, a simple wrapper of ordersubmission. instrumentid, direction, price, hands and action must be of length one or the same length with the number of orders; orderid must be of length zero or the same length with the number of orders!

Usage

multisubmission(instrumentid = "qtid", orderid = NULL, direction = 1,
  price = NULL, hands = 1, action = "open", timeoutlist = FALSE,
  timeoutchase = FALSE, timeoutsleep = 1, chaselist = FALSE,
  chasesleep = 1)

Arguments

instrumentid	character, instrument identifier
orderid	character, if length(orderid)==0 (default), multisubmission will generate a random id for each order
direction	integer, specifying trading direction. 1 for long, -1 for short.
price	numeric, specifiying order pirce.default NULL. NOTE: when price=0, ordersubmission will submit a market order; when price=NULL, ordersubmission() will take the corresponding bid1 or ask1 price as order price.
hands	integer, specifying hands to be submitted.
action	character, action can take value from one of "open","close", "closetoday","closepreday" and "cancel". hands submitted in action='close' can not be greater than the sum of current holdings and queuing open hands.
timeoutlist	logical, specyfing wether to give current order a timeout interval, the length of the interval is specified by timeoutsleep. if the order hasn't been executed after a time interval greater than timeoutsleep, the order will be canceled.
timeoutchase	logical, indicating whether to chase order when timeout.
timeoutsleep	numeric, specifying the timeout inverval in seconds.
chaselist	logical, specifying wether to put this order to auto-chase list. if the order hasn' been executed for a time inverval longer than chasesleep, the simulator will cancel this order(if needed), then submit a new one with the sampe hands and a price equal to the bid1/ask1 price. the simulator will repeat this action until the original submitted amount is executed.
chasesleep	numeric, specifying the time interval between each execution check. In seconds.

Value

order status code.

See Also

ordersubmission timeoutchasesubmission timeoutsubmission chasesubmission

Examples

## Not run: 
## submit an one hand long open order at each bid price of TF1512.
multisubmission(instrumentid="TF1512",orderid=NULL,direction=1,
                price=orderbook$buybook$price,hands=1,action='open')

## End(Not run)

chenhaotian/High-Frequency-Trading-Simulation-System documentation built on May 13, 2019, 3:52 p.m.