submitmultilevelopen: submitmultilevelopen

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

Description

submit multiple open orders while cancel all other orders satisfying the cancel conditions, cancel conditions are specified by cancelallother, cancelprime, cancelsub and cancelnotinthebook.

Usage

submitmultilevelopen(instrumentid, LEVELS = c(1, 2), hands = 1,
  cancelallother = FALSE, cancelprime = FALSE, cancelsub = FALSE,
  DIRECTION = 1, cancelnotinthebook = FALSE)

Arguments

instrumentid	character, instrument identifier.
LEVELS	integer, specifying postions in order book. Orders will be submmited to these positions.
hands	integer, specifying amount to be submitted.
cancelallother,	logical, indicating wehter or not cancel all other orders that satisfying in the order book but with different prices.
cancelprime	cancel all orders with higher priority price
cancelsub	cancel all orders with lower priority price
DIRECTION	integer, specifying trading direction. 1 for long, -1 for short.
cancelnotinthebook	cancel orders not in orderbook

Value

nothing.

See Also

multisubmission cancelall

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