ruleRevoke: rule to revoke(cancel) an unfilled limit order on a signal

In cloudcell/quantstrat: Quantitative Strategy Model Framework

Description

As described elsewhere in the documentation, quantstrat models orders. All orders in quantstrat are GTC orders, which means that unfilled limit orders have to be canceled manually or replaced by other orders.

Usage

ruleRevoke(data = mktdata, timestamp, sigcol, sigval, orderside = NULL,
  orderset = NULL, portfolio, symbol, ruletype, ...)

Arguments

data	an xts object containing market data. depending on rules, may need to be in OHLCV or BBO formats, and may include indicator and signal information
timestamp	timestamp coercible to POSIXct that will be the time the order will be inserted on
sigcol	column name to check for signal
sigval	signal value to match against
orderside	one of either "long" or "short", default NULL, see details
orderset	tag to identify an orderset
portfolio	text name of the portfolio to place orders in
symbol	identifier of the instrument to revoke orders for
ruletype	must be 'risk' for ruleRevoke, see add.rule
...	any other passthru parameters

Details

This function is used for revoking or canceling the orders based on a signal. Order status will be changed to 'revoked', to separate it from cancelations or replacements from other causes. This may make it easier it decipher the order book to figure out what the strategy ewas doing.

Author(s)

Niklas Kolster, Jan Humme

See Also

osNoOp , add.rule

cloudcell/quantstrat documentation built on May 13, 2019, 8:03 p.m.