addOrder: add an order to the order book

Description Usage Arguments Details See Also

View source: R/orders.R

Description

It is important to understand that all the order functionality included in quantstrat exists to more closely model a real trading environment both in backtesting and in production. Many backtesting systems make a set of assumptions about instant execution, and we have chosen not to do this in quantstrat, because real quantitative trading systems do not have instant execution. They make decisions (the Rules) and then enter orders (the province of this function in backtesting), during which there is some delay between receiving the data that fires the Signal and Rule, and the time the order reaches the market, and then those orders MAY become transactions if market prices and liquidity cooperate.

Usage

1
2
3
4
5
addOrder(portfolio, symbol, timestamp, qty, price, ordertype, side,
  threshold = NULL, orderset = "", status = "open",
  statustimestamp = "", prefer = NULL, delay = 1e-05, tmult = FALSE,
  replace = TRUE, return = FALSE, ..., TxnFees = 0, label = "",
  time.in.force = "")

Arguments

portfolio

text name of the portfolio to associate the order book with

symbol

identfier of the instrument to find orders for. The name of any associated price objects (xts prices, usually OHLC) should match these

timestamp

timestamp coercible to POSIXct that will be the time to search for orders before this time

qty

numeric quantity of the order, or "all" or "trigger"

price

numeric price at which the order is to be inserted

ordertype

one of "market","limit","stoplimit", "stoptrailing" or "iceberg"

side

one of either "long" or "short"

threshold

numeric threshold to apply to limit, stoplimit, stoptrailing and iceberg orders, default NULL

orderset

set a tag identifying the orderset

status

one of "open", "closed", "canceled", "revoked", or "replaced", default "open"

statustimestamp

timestamp of a status update, will be blank when order is initiated

prefer

the prefered order price (eg. 'Close')

delay

what delay to add to timestamp when inserting the order into the order book, in seconds

tmult

if TRUE, threshold is a percent multiplier for price, not a scalar. Threshold is converted to a scalar by multiplying it with the price at the time of order entry (i.e. the scalar will not change if the order is updated, as in the case of a trailing stop), then it is added to the price just like a scalar threshold.

replace

TRUE/FALSE, whether to replace any other open order(s) on this symbol with the same properties as this order, default TRUE, see Details

return

if TRUE, return the row that makes up the order, default FALSE (will assign into the environment)

TxnFees

numeric fees (usually negative) or function name for calculating TxnFees (processing happens later, not in this function)

label

text label, default to ”, set to rule label by ruleSignal

time.in.force

timestamp time-in-force; either a time stamp, or a number of seconds, or 'GTC' / ”, 'GTC' and ” both meaning 'Good Till Canceled'; order expires if still 'open' at this timestamp, default is ”

...

any other passthru parameters

Details

By default, this function will locate and replace any 'open' order(s) on the requested portfolio/symbol that have the same order type and side. If an orderset is also specified and replace=TRUE, all open orders for the orderset will be replaced. If you do not want open orders to be canceled and replaced with the new order, set replace=FALSE.

We have modeled a 'limit' order, used to enter or exit a position at a specific price, determined by the prefered price (see prefer) plus threshold (see below).

We have modeled two types of stop orders, which should be sufficient to model most types of stops.

We have modeled the simplest type, a 'stoplimit' order, which is just a limit order used to enter or exit a position at a specific price, determined by the prefered price (see prefer) plus threshold (see below). The stoplimit order type can be used to implement both stop-enter (long/buy or short/sell) and stop-loss (long/sell or short/buy) style limit orders. There is no functional difference between a regular 'limit' order and a 'stoplimit' order once entered into the order book, but the distinction will likely be useful for reporting on when stops have been triggered.

We have also modeled a 'stoptrailing' order, which may be used to model dynamic limit-based exit. The threshold will be calculated only once upon order entry (see below) and remain fixed for the life span of the order. In this way, a 10 pct trailing exit will not change in size from the current price as the price changes. Be aware that a stoptrailing order may be moved ("replaced") frequently.

Some markets and brokers recognize a stop that triggers a market order, when the stop is triggered, a market order will be executed at the then-prevailing price. We have not modeled this type of order.

We have also added the 'iceberg' order type. This order type should most often be paired with delay and osMaxPos. The iceberg order when initially entered is treated like a limit order, with an optional threshold (which is applied at initial order entry, so be careful). Right now, they will enter a new order at price+threshold upon any execution of the prior iceberg order. This process could be infinite if osMaxPos or an equivalent order sizing function is not used to limit total position size. An order delay is also advisable to model the delay that occurs between getting the trade confirmation of the previous trade and entering the new order into the order book.

The 'limit', 'stoplimit', 'stoptrailing' and 'iceberg' order types are the only order types that make use of the order threshold. Thresholds may be specified in one of 2 ways: as a scalar (tmult=FALSE) or as a multiplier for the current price (tmult=TRUE). If tmult=TRUE, threshold is converted to a scalar by multiplying it with the price at the time of order entry, and the scalar will not change if the order is updated.

The threshold is then added to the prefered order price upon order entry. The correct sign for the threshold (pos or neg, ie. add or subtract) is automagically figured out from the order side and the order quantity (buy or sell); if the user provides the wrong sign for the threshold, then it will be reversed. In other words, the user may provide all thresholds as a positive number, and the software will automagically figure out whether to add or subtract the threshold amount from the price.

If you ever wanted to move from a backtesting mode to a production mode, this function (and the linked funtion ruleOrderProc) would need to be replaced by functions that worked against your execution environment. Basically, the execution environment must provide three interfaces in a live trading environment:

  1. a market data interface to provide updated market data, usually accessed in an event loop

  2. an order interface for sending orders (and canceling or updating them) to the market

  3. a fill interface that reports the transaction details when an order has been filled

Conversion to a live trading environment will also likely require a new version of applyStrategy to provide the event loop interface and interact with mktdata.

See Also

getOrderBook

updateOrders


naturalsmen/quantstrat documentation built on May 23, 2017, 10:38 a.m.