osMaxPos: order sizing function for position limits and level sizing

In naturalsmen/quantstrat: Quantitative Strategy Model Framework

Description

levels are a simplification of more complex (proprietary) techniques sometimes used for order sizing. the max orderqty returned will be the limit/levels Obviously the strategy rules could ask for smaller order sizes, but this is the default. If you don't want to use levels, set them to 1.

Usage

osMaxPos(data, timestamp, orderqty, ordertype, orderside, portfolio, symbol,
  ruletype, digits = 0, ...)

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
orderqty	numeric quantity of the desired order, modified by osFUN
ordertype	one of "market","limit","stoplimit", or "stoptrailing"
orderside	one of either "long" or "short"
portfolio	text name of the portfolio to place orders in
symbol	identifier of the instrument to place orders for. The name of any associated price objects (xts prices, usually OHLC) should match these
ruletype	one of "risk","order","rebalance","exit","enter", see add.rule
digits	call round to round min/max clip size to specified number of digits
...	any other passthru parameters

Details

orderqty='all' in a risk rule will return an order size appropriate to flatten the current position.

Note

TODO integrate orderqty='all' into osMaxPos for non-risk exit orders by combining side and pos for exits

See Also

addPosLimit,getPosLimit

naturalsmen/quantstrat documentation built on May 23, 2019, 12:22 p.m.