Description Usage Arguments Details See Also
Many strategies will not be allowed to trade unconstrained. Typically, constraints will include position sizing limits.
1 2 | addPosLimit(portfolio, symbol, timestamp, maxpos, longlevels = 1,
minpos = -maxpos, shortlevels = longlevels)
|
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 |
timestamp |
timestamp coercible to POSIXct that will be the time the order will be inserted on |
maxpos |
numeric maximum long position for symbol |
longlevels |
numeric number of levels |
minpos |
numeric minimum position, default -minpos (short allowed use negative number) |
shortlevels |
numeric number of short levels, default longlevels |
addPosLimit
works with osMaxPos
to set
and enforce position sizing limits. If levels=1
,
then all order sizing will be in the complete control of
the strategy rules, up to the maximum position specified
using addPosLimit
's maxpos
and minpos
arguments.
Simply setting a position limit will not do anything. The
strategy entry rules also need to specify an the use of
order sizing function osMaxPos
, most
typically as an argument to ruleSignal
.
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.
It is also important to note that position limits may be
time-varying. If you only want one static maximum position
limit, then call addPosLimit
with a timestamp
argument before your first trade. If you want time varying
limits, typically in response to some rebalancing rule or
risk rule, set the timestamp
at the time which you
wish the limit to take effect.
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