Description Usage Arguments Details Note See Also
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.
1 2 |
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
|
... |
any other passthru parameters |
orderqty='all'
in a risk rule will return an order
size appropriate to flatten the current position.
TODO integrate orderqty='all' into osMaxPos for non-risk exit orders by combining side and pos for exits
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