ruleRevoke: rule to revoke(cancel) an unfilled limit order on a signal
In redmode/quantstrat: Quantitative Strategy Model Framework

Description Usage Arguments Details Author(s) See Also

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.

1 2	ruleRevoke(data = mktdata, timestamp, sigcol, sigval, orderside = NULL, orderset = NULL, portfolio, symbol, ruletype)

`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`

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.

Niklas Kolster, Jan Humme

osNoOp , add.rule

redmode/quantstrat documentation built on May 27, 2019, 4:04 a.m.