CommencerCommencer gratuitement

Specifying prefer in add.rule()

Lastly, of the basic rule arguments, there is the aspect of the prefer argument. In quantstrat, orders have a "next-bar" mechanism. That is, if you would gain a signal on Tuesday, the earliest that a position would actually fulfill itself would be on the Wednesday after. However, this can be solved by placing orders to execute on the next possible opening price, rather than wait for an entire day to pass before being able to actually purchase/sell the asset.

Cet exercice fait partie du cours

Financial Trading in R

Afficher le cours

Instructions

  • Set the prefer argument to "Open".

Exercice interactif pratique

Essayez cet exercice en complétant cet exemple de code.

# Fill in the prefer argument in add.rule()
add.rule(strategy.st, name = "ruleSignal", 
         arguments = list(sigcol = "thresholdexit", sigval = TRUE, orderqty = "all", 
                        ordertype = "market", orderside = "long", 
                        replace = FALSE, prefer = "___"), 
         type = "exit")
Modifier et exécuter le code