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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.

Deze oefening maakt deel uit van de cursus

Financial Trading in R

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Oefeninstructies

  • Set the prefer argument to "Open".

Praktische interactieve oefening

Probeer deze oefening eens door deze voorbeeldcode in te vullen.

# 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")
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