Quantstrat stoplimit orders not triggered
Patch committed to svn 697. Let me know if there are still issues. Garrett Now, with your original test script and data (which are attached for ease of reference) you can get this:
ob$FXportf$EURUSD
Order.Qty Order.Price Order.Type Order.Side
Order.Threshold Order.Status Order.StatusTime Order.Set Txn.Fees
1999-01-04 00:00:00 "0" NA "init" "long" "0"
"closed" "1999-01-04" "1" "0"
2010-11-03 11:00:00 "-1000" "1.3903" "stoplimit" "long" "-0.02"
"closed" "2010-11-08 02:00:00" NA "0"
2010-11-03 11:00:00 "1000" "1.4103" "market" "long" NA
"closed" "2010-11-03 15:00:00" NA "0"
2010-11-03 15:00:00 "-1000" "1.3923" "stoplimit" "long" "-0.02"
"closed" "2010-11-07 18:00:00" NA "0"
2010-11-03 15:00:00 "1000" "1.4123" "market" "long" NA
"closed" "2010-11-03 19:00:00" NA "0"
2010-11-03 19:00:00 "-1000" "1.3923" "stoplimit" "long" "-0.02"
"closed" "2010-11-07 18:00:00" NA "0"
2010-11-03 19:00:00 "1000" "1.4123" "market" "long" NA
"closed" "2010-11-03 23:00:00" NA "0"
2010-11-03 23:00:00 "-1000" "1.3935" "stoplimit" "long" "-0.02"
"closed" "2010-11-07 18:00:00" NA "0"
2010-11-03 23:00:00 "1000" "1.4135" "market" "long" NA
"closed" "2010-11-04 03:00:00" NA "0"
2010-11-04 03:00:00 "-1000" "1.4025" "stoplimit" "long" "-0.02"
"closed" "2010-11-05 11:00:00" NA "0"
2010-11-04 03:00:00 "1000" "1.4225" "market" "long" NA
"closed" "2010-11-04 07:00:00" NA "0"
2010-11-04 07:00:00 "-1000" "1.4052" "stoplimit" "long" "-0.02"
"closed" "2010-11-05 07:00:00" NA "0"
2010-11-04 07:00:00 "1000" "1.4252" "market" "long" NA
"closed" "2010-11-04 11:00:00" NA "0"
2010-11-04 11:00:00 "-1000" "1.4008" "stoplimit" "long" "-0.02"
"closed" "2010-11-07 18:00:00" NA "0"
2010-11-04 11:00:00 "1000" "1.4208" "market" "long" NA
"closed" "2010-11-04 15:00:00" NA "0"
2010-11-04 15:00:00 "-1000" "1.4012" "stoplimit" "long" "-0.02"
"closed" "2010-11-07 18:00:00" NA "0"
2010-11-04 15:00:00 "1000" "1.4212" "market" "long" NA
"closed" "2010-11-04 19:00:00" NA "0"
2010-11-04 19:00:00 "-1000" "1.4009" "stoplimit" "long" "-0.02"
"closed" "2010-11-07 18:00:00" NA "0"
2010-11-04 19:00:00 "1000" "1.4209" "market" "long" NA
"closed" "2010-11-04 23:00:00" NA "0"
2010-11-04 23:00:00 "-1000" "1.3985" "stoplimit" "long" "-0.02"
"closed" "2010-11-07 18:00:00" NA "0"
2010-11-04 23:00:00 "1000" "1.4185" "market" "long" NA
"closed" "2010-11-05 03:00:00" NA "0"
2010-11-05 03:00:00 "-1000" "1.3901" "stoplimit" "long" "-0.02"
"closed" "2010-11-08 02:00:00" NA "0"
2010-11-05 03:00:00 "1000" "1.4101" "market" "long" NA
"closed" "2010-11-05 07:00:00" NA "0"
getPortfolio("FXportf")$symbols$EURUSD$txn
Txn.Qty Txn.Price Txn.Value Txn.Avg.Cost Pos.Qty Pos.Avg.Cost Gross.Txn.Realized.PL Txn.Fees Net.Txn.Realized.PL Con.Mult 1999-01-04 00:00:00 0 0.0000 0.0 0.0000 0 0.000000 0.00000 0 0.00000 0 2010-11-03 15:00:00 1000 1.4123 1412.3 1.4123 1000 1.412300 0.00000 0 0.00000 1 2010-11-03 19:00:00 1000 1.4123 1412.3 1.4123 2000 1.412300 0.00000 0 0.00000 1 2010-11-03 23:00:00 1000 1.4135 1413.5 1.4135 3000 1.412700 0.00000 0 0.00000 1 2010-11-04 03:00:00 1000 1.4225 1422.5 1.4225 4000 1.415150 0.00000 0 0.00000 1 2010-11-04 07:00:00 1000 1.4252 1425.2 1.4252 5000 1.417160 0.00000 0 0.00000 1 2010-11-04 11:00:00 1000 1.4208 1420.8 1.4208 6000 1.417767 0.00000 0 0.00000 1 2010-11-04 15:00:00 1000 1.4212 1421.2 1.4212 7000 1.418257 0.00000 0 0.00000 1 2010-11-04 19:00:00 1000 1.4209 1420.9 1.4209 8000 1.418588 0.00000 0 0.00000 1 2010-11-04 23:00:00 1000 1.4185 1418.5 1.4185 9000 1.418578 0.00000 0 0.00000 1 2010-11-05 03:00:00 1000 1.4101 1410.1 1.4101 10000 1.417730 0.00000 0 0.00000 1 2010-11-05 07:00:00 -1000 1.4052 -1405.2 1.4052 9000 1.419122 -12.53000 0 -12.53000 1 2010-11-05 07:00:00 1000 1.4100 1410.0 1.4100 10000 1.418210 0.00000 0 0.00000 1 2010-11-05 11:00:00 -1000 1.4025 -1402.5 1.4025 9000 1.419956 -15.71000 0 -15.71000 1 2010-11-07 18:00:00 -1000 1.3923 -1392.3 1.3923 8000 1.423412 -27.65556 0 -27.65556 1 2010-11-07 18:00:00 -1000 1.3923 -1392.3 1.3923 7000 1.427857 -31.11250 0 -31.11250 1 2010-11-07 18:00:00 -1000 1.3935 -1393.5 1.3935 6000 1.433583 -34.35714 0 -34.35714 1 2010-11-07 18:00:00 -1000 1.4008 -1400.8 1.4008 5000 1.440140 -32.78333 0 -32.78333 1 2010-11-07 18:00:00 -1000 1.4012 -1401.2 1.4012 4000 1.449875 -38.94000 0 -38.94000 1 2010-11-07 18:00:00 -1000 1.4009 -1400.9 1.4009 3000 1.466200 -48.97500 0 -48.97500 1 2010-11-07 18:00:00 -1000 1.3985 -1398.5 1.3985 2000 1.500050 -67.70000 0 -67.70000 1 2010-11-08 02:00:00 -1000 1.3903 -1390.3 1.3903 1000 1.609800 -109.75000 0 -109.75000 1 2010-11-08 02:00:00 -1000 1.3901 -1390.1 1.3901 0 0.000000 -219.70000 0 -219.70000 1
On Fri, Jul 22, 2011 at 12:13 PM, G See <gsee000 at gmail.com> wrote:
I was wondering why you thought the bug I fixed had to do with stoplimits. I think I understand the problem now. I'll take a look. On Fri, Jul 22, 2011 at 11:49 AM, microlino <h.stegmann at onlinehome.de>wrote:
Thank you, Garrett! However, unfortunately, it still does not work... The result is not different from the original version. As you can see from the orderbook below, a buy order at Close price is placed whenever the signal is TRUE, i.e. after every bar that closes
1.41.
Simultaneously, a stoplimit order is placed along with every buy order at the buy price -0.02. So far, so good. What I expect is that every stoplimit order will be closed later through the provided example data set, as price falls further. However, only one of the stoplimit orders is closed, I have highlighted it below. It seems that the stoplimits are closed only if (price < buyprice - 0.02) AND (signal == TRUE). You can easily see this logic in my example if you use a buy threshold lower than 1.41. Closing of a simple stoplimit should be triggered by price only, at least this is what I think it should do. Are stoplimit orders defined differently in quantstrat, so I need to code another signal that controls the stoplimit orders separately, somehow? Heiko Index Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime Order.Set Txn.Fees 1999-01-04 00:00:00 0 NA init long 0 closed 1999-01-04 1 0 2010-11-03 17:00:00 -1000 1.3903 stoplimit long -0.02 open NA NA 0 2010-11-03 17:00:00 1000 1.4103 market long NA closed 2010-11-03 21:00:00 NA 0 2010-11-03 21:00:00 -1000 1.3923 stoplimit long -0.02 open NA NA 0 2010-11-03 21:00:00 1000 1.4123 market long NA closed 2010-11-04 01:00:00 NA 0 2010-11-04 01:00:00 -1000 1.3923 stoplimit long -0.02 open NA NA 0 2010-11-04 01:00:00 1000 1.4123 market long NA closed 2010-11-04 05:00:00 NA 0 2010-11-04 05:00:00 -1000 1.3935 stoplimit long -0.02 open NA NA 0 2010-11-04 05:00:00 1000 1.4135 market long NA closed 2010-11-04 09:00:00 NA 0 2010-11-04 09:00:00 -1000 1.4025 stoplimit long -0.02 open NA NA 0 2010-11-04 09:00:00 1000 1.4225 market long NA closed 2010-11-04 13:00:00 NA 0 *2010-11-04 13:00:00 -1000 1.4052 stoplimit long -0.02 closed 2010-11-05 13:00:00 NA 0* 2010-11-04 13:00:00 1000 1.4252 market long NA closed 2010-11-04 17:00:00 NA 0 2010-11-04 17:00:00 -1000 1.4008 stoplimit long -0.02 open NA NA 0 2010-11-04 17:00:00 1000 1.4208 market long NA closed 2010-11-04 21:00:00 NA 0 2010-11-04 21:00:00 -1000 1.4012 stoplimit long -0.02 open NA NA 0 2010-11-04 21:00:00 1000 1.4212 market long NA closed 2010-11-05 01:00:00 NA 0 2010-11-05 01:00:00 -1000 1.4009 stoplimit long -0.02 open NA NA 0 2010-11-05 01:00:00 1000 1.4209 market long NA closed 2010-11-05 05:00:00 NA 0 2010-11-05 05:00:00 -1000 1.3985 stoplimit long -0.02 open NA NA 0 2010-11-05 05:00:00 1000 1.4185 market long NA closed 2010-11-05 09:00:00 NA 0 2010-11-05 09:00:00 -1000 1.3901 stoplimit long -0.02 open NA NA 0 2010-11-05 09:00:00 1000 1.4101 market long NA closed 2010-11-05 13:00:00 NA 0 -- View this message in context: http://r.789695.n4.nabble.com/Quantstrat-stoplimit-orders-not-triggered-tp3673706p3687209.html Sent from the Rmetrics mailing list archive at Nabble.com.
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