Exit Order By Current Position Info
On Fri, 2016-04-22 at 17:26 +0200, Diego Peroni wrote:
Hello, I'd like to integrate my strategy creating a Stop Loss Order that must be sent to the market if my current Open Position reach N points up (profit). So this rule must evaluate: Open Price Position, Side Position and Quantity. Which is the best way to add this behaviuor to my strat? In which component do I have to work? In case does exist a working example?
Work through the luxor examples that replicate Tomasini. The takeprofit examples are luxor.5.strategy.ordersets.R and luxor.6.paramset.takeprofit.R Fundamentally, you need ordersets and chained orders. We covered all of this in great detail in our quantstrat seminar a few years ago at R/Finance: http://www.rinfinance.com/agenda/2013/workshop/Humme+Peterson.pdf don't cut and paste code out of the slides. The demo scripts are updated to adjust for changes in R and the required packages, the slides are obviously static. Regards, Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock