quanstrat rule to exit same day close (using daily data)

Garrett,

On Tue, 2012-05-15 at 09:45 -0700, algotr8der wrote:

Hi Brian - I think that change would be desirable. Not sure what everyone in
your development team thinks.

OK, it's a one or two line change (order of rule execution) , I'll work
on it.

Jan Humme (opentrades) has a patch basically completed that will allow
multiple trades on the same bar, though things may of course happen 'out
of order' depending on the order of rule evaluation operations.

Yep, patch committed now, rev 1025. There was a problem with the new 
orderset feature (committed a couple of weeks ago), causing the 
enter-orders to be canceled.

This leaves us with the following situation:

=> if you use a hard-coded order position for the exit-order (eg, -100) 
this will still be ruthlessly followed; the order size will not be 
adjusted to match the (max) current position. As a result, you will end 
up with a -100 position after the first exit order gets executed. 
However with your modification (lt changed to gte) the enter order will 
be executed at the same bar, leaving you with a 0-position again.

[1] "2001-06-26 AAPL -100 @ 11.88"
[1] "2001-06-26 AAPL 100 @ 11.88"

=> if you use the 'all'-argument for the exit-order, the first 
exit-order will be skipped due to the 0-position, but the first 
enter-order (on the same bar) will be executed. In this case you end up 
with a 100-position, which will be exited and immediately entered again 
at the next bar that has a signal.

[1] "2001-06-26 AAPL 100 @ 11.88"
[1] "2002-01-04 AAPL -100 @ 11.85"
[1] "2002-01-04 AAPL 100 @ 11.85"
[1] "2003-05-15 AAPL -100 @ 9.36"
[1] "2003-05-15 AAPL 100 @ 9.36"

Best regards,

Jan Humme - OpenTrades

WWW:     http://www.opentrades.nl
Email:   jan at opentrades.nl
Twitter: @opentrades