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Long Enter Position do not "block" Short Enter Orders

Ilya Kipnis

Mon, Apr 11, 2016 8:13 AM

I see your question. If you want short orders not to fire when you have a
long position, you should create a custom order sizing function that
returns 0 if your current position isn't zero for both long and short
positions.

On Mon, Apr 11, 2016 at 11:07 AM, Diego Peroni <diegoperoni at vodafone.it>
wrote:

Thank you Ilya,

I've placed orderset='ocoall' in both ENTER orders (named "LE" and "SE")
as in the following code but testing them I have the same problem: long
positions are closed by short (enter) positions...
Can you please tell me what I'm doing wrong?

Diego


#################################
# MAX POSITION (1 future)
#################################
addPosLimit(portfolio = qs.strategy, symbol = symbol, timestamp =
initDate, maxpos = 1)

#################################
# LONG STRATEGY
#################################
add.rule(qs.strategy, name='ruleSignal',
         arguments = list(sigcol="upTrend", sigval=TRUE,
                          replace=TRUE,
                          prefer='Open',
                          orderside='long',
                          ordertype='stoplimit',

order.price=quote(mktdata$price.enter.long[timestamp]),
                          orderqty=1,
                          osFUN='osMaxPos',
                          orderset='ocoall',

                          time.in.force=quote(timeInForceLong)),
         type='enter',
         label='LE')

add.rule(qs.strategy, name='ruleSignal',
         arguments=list(sigcol='exitLong', sigval=TRUE,
                        replace=FALSE,
                        orderside='long',
                        ordertype='market',
                        orderqty='all',
                        prefer='Open'
         ),
         type='exit',
         label='ExitLong',
         enabled=TRUE)

#################################
# SHORT STRATEGY
#################################
add.rule(qs.strategy, name='ruleSignal',
         arguments=list(sigcol="downTrend", sigval=TRUE,
                        replace=TRUE,
                        prefer='Open',
                        orderside='short',
                        ordertype='stoplimit',

order.price=quote(mktdata$price.enter.short[timestamp]),
                        orderqty=-1,
                        osFUN='osMaxPos',
                        orderset='ocoall',
                        time.in.force=quote(timeInForceShort)),
         type='enter',
         label='SE')

add.rule(qs.strategy, name='ruleSignal',
         arguments=list(sigcol='exitShort', sigval=TRUE,
                        replace=FALSE,
                        orderside='short',
                        ordertype='market',
                        orderqty='all',
                        prefer='Open'
         ),
         type='exit',
         label='ExitShort',
         enabled=TRUE)





On 11/04/2016 15:05, Ilya Kipnis wrote:

Short orders do not by default cancel long orders. You need to have them
in the same order set.

On Mon, Apr 11, 2016 at 6:39 AM, Diego Peroni <diegoperoni at vodafone.it>
wrote:

Hi all,

my simple strategy sets long/short ENTER orders and relative long/short
EXIT orders.

I don't understand why, if I have an open LONG position, SHORT enter
order triggers (wrongly closing open position...).

My desire is that if I already have an OPEN position (long) "opposite"
orders (short enter) do not triggers.

Thanks in advance for your help

Diego


#################################
# MAX POSITION (1 future)
#################################
addPosLimit(portfolio = qs.strategy, symbol = symbol, timestamp =
initDate, maxpos = 1)

#################################
# LONG STRATEGY
#################################
add.rule(qs.strategy, name='ruleSignal',
         arguments = list(sigcol="upTrend", sigval=TRUE,
                          replace=TRUE,
                          prefer='Open',
                          orderside='long',
                          ordertype='stoplimit',
order.price=quote(mktdata$price.enter.long[timestamp]),
                          orderqty=1,
                          osFUN='osMaxPos',
                          time.in.force=quote(timeInForceLong)),
         type='enter',
         label='LE')
add.rule(qs.strategy, name='ruleSignal',
         arguments=list(sigcol='exitLong', sigval=TRUE,
                        replace=FALSE,
                        orderside='long',
                        ordertype='market',
                        orderqty='all',
                        prefer='Open'
         ),
         type='exit',
         label='ExitLong',
         enabled=TRUE)

#################################
# SHORT STRATEGY
#################################
add.rule(qs.strategy, name='ruleSignal',
         arguments=list(sigcol="downTrend", sigval=TRUE,
                        replace=TRUE,
                        prefer='Open',
                        orderside='short',
                        ordertype='stoplimit',
order.price=quote(mktdata$price.enter.short[timestamp]),
                        orderqty=-1,
                        osFUN='osMaxPos',
                        time.in.force=quote(timeInForceShort)),
         type='enter',
         label='SE')
add.rule(qs.strategy, name='ruleSignal',
         arguments=list(sigcol='exitShort', sigval=TRUE,
                        replace=FALSE,
                        orderside='short',
                        ordertype='market',
                        orderqty='all',
                        prefer='Open'
         ),
         type='exit',
         label='ExitShort',
         enabled=TRUE)

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