Raw Message

Message-ID: <56FA9547.2020303@vodafone.it>
Date: 2016-03-29T14:46:31Z
From: Diego Peroni
Subject: stoplimit market price with OHLC
In-Reply-To: <CAGPkpwA4qZsCQzKxZEZPuOYTmvC43oZr8rmqkG1_MNWUpfKjhQ@mail.gmail.com>

Hi All,

my strategy exit an open position with a simple Signal based on 1 minute 
OHLC bars.

This is my exit rule:

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

My question is: which price quantstrat use to sell market by default?
- Current Bar Close Price?
- Next Bar Open Price?
- Next Bar "worst"/"best" Price?

Thanks in advance

Diego