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Txnfees function in quantstrat
2 messages · 이원재, Brian G. Peterson
On Wed, 2011-08-31 at 21:01 +0900, ??? wrote:
Hi, According to the documentation, the argument 'TxnFees' in 'ruleSignal' is numeric fees (usually negative) or function name for calculating TxnFees (processing happens later, not in this function) in quantstrat packages, In the case of using function for 'TxnFees' argument, how can I get the value of the orderprice and orderqty from transactions. And, can you show me an example to use function for 'TxnFees' argument? Wonjae Lee
TxnFees is passed to addTxn in blotter. See example TxnFees function pennyPerShare in blotter. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock