Hey All, For the life of me I can't figure out why my stop loss order is not getting triggered. I am trying to play around with a simple Trend vigor strategy as illustrated in Ilya kipnis's blog. Everything else works except for the stop loss order which doesn't seem to take effect. I can't even see the stop loss in my order book (I see it only if I set type='risk' instead of chain). Could someone help me figure out where the problem might be? Attached please find the code. Thanks amod -------------- next part -------------- An HTML attachment was scrubbed... URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20150827/90a9d0a4/attachment.html> -------------- next part -------------- A non-text attachment was scrubbed... Name: elhers_tvi.r Type: application/octet-stream Size: 4478 bytes Desc: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20150827/90a9d0a4/attachment.obj>
Help activating stop loss order.
2 messages · Amod Karve (अमोद)
forgot to add the contents of position_sizing.r. Here it is:
osFixedDollar <- function(data, timestamp, orderqty, portfolio, symbol,
ruletype, ...) {
ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
orderqty <- round(tradeSize / ClosePrice, -2)
return(orderqty)
}
On Thu, Aug 27, 2015 at 12:51 AM, Amod Karve (????) <karve.amod at gmail.com>
wrote:
Hey All, For the life of me I can't figure out why my stop loss order is not getting triggered. I am trying to play around with a simple Trend vigor strategy as illustrated in Ilya kipnis's blog. Everything else works except for the stop loss order which doesn't seem to take effect. I can't even see the stop loss in my order book (I see it only if I set type='risk' instead of chain). Could someone help me figure out where the problem might be? Attached please find the code. Thanks amod