无法使stoplimit订单在quantstrat中工作

可复制代码：

package <- c("compiler",
             "quantmod",
             "dygraphs",
             "plyr",
             "devtools",
             "PerformanceAnalytics",
             "doParallel")
lapply(X = package,
       FUN = function(this.package){
         if (!require(package = this.package,
                      character.only = TRUE))
         {
           install.packages(pkgs = this.package,
                            repos = "https://cloud.r-project.org")
           library(package = this.package,
                   character.only = TRUE)
         } else {
           library(package = this.package,
                   character.only = TRUE)    
         }
       })
install_github("braverock/FinancialInstrument")
install_github("braverock/blotter")
install_github("braverock/quantstrat")
install_github("braverock/PerformanceAnalytics")
require(quantstrat)

# +------------------------------------------------------------------
# | The registerDoParallel() function is used to register the 
# | parallel backend with the foreach package. detectCores() attempts
# | to detect the number of CPU cores on the current host.
# +------------------------------------------------------------------

registerDoParallel(detectCores())

# +------------------------------------------------------------------
# | Get data.
# +------------------------------------------------------------------

symbols <- c('SPY', 'TLT', 'GLD')
getSymbols(Symbols = symbols)   

# +------------------------------------------------------------------
# | osTotEq() is an order sizing function which should return the
# | maximum amount of purchasable securities as for current equity
# | available (assuming you're not invested at the moment of
# | calculation).
# +------------------------------------------------------------------

osTotEq <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...)
{
  if (orderqty == "all" && !(ruletype %in% c("exit", "risk")) || 
      orderqty == "trigger" && ruletype != "chain")
  {
    stop(paste("orderqty 'all'/'trigger' would produce nonsense, maybe use osMaxPos instead?\n", 
               "Order Details:\n", "Timestamp:", timestamp, "Qty:", 
               orderqty, "Symbol:", symbol))
  }
  endEq <- getEndEq(Account = portfolio,
                    Date = timestamp)
  refPrice <- Cl(mktdata[, 1:4])[timestamp, ]
  orderqty <- floor(endEq / refPrice)
  return(orderqty)
}

# +------------------------------------------------------------------+ #
# +------------------------------------------------------------------+ #
# | Main: William's %R                                               | #
# +------------------------------------------------------------------+ #
# +------------------------------------------------------------------+ #

# +------------------------------------------------------------------
# | Parameters
# +------------------------------------------------------------------

name <- 'WPR'
currency <- 'USD'
initEq <- 300000

# +------------------------------------------------------------------
# | Initialization
# +------------------------------------------------------------------

rm.strat(name = name)
currency(currency)
for (symbol in symbols)
{
  stock(primary_id = symbol,
        currency = currency,
        multiplier = 1)
}
initPortf(name = name, 
          symbols = symbols,
          currency = currency)
initAcct(name = name, 
         portfolios = name, 
         initEq = initEq)
initOrders(portfolio = name)
strategy(name = name,
         store = TRUE)

# +------------------------------------------------------------------
# | Indicators
# +------------------------------------------------------------------

add.indicator(strategy = name,
              name = 'volatility',
              arguments = list(OHLC = quote(OHLC(mktdata)),
                               n = 5,
                               calc = 'yang.zhang',
                               N = 1),
              label = 'sigma',
              store = TRUE)
add.indicator(strategy = name,
              name = 'WPR',
              arguments = list(HLC = quote(HLC(mktdata)),
                               n = 14),
              label = 'wpr',
              store = TRUE)

# +------------------------------------------------------------------
# | Signals
# +------------------------------------------------------------------

add.signal(strategy = name,
           name = 'sigThreshold',
           arguments = list(column = 'wpr',
                            threshold = .2,
                            relationship = 'gt',
                            cross = TRUE),
           label = 'wpr.buy')
add.signal(strategy = name,
           name = 'sigThreshold',
           arguments = list(column = 'wpr',
                            threshold = .8,
                            relationship = 'lt',
                            cross = TRUE),
           label = 'wpr.sell')

# +------------------------------------------------------------------
# | Rules
# +------------------------------------------------------------------

add.rule(strategy = name,
         name = 'ruleSignal',
         arguments = list(sigcol = 'wpr.buy',
                          sigval = TRUE,
                          orderqty = 1,
                          ordertype = 'market',
                          orderside = 'long',
                          osFUN = osTotEq),
         type = 'enter',
         label = 'wpr.buy.enter',
         store = TRUE)
add.rule(strategy = name,
         name = 'ruleSignal',
         arguments = list(sigcol = 'wpr.buy',
                          sigval = TRUE,
                          orderqty = 'all',
                          ordertype = 'stoplimit',
                          orderside = 'long',
                          tmult = TRUE,
                          threshold = quote(mktdata[timestamp, 'X1.sigma']),
                          orderset = 'stop.loss'),
         parent = 'wpr.buy.enter',
         type = 'chain',
         label = 'wpr.buy.chain',
         store = TRUE)
# add.rule(strategy = name,
#          name = 'ruleSignal',
#          arguments = list(sigcol = 'wpr.sell',
#                           sigval = TRUE,
#                           orderqty = 'all',
#                           ordertype = 'market',
#                           orderside = 'long',
#                           pricemethod = 'market',
#                           replace = TRUE,
#                           osFUN = osNoOp),
#          path.dep = TRUE,
#          type = 'exit',
#          label = 'wpr.buy.exit',
#          store = TRUE)

# +------------------------------------------------------------------
# | Strategy backtest
# +------------------------------------------------------------------

try(applyStrategy(strategy = name,
                  portfolios = name))
updatePortf(Portfolio = name,
            Dates = paste('::',as.Date(Sys.time()), sep = ''))
updateAcct(name = name)
updateEndEq(Account = name)

# +------------------------------------------------------------------
# | Performance analysis
# +------------------------------------------------------------------

for (symbol in symbols)
{
  dev.new()
  chart.Posn(Portfolio = name,
             Symbol = symbol)
}
dev.new()
R <- PortfReturns(Account = name)
R$total.DailyEqPl <- rowSums(R)
charts.PerformanceSummary(R = R,
                          ylog = TRUE,
                          main = "Smoothing spline performance",
                          geometric = TRUE)
getOrderBook(portfolio = name)

---

如您所见，根本不存在stoplimit订单。

我怀疑您的问题可以通过简单地在脚本顶部添加

Sys.setenv（TZ=“UTC”）

来解决（许多quantstrat每日数据演示都会这样做）。在quantstrat中处理日常数据时，有时会发生这种情况

发生在

ruleSignal

quantstrat中的情况是，在填写市场订单时，quantstrat没有正确获取

链。价格

，当它找不到链价格时，它会忽略创建止损

如果您感到好奇并想说服自己，请尝试将

ruleSignal

中的调试器设置为stoploss正在填充的条件（您可以创建非常类似于

ruleSignal

的自己的ruleSignal函数，并在stoplimit规则的

add.rule

name

参数中提供该函数的名称

如果将调试器设置为在第一次填充时暂停（当触发链停止限制规则时，在

ruleSignal

或等效项中），您将看到以下内容：

getTxns(portfolio, "SPY")
                    Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
1950-01-01 00:00:00       0      0.00        0       0.0         0.00                   0
2007-01-25 19:00:00    2108    142.13        0  299610.1       142.13                   0

为了使事情正常运行，第一个txn时间戳应该是

2007-01-26

为stoplimit提供给

ruleSignal

的

chain.price

是一个空的xts对象，这是因为在quantstrat的函数

applyRules

中，开关链

chain

案例中的这些行在日常数据上无法正常工作：

txns <- getTxns(Portfolio=portfolio, Symbol=symbol, Dates=timestamp)
txn.price <- last(txns$Txn.Price)   

ruleProc(rules[j], timestamp=timestamp, path.dep=path.dep, mktdata=mktdata, portfolio=portfolio, symbol=symbol, ruletype=type, mktinstr=mktinstr, parameters=list(chain.price=txn.price), curIndex=curIndex)

---

txns太棒了！这就是问题所在！根据您的经验，这个bug是否会对
stoptrailing
订单产生不切实际的结果？如果您将
stoptrailing
替换为
stoptrailing
，我的脚本就是这样的。如果您将时区设置为
UTC
，并保留它，它就不再是bug了（对于每日条形图数据集）。我认为，您使用stoptrailing观察到的情况与此无关
txns <- getTxns(Portfolio=portfolio, Symbol=symbol, Dates=timestamp)
txn.price <- last(txns$Txn.Price)   

ruleProc(rules[j], timestamp=timestamp, path.dep=path.dep, mktdata=mktdata, portfolio=portfolio, symbol=symbol, ruletype=type, mktinstr=mktinstr, parameters=list(chain.price=txn.price), curIndex=curIndex)