我有一个简单的策略：
第一个输入订单是后两个保护订单的父订单，也是OCO订单，其中一个应填写，后者应取消。
当我调查策略的订单时，我发现OCO订单在所有情况下都无法正常运行：
Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime Prefer Order.Set Txn.Fees
2014-09-24 22:00:16 "1" "407" "market" "long" NA "closed" "2014-09-24 22:00:17" "Close" NA "0"
2014-09-24 22:00:17 "all" "411.07" "limit" "long" "4.07" "closed" "2014-09-24 22:35:18" "Close" "ocolong" "0"
2014-09-24 22:00:17 "all" "402.93" "stoplimit" "long" "-4.07" "canceled" "2014-09-24 22:35:18" "Close" "ocolong" "0"
2014-09-24 23:09:09 "1" "410" "market" "long" NA "closed" "2014-09-24 23:09:10" "Close" NA "0"
2014-09-24 23:09:10 "all" "414.1" "limit" "long" "4.1" "canceled" "2014-09-25 01:17:11" "Close" "ocolong" "0"
2014-09-24 23:09:10 "all" "405.9" "stoplimit" "long" "-4.1" "closed" "2014-09-25 01:17:11" "Close" "ocolong" "0"
2014-09-25 01:17:09 "1" "406" "market" "long" NA "closed" "2014-09-25 01:17:10" "Close" NA "0"
2014-09-25 01:17:10 "all" "410.06" "limit" "long" "4.06" "canceled" "2014-09-25 01:17:11" "Close" "ocolong" "0"
2014-09-25 01:17:10 "all" "401.94" "stoplimit" "long" "-4.06" "canceled" "2014-09-25 01:17:11" "Close" "ocolong" "0"
2014-09-25 01:22:47 "1" "405.2" "market" "long" NA "closed" "2014-09-25 01:22:48" "Close" NA "0"
2014-09-25 01:22:48 "all" "409.252" "limit" "long" "4.052" "canceled" "2014-09-25 04:03:57" "Close" "ocolong" "0"
2014-09-25 01:22:48 "all" "401.148" "stoplimit" "long" "-4.052" "canceled" "2014-09-25 04:03:57" "Close" "ocolong" "0"
前两个位置运作良好，有一个市场进场订单已关闭，两个OCO订单其中一个已关闭，一个已取消。
但是第三个位置在2014-09-25 01:17:11取消了止损和止盈订单，并且没有一个被填补。
限价为410.06和401.94，但当时的数据如下：
data.Open data.High data.Low data.Close data.Volume
2014-09-25 01:17:00 406.423 406.423 406.423 406.423 0.0000000
2014-09-25 01:17:01 406.425 406.425 406.425 406.425 0.0300000
2014-09-25 01:17:02 406.425 406.425 406.425 406.425 0.0000000
2014-09-25 01:17:03 406.425 406.425 406.425 406.425 0.0000000
2014-09-25 01:17:04 406.425 406.425 406.425 406.425 0.0000000
2014-09-25 01:17:05 406.425 406.425 406.425 406.425 0.0000000
2014-09-25 01:17:06 408.821 408.821 408.821 408.821 0.0110000
2014-09-25 01:17:07 408.821 408.821 408.821 408.821 0.0000000
2014-09-25 01:17:08 408.821 408.821 408.821 408.821 0.0000000
2014-09-25 01:17:09 406.000 406.000 406.000 406.000 20.0000011
2014-09-25 01:17:10 406.000 406.000 406.000 406.000 2.3411120
2014-09-25 01:17:11 405.882 405.882 405.882 405.882 0.2399996
2014-09-25 01:17:12 405.882 405.882 405.882 405.882 0.0000000
2014-09-25 01:17:13 406.000 406.000 406.000 406.000 1.0000000
2014-09-25 01:17:14 406.000 406.000 406.000 406.000 0.0110000
为什么OCO订单被取消而且没有一个被填满的任何想法？
整个战略代码如下：
### Initial setup
rm(strategy.st)
try(rm("account.st","portfolio.st"),silent=TRUE)
.blotter <- new.env()
.strategy <- new.env()
initDate <- as.character(as.Date(from) - 1)
currency("USD")
Sys.setenv(TZ = "UTC")
symbols <- "data"
stock(symbols, currency = "USD", multiplier = 1) # Initialisation of the instrument
tradeSize <- 1 # Initialisation of trade size
initEq <- 1000 # Initialisation of initial equity
strategy.st <- "btc" # Initialisation of the strategy
portfolio.st <- "btc" # Initialisation of the strategy, must be after strategy
account.st <- "btc" # Initialisation of the strategy, must be after strategy and portolio
initPortf(portfolio.st, symbols=symbols, initDate=initDate, currency='USD')
initAcct(account.st, portfolios=portfolio.st, initDate=initDate, currency='USD',initEq=initEq)
initOrders(portfolio.st, initDate=initDate)
strategy(strategy.st, store=TRUE)
### Parametres
lookBackVol <- 5
thresholdVol <- 20
stopLoss <- -0.01
profitTarget <- 0.01
### Indicators
add.indicator(strategy.st, name = "runSum", arguments = list(x = quote(Vo(data)), n = lookBackVol), label = "volRunSum")
### Signals
add.signal(strategy.st, name = "sigThreshold", arguments = list(column = "volRunSum", threshold = thresholdVol, relationship = "gte", cross = TRUE), label = "longSig")
### Rules
add.rule(strategy = strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longSig", sigval = 1,
orderqty = tradeSize,
ordertype = "market",
orderside = "long",
prefer = "Close",
replace = FALSE
),
type = "enter",
label = "enterLong",
path.dep = TRUE
)
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "longSig", sigval = 1,
orderqty = "all",
ordertype = "limit",
orderside = "long",
prefer = "Close",
replace = FALSE,
tmult = TRUE,
threshold = quote(profitTarget),
orderset = "ocolong"
),
type = "chain",
parent = "enterLong",
label = "profitTargetLong",
path.dep = TRUE
)
add.rule(portfolio.st, name = "ruleSignal",
arguments = list(sigcol = "longSig", sigval = 1,
orderqty = "all",
ordertype = "stoplimit",
orderside = "long",
prefer = "Close",
replace = FALSE,
tmult = TRUE,
threshold = quote(stopLoss),
orderset = "ocolong"
),
type = "chain",
parent = "enterLong",
label = "stopLossLong",
path.dep = TRUE
)
test <- applyIndicators(strategy.st, data)
test <- applySignals(strategy.st, test)
head(test, 20)
### Results
results <- applyStrategy(strategy.st, portfolio.st)
编辑1：
会话信息如下：
> sessionInfo()
R version 3.0.1 (2013-05-16)
Platform: x86_64-w64-mingw32/x64 (64-bit)
locale:
[1] LC_COLLATE=Czech_Czech Republic.1250 LC_CTYPE=Czech_Czech Republic.1250 LC_MONETARY=Czech_Czech Republic.1250
[4] LC_NUMERIC=C LC_TIME=Czech_Czech Republic.1250
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] base64enc_0.1-2 Defaults_1.1-1 quantstrat_0.8.2 foreach_1.4.2
[5] blotter_0.8.18 PerformanceAnalytics_1.4.3541 FinancialInstrument_1.1.9 quantmod_0.4-2
[9] TTR_0.22-0.1 xts_0.9-7 zoo_1.7-11 RCurl_1.95-4.3
[13] bitops_1.0-6
loaded via a namespace (and not attached):
[1] codetools_0.2-8 grid_3.0.1 iterators_1.0.7 lattice_0.20-29 tools_3.0.1
编辑2
发现当同时打开多个位置时会出现错误。第一个挂单触发止损和止盈订单的提交。当第二个仓位被打开时，这些订单仍然打开（未填补），第二个订单取消先前的保护订单并提交具有更新阈值的新订单。
是否有任何方法可以将保护令与特定的入境单挂钩，例如其他入境令是否会取消？