Question

我似乎没有找到在查看事务时查看事务的规则名称/标签的方法。我使用getTxns（）但它来自印刷包，它不知道由quantstrat创建的规则。最好的办法是什么？

Answer 1

作为一般规则，吸墨纸并不知道有关quantstrat的作用（除了quantstrat创建的交易）。

我相信txn功能可以完成您正在寻找的功能。它将包含规则标签的quantstrat订单簿与吸墨纸require(quantstrat) demo("macd", ask=FALSE) head(tradeOrderStats(portfolio.st, stock.str),2) Order.Qty Order.Price Order.Type Order.Side Order.Threshold 2007-08-17 "all" "117.049995" "market" "long" NA 2008-01-16 "all" "169.039997" "market" "long" NA Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule 2007-08-17 "closed" "2007-08-17 00:00:00" "" "exit2" "0" "exit" 2008-01-16 "closed" "2008-01-16 00:00:00" "" "exit2" "0" "exit" Time.In.Force Start End Init.Pos Max.Pos Num.Txns 2007-08-17 "" "2007-03-16" "2007-08-17" "100" "100" "2" 2008-01-16 "" "2007-09-05" "2008-01-16" "100" "100" "2" Max.Notional.Cost Net.Trading.PL MAE MFE 2007-08-17 " 8957" " 3249.0002" " 0.0000" " 5643.0003" 2008-01-16 "14416" " 1547.9994" "-1239.0003" " 5566.9992" Pct.Net.Trading.PL Pct.MAE Pct.MFE tick.Net.Trading.PL 2007-08-17 " 0.36273308" " 0.00000000" "0.630010074" " 3249.0002" 2008-01-16 " 0.10738065" "-0.08594619" "0.386168086" " 1547.9994" tick.MAE tick.MFE 2007-08-17 " 0.0000" " 5643.0003" 2008-01-16 "-1239.0003" " 5566.9992"表合并。

例如：

http://www.example.com/abc.php?val

Answer 2

您可以手动合并Quantstrat的Orderbook与Blotter的交易，这将为您提供交易的完整列表（条目和退出）以及该交易的规则标签。

library(plyr)

QSOrderbook <- ldply(getOrderBook(portfolio.st), data.frame)
rownames(QSOrderbook) <- as.POSIXct(QSOrderbook$data.Order.StatusTime, format = "%Y-%m-%d %H:%M")

bltrTransactions <- as.data.frame(getTxns(Portfolio=portfolio.st, symbols))

Transactions <- merge(QSOrderbook, bltrTransactions[-1,], by=0)

交易中的Quantstrat规则标签

2 个答案: