您的rule类型chain会在进入某个职位时提交限价订单利润目标。到目前为止所有非常标准的东西，但我怎么能在以后修改这个打开的订单？具体来说，如果（在一定时间延迟之后）最初再次触发生成signal的{{1}}，我想修改利润目标的未结订单的价格。
从文档中，我认为我应该使用rule类型rule来实现这一目标，但我似乎无法找到使用此类规则的任何文档或示例以及如何有用。
答案 0 :(得分：3)
“从文档中，我认为我应该使用类型顺序规则来实现这一目标，但我似乎无法找到使用此类规则及其工作方式的任何文档或示例。”
规则类型“order”用于处理未结订单，如果您使用开箱即用的quantstrat函数ruleOrderProc来处理未结订单（这是处理quantstrat中未结订单的默认函数，但您可以插入您自己的“订单”处理功能也可以替换ruleOrderProc）。例如，ruleOrderProc不提供移动限价订单的功能，例如它对止损订单的处理方式。
要回答您的问题，您可以创建一个更新限价订单的自定义规则功能。以下是使用简单策略的方法。
请注意，规则类型设置为“风险”以更新限价订单，因此在使用ruletype == "order"处理订单之前评估此自定义规则（请参阅quantstrat中applyRules的来源，如果这是不清楚）。这意味着如果在当前柱上触发更新限价订单的信号，并且如果价格也触及现有的止盈限价订单，则该仓位将不会退出并获利，而是更新为新的收益利润水平。 （因为在之后处理是否触发了获利限制订单，我们检查更新限价订单的信号是否已经触发）。
希望这个例子有助于了解如何制作自定义规则可以让生活变得更轻松。
library(quantstrat)
from <- "2002-10-20"
to <- "2002-10-24"
symbols <- "GBPUSD"
# Load 1 minute data stored in the quantstrat package
getSymbols.FI(Symbols = symbols,
dir=system.file('extdata',package='quantstrat'),
from=from,
to=to
)
currency(c('GBP', 'USD'))
exchange_rate('GBPUSD', tick_size=0.0001)
strategy.st <- "switchOrderSignal"
portfolio.st <- "switchOrderSignal"
account.st <- "switchOrderSignal"
rm.strat(strategy.st)
initPortf(portfolio.st, symbols = symbols)
initAcct(account.st, portfolios = portfolio.st, initEq = 1e5)
initOrders(portfolio.st)
strategy(strategy.st, store = TRUE)
tradeSize <- 1000
for (sym in symbols) {
addPosLimit(portfolio.st, sym, start(get(sym)), tradeSize)
}
strategy(strategy.st, store=TRUE)
fastMA = 12
slowMA = 26
signalMA = 9
maType = "EMA"
add.indicator(strategy.st, name = "MACD",
arguments = list(x=quote(Cl(mktdata)),
nFast=fastMA,
nSlow=slowMA),
label='co'
)
add.signal(strategy.st,name="sigThreshold",
arguments = list(column="signal.co",
relationship="gt",
threshold=0,
cross=TRUE),
label="signal.gt.zero"
)
add.signal(strategy.st,name="sigThreshold",
arguments = list(column="signal.co",
relationship="lt",
threshold=0,
cross=TRUE),
label="signal.lt.zero"
)
add.rule(strategy.st,name='ruleSignal',
arguments = list(sigcol="signal.gt.zero",
sigval=TRUE,
orderqty=tradeSize,
ordertype='market',
orderside='long',
osFUN = "osMaxPos",
threshold=NULL),
type='enter',
label='enterL',
storefun=FALSE
)
targetThres <- 0.0025
add.rule(strategy.st,name='ruleSignal',
arguments = list(sigcol="signal.gt.zero",
sigval=TRUE,
orderqty="all",
ordertype='limit',
orderside='long',
threshold= targetThres,
tmult = TRUE,
orderset='sysMACD',
replace = FALSE),
type='chain',
label='profitTarget',
parent = "enterL"
)
# add.rule(strategy.st,name='ruleSignal',
# arguments = list(sigcol="signal.lt.zero",
# sigval=TRUE,
# orderqty='all',
# ordertype='market',
# orderside='long',
# threshold=NULL,
# orderset='sysMACD',
# replace = TRUE),
# type='exit',
# label='exitL',
# enable = FALSE
# )
stopThreshold <- 0.005
add.rule(strategy.st,name='ruleSignal',
arguments = list(sigcol="signal.gt.zero",
sigval=TRUE,
orderqty='all',
ordertype='stoptrailing',
orderside='long',
threshold=-stopThreshold,
tmult=TRUE,
orderset='sysMACD',
replace = FALSE),
type='chain',
parent='enterL',
label='movingStop')
# If a position is on, update the limit order price (the take profit) if another
# entry signal is fired (macd signal crosses above 0 again), but only if more
# than the holding.period.secs has passed. Define a custom rule function to handle this logic:
update_profit_target <- function(mktdata = mktdata,
timestamp,
sigcol,
sigval,
orderqty=0,
ordertype,
orderside=NULL,
orderset=NULL,
threshold=NULL,
tmult=FALSE,
replace=TRUE,
delay=0.0001,
osFUN='osNoOp',
pricemethod = c('market','opside','active'),
portfolio,
symbol,
...,
ruletype,
TxnFees=0,
prefer=NULL,
sethold=FALSE,
label='',
order.price=NULL,
chain.price=NULL,
time.in.force='',
holding.period.secs
) {
# First, we do not process this "ruleSignal" function if the position quantity
# is not 0, because its purpose is only to modify the stoptrailing on a
# position already open:
if (ruletype!='risk' || getPosQty(portfolio.st, symbol, timestamp) == 0) {
return()
}
if(hasArg(curIndex))
curIndex <- eval(match.call(expand.dots=TRUE)$curIndex, parent.frame())
else
curIndex <- mktdata[timestamp,which.i=TRUE]
if(hasArg(prefer)) prefer=match.call(expand.dots=TRUE)$prefer
else prefer = NULL
if (!is.na(mktdata[curIndex,sigcol]) && mktdata[curIndex,sigcol] == sigval) {
#browser()
orderbook <- getOrderBook(portfolio)
ordersubset <- orderbook[[portfolio]][[symbol]]
# Use quantstrat helper function to identify which row in orderbook for this symbol (ordersubset) has the order we want to change:
ii <- getOrders(portfolio=portfolio,
symbol=symbol,
status="open",
timespan=timespan,
ordertype="limit",
side = orderside,
which.i = TRUE)
if (length(ii) > 0) {
# Check first condition, that a specific amount of time has passed:
end.of.holding <- index(ordersubset[ii, ]) + holding.period.secs
if (timestamp < end.of.holding) return()
if (length(ii) > 1)
stop("Have not got logic for handling case with more than one open limit order on orderside of the open position.")
ordersubset[ii, "Order.Status"] <- 'replaced'
ordersubset[ii, "Order.StatusTime"] <- format(timestamp, "%Y-%m-%d %H:%M:%S")
price <- mktdata[curIndex, "Close"]
orderSide <- ordersubset[ii,"Order.Side"]
# Calculate the new limit order price:
if(isTRUE(tmult))
{
threshold = price*threshold
if (orderSide == "long" && threshold < 0)
threshold <- -threshold
else if (orderSide == "Short" && threshold > 0)
threshold <- -threshold
}
price <- price + threshold
if(hasArg(prefer)) prefer=match.call(expand.dots=TRUE)$prefer
else prefer = NULL
neworder <- addOrder(portfolio=portfolio,
symbol=symbol,
timestamp=timestamp,
qty=ordersubset[ii,"Order.Qty"],
price= price - threshold,
ordertype="limit",
prefer=prefer,
side=ordersubset[ii,"Order.Side"],
threshold = threshold,
status="open",
replace=FALSE,
return=TRUE,
orderset=ordersubset[ii,"Order.Set"],
label=label,
...=...,
TxnFees=TxnFees)
# ^ Do not set the statustimestamp because any new orders start with statustimestamp = NA.
ordersubset<-rbind(ordersubset, neworder)
# we we have updated the orderbook for this symbol, we should reflect this
# where the orderbook is stored (in the .strategy environment):
orderbook[[portfolio]][[symbol]] <- ordersubset
put.orderbook(portfolio, orderbook)
}
}
}
add.rule(strategy.st, name = 'update_profit_target',
arguments = list(sigcol="signal.gt.zero",
sigval=TRUE,
orderqty='all',
ordertype='limit',
orderside='long',
threshold=targetThres,
tmult=TRUE,
orderset='sysMACD',
# Set the minimum amount of time that must pass before the current active limit order can be updated again:
holding.period.secs = 3600),
# Setting type as risk means we will update the limit order price on the current bar before processing whether the take profit price (limit price) was touched on this bar.
type = 'risk', # process and update this order after processing whether the trailing stop was touched, any chain exit and entry orders
label='movingProfitTarget')
out<-applyStrategy(strategy.st, portfolios=portfolio.st, verbose=TRUE)
tx <- getTxns(portfolio.st, "GBPUSD")
sum(tx$Net.Txn.Realized.PL)
tx
# Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
# 1950-01-01 00:00:00 0 0.000000 0 0.000 0.000000 0.0000
# 2002-10-20 21:31:00 1000 1.547700 0 1547.700 1.547700 0.0000
# 2002-10-21 05:10:00 -1000 1.542361 0 -1542.361 1.542361 -5.3385
# 2002-10-21 06:22:00 1000 1.542600 0 1542.600 1.542600 0.0000
# 2002-10-22 22:39:00 -1000 1.548863 0 -1548.862 1.548863 6.2625
# 2002-10-22 23:40:00 1000 1.549000 0 1549.000 1.549000 0.0000
# 2002-10-24 09:28:00 -1000 1.552271 0 -1552.271 1.552271 3.2710
# 2002-10-24 11:33:00 1000 1.554200 0 1554.200 1.554200 0.0000
ob <- getOrderBook(portfolio.st)
# Print part of the order book:
ob$switchOrderSignal$GBPUSD[1:20, ]
# Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule Time.In.Force
# 2002-10-20 21:30:00.00010 "1000" "1.5478" "market" "long" NA "closed" "2002-10-20 21:31:00" "" NA "0" "enterL" ""
# 2002-10-20 21:31:00.00010 "all" "1.55156925" "limit" "long" "0.00386925" "replaced" "2002-10-20 23:38:00" "" "sysMACD" "0" "profitTarget" ""
# 2002-10-20 21:31:00.00010 "all" "1.5399615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 21:33:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 21:33:00.00001 "all" "1.5400615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 21:34:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 21:34:00.00001 "all" "1.5403615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 22:03:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 22:03:00.00001 "all" "1.5404615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 22:06:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 22:06:00.00001 "all" "1.5408615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 22:20:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 22:20:00.00001 "all" "1.5409615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 22:23:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 22:23:00.00001 "all" "1.5413615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 22:24:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 22:24:00.00001 "all" "1.5416615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 22:25:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 22:25:00.00001 "all" "1.5418615" "stoptrailing" "long" "-0.0077385" "replaced" "2002-10-20 22:26:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 22:26:00.00001 "all" "1.5423615" "stoptrailing" "long" "-0.0077385" "closed" "2002-10-21 05:10:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-20 23:38:00.00001 "all" "1.55277225" "limit" "long" "0.00387225" "replaced" "2002-10-21 01:58:00" "" "sysMACD" "0" "movingProfitTarget" ""
# 2002-10-21 01:58:00.00001 "all" "1.551469" "limit" "long" "0.003869" "replaced" "2002-10-21 03:09:00" "" "sysMACD" "0" "movingProfitTarget" ""
# 2002-10-21 03:09:00.00001 "all" "1.5508675" "limit" "long" "0.0038675" "canceled" "2002-10-21 05:10:00" "" "sysMACD" "0" "movingProfitTarget" ""
# 2002-10-21 06:21:00.00010 "1000" "1.5427" "market" "long" NA "closed" "2002-10-21 06:22:00" "" NA "0" "enterL" ""
# 2002-10-21 06:22:00.00010 "all" "1.5464565" "limit" "long" "0.0038565" "replaced" "2002-10-21 08:46:00" "" "sysMACD" "0" "profitTarget" ""
# 2002-10-21 06:22:00.00010 "all" "1.534887" "stoptrailing" "long" "-0.007713" "replaced" "2002-10-21 07:01:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-21 07:01:00.00001 "all" "1.534987" "stoptrailing" "long" "-0.007713" "replaced" "2002-10-21 07:02:00" "" "sysMACD" "0" "movingStop" ""
# 2002-10-21 07:02:00.00001 "all" "1.535387" "stoptrailing" "long" "-0.007713" "replaced" "2002-10-21 07:04:00" "" "sysMACD" "0" "movingStop" ""
# Reasonablness checks: Let's check the results make sense. Consider first trade entered at 2002-10-20 21:30:00. Here is what the signals look like after the trade has been on for 2 hours:
mktdata["2002-10-20 23:36/2002-10-21 00:10"]
# Open High Low Close Volume macd.co signal.co signal.gt.zero signal.lt.zero
# 2002-10-20 23:36:00 1.5489 1.5492 1.5489 1.5492 0 1.414846e-03 -9.644645e-04 0 0
# 2002-10-20 23:37:00 1.5492 1.5492 1.5492 1.5492 0 3.160196e-03 -1.395325e-04 0 0
# 2002-10-20 23:38:00 1.5489 1.5489 1.5489 1.5489 0 2.946509e-03 4.776759e-04 1 0 **
# 2002-10-20 23:39:00 1.5489 1.5489 1.5489 1.5489 0 2.745513e-03 9.312433e-04 0 0
# 2002-10-20 23:40:00 1.5488 1.5488 1.5488 1.5488 0 2.041720e-03 1.153339e-03 0 0
# 2002-10-20 23:41:00 1.5487 1.5487 1.5487 1.5487 0 9.520094e-04 1.113073e-03 0 0
# 2002-10-20 23:42:00 1.5487 1.5487 1.5487 1.5487 0 8.738715e-05 9.079357e-04 0 0
# 2002-10-20 23:43:00 1.5487 1.5487 1.5487 1.5487 0 -5.910279e-04 6.081430e-04 0 0
# 2002-10-20 23:44:00 1.5484 1.5484 1.5484 1.5484 0 -2.661021e-03 -4.568975e-05 0 1
# 2002-10-20 23:45:00 1.5484 1.5484 1.5484 1.5484 0 -4.252555e-03 -8.870627e-04 0 0
# 2002-10-20 23:46:00 1.5485 1.5485 1.5485 1.5485 0 -4.935972e-03 -1.696845e-03 0 0
# 2002-10-20 23:47:00 1.5484 1.5484 1.5484 1.5484 0 -5.930296e-03 -2.543535e-03 0 0
# 2002-10-20 23:48:00 1.5484 1.5484 1.5484 1.5484 0 -6.641779e-03 -3.363184e-03 0 0
# 2002-10-20 23:49:00 1.5483 1.5483 1.5483 1.5483 0 -7.638686e-03 -4.218284e-03 0 0
# 2002-10-20 23:50:00 1.5483 1.5483 1.5483 1.5483 0 -8.332735e-03 -5.041174e-03 0 0
# 2002-10-20 23:51:00 1.5483 1.5483 1.5483 1.5483 0 -8.781583e-03 -5.789256e-03 0 0
# 2002-10-20 23:52:00 1.5483 1.5483 1.5483 1.5483 0 -9.033199e-03 -6.438045e-03 0 0
# 2002-10-20 23:53:00 1.5483 1.5483 1.5482 1.5482 0 -9.642596e-03 -7.078955e-03 0 0
# 2002-10-20 23:54:00 1.5485 1.5486 1.5485 1.5486 0 -7.949460e-03 -7.253056e-03 0 0
# 2002-10-20 23:55:00 1.5486 1.5486 1.5486 1.5486 0 -6.532340e-03 -7.108913e-03 0 0
# 2002-10-20 23:56:00 1.5486 1.5486 1.5486 1.5486 0 -5.347620e-03 -6.756654e-03 0 0
# 2002-10-20 23:57:00 1.5486 1.5486 1.5486 1.5486 0 -4.358482e-03 -6.277020e-03 0 0
# 2002-10-20 23:58:00 1.5486 1.5486 1.5486 1.5486 0 -3.533847e-03 -5.728385e-03 0 0
# 2002-10-20 23:59:00 1.5489 1.5492 1.5489 1.5492 0 2.432916e-04 -4.534050e-03 0 0
# 2002-10-21 00:00:00 1.5492 1.5492 1.5492 1.5492 0 3.199644e-03 -2.987311e-03 0 0
# 2002-10-21 00:01:00 1.5493 1.5493 1.5493 1.5493 0 5.994337e-03 -1.190982e-03 0 0
# 2002-10-21 00:02:00 1.5493 1.5493 1.5492 1.5492 0 7.600410e-03 5.672967e-04 1 0 **
# 2002-10-21 00:03:00 1.5492 1.5492 1.5492 1.5492 0 8.772034e-03 2.208244e-03 0 0
# 2002-10-21 00:04:00 1.5491 1.5491 1.5491 1.5491 0 9.074934e-03 3.581582e-03 0 0
# 2002-10-21 00:05:00 1.5490 1.5490 1.5490 1.5490 0 8.693797e-03 4.604025e-03 0 0
# 2002-10-21 00:06:00 1.5490 1.5490 1.5490 1.5490 0 8.296106e-03 5.342441e-03 0 0
# 2002-10-21 00:07:00 1.5489 1.5489 1.5489 1.5489 0 7.374970e-03 5.748947e-03 0 0
# 2002-10-21 00:08:00 1.5488 1.5488 1.5488 1.5488 0 6.054223e-03 5.810002e-03 0 0
# 2002-10-21 00:09:00 1.5487 1.5487 1.5487 1.5487 0 4.435429e-03 5.535087e-03 0 0
# 2002-10-21 00:10:00 1.5488 1.5488 1.5487 1.5487 0 3.116584e-03 5.051387e-03 0 0
# See that the limit order was updated on a `signal.gt.zero` signal fired at 2002-10-20
# 23:38:00. Then you can see there was another `signal.gt.zero`` signal at 2002-10-21 00:02:00
# which, as expected, did not result in updating the limit order again. The limit
# order updates at 2002-10-21 01:58:00, 2 hours and 20 minutes after the previous limit order update (at 2002-10-20 23:38:00).