美好的一天！
朋友，我真的需要你的帮助！
我的问题是： 我怎么能以特定价格设置止损？
Quantstrat的工作原理如下（长仓）： 止损价=入场价 - 入场价*门槛。
例如，我尝试运行我的代码。但StopLossLONG不起作用。
如何编写停止代码？
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/core/handlers/exception.py" in inner
41. response = get_response(request)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/core/handlers/base.py" in _legacy_get_response
249. response = self._get_response(request)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/core/handlers/base.py" in _get_response
187. response = self.process_exception_by_middleware(e, request)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/core/handlers/base.py" in _get_response
185. response = wrapped_callback(request, *callback_args, **callback_kwargs)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/views/decorators/csrf.py" in wrapped_view
58. return view_func(*args, **kwargs)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/rest_framework/viewsets.py" in view
83. return self.dispatch(request, *args, **kwargs)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/rest_framework/views.py" in dispatch
483. response = self.handle_exception(exc)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/rest_framework/views.py" in handle_exception
443. self.raise_uncaught_exception(exc)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/rest_framework/views.py" in dispatch
480. response = handler(request, *args, **kwargs)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/croinc/babycroinc/bc_views/rest.py" in timeline_questions_reshuffle
309. queryset = child.reshuffle_timeline_questions(self.TIMELINE_QUESTIONS_COUNT)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/croinc/babycroinc/bc_models/core.py" in reshuffle_timeline_questions
346. self.generate_question_set(num)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/croinc/babycroinc/bc_models/core.py" in generate_question_set
294. new_questions = self.generate_random_timeline_questions(count_q)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/croinc/babycroinc/bc_models/core.py" in generate_random_timeline_questions
508. questions += [TimelineQuestion.objects.create(alg_type=alg_str, alg_score=0, snippet=rep, child=self)]
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/manager.py" in manager_method
85. return getattr(self.get_queryset(), name)(*args, **kwargs)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/query.py" in create
394. obj.save(force_insert=True, using=self.db)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/base.py" in save
806. force_update=force_update, update_fields=update_fields)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/base.py" in save_base
836. updated = self._save_table(raw, cls, force_insert, force_update, using, update_fields)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/base.py" in _save_table
922. result = self._do_insert(cls._base_manager, using, fields, update_pk, raw)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/base.py" in _do_insert
961. using=using, raw=raw)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/manager.py" in manager_method
85. return getattr(self.get_queryset(), name)(*args, **kwargs)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/query.py" in _insert
1061. return query.get_compiler(using=using).execute_sql(return_id)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/models/sql/compiler.py" in execute_sql
1099. cursor.execute(sql, params)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/backends/utils.py" in execute
65. return self.cursor.execute(sql, params)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/utils.py" in __exit__
94. six.reraise(dj_exc_type, dj_exc_value, traceback)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/backends/utils.py" in execute
65. return self.cursor.execute(sql, params)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/django/db/backends/mysql/base.py" in execute
101. return self.cursor.execute(query, args)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/MySQLdb/cursors.py" in execute
205. self.errorhandler(self, exc, value)
File "/home/www/public_html/croinc.org/baby-croinc/croinc-baby-croinc.baby-croinc/env/lib/python2.7/site-packages/MySQLdb/connections.py" in defaulterrorhandler
36. raise errorclass, errorvalue
谢谢！
答案 0 :(得分：5)
您的代码有一些奇怪的设置，如果它是您问题的一部分，我会指出：
1）您已为带有标签enabled = FALSE的停止规则设置了StopLossLONG，因此无论如何都不会应用此规则。
2）在您的数据期间SPY似乎永远不会达到208，因此您不会获得任何长期交易。
您问是否可以按特定价格设置止损。仔细阅读你的问题后，我认为你的意思是我可以设置一个绝对水平的止损，比如这里的0.005吗？而不是一些绝对水平的“入门价 - 一些门槛金额”。是的，如果您修改ruleSignal，则可以。这就是name = 'ruleSignal函数中公开add.rule的原因...因此您可以自行调整订单的生成方式。
以下是一个示例，您的条目现在为202，允许您的示例进行一次交易。它将止损水平设置为9.999（您可以将任何绝对价格水平设置为低于您的入场价格）。我已对函数ruleSignalAbsoluteStopPrice添加了注释，该注释将替换ruleSignal。如果你有正确的预期参数（比如ruleSignal的参数），你可以使用你想要的任何函数，如果你想使用这个函数的修改版本，你可以调用addOrder（或类似addOrder之类的东西也是......但在这之前你需要了解量子来源。）
如果您想了解如何以与现有quantstrat代码的其余部分相关的正确方式修改ruleSignal，请尝试将browser()置于ruleSignal内并逐行执行以查看你需要改变以使事情正常工作。
请参阅我添加的评论，其中我调整了现有ruleSignal代码的部分内容。
library('TTR')
library('blotter')
library("quantmod")
require(quantstrat)
# Define new function to replace 'ruleSignal' for long stoplimit orders:
ruleSignalAbsoluteStopPrice <- function (mktdata = mktdata, timestamp, sigcol, sigval, orderqty = 0,
ordertype, orderside = NULL, orderset = NULL, threshold = NULL,
tmult = FALSE, replace = TRUE, delay = 1e-04, 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 = "",
absoluteStopPrice = 9.999)
{
if (!is.function(osFUN))
osFUN <- match.fun(osFUN)
if (hasArg(curIndex))
curIndex <- eval(match.call(expand.dots = TRUE)$curIndex,
parent.frame())
else curIndex <- mktdata[timestamp, which.i = TRUE]
# Just for long orderside and stoplimit order types.
if (curIndex > 0 && curIndex <= nrow(mktdata) && ordertype == "stoplimit" && orderside == "long" && (ruletype ==
"chain" )) {
pricemethod <- pricemethod[1]
if (hasArg(prefer))
prefer = match.call(expand.dots = TRUE)$prefer
else prefer = NULL
# chain.price is the transaction price of the long trade.
# Handle the case where the price may be less than your absolute stop level (here we skip entering a long position):
if (chain.price <= absoluteStopPrice)
return()
threshold <- chain.price - absoluteStopPrice
# Ensure that tmult = FALSE when using this approach.
if (is.null(orderside) & !isTRUE(orderqty == 0)) {
curqty <- getPosQty(Portfolio = portfolio, Symbol = symbol,
Date = timestamp)
if (curqty > 0) {
orderside <- "long"
}
else if (curqty < 0) {
orderside <- "short"
}
else {
if (orderqty > 0)
orderside <- "long"
else orderside <- "short"
}
}
if (orderqty == "all") {
if (orderside == "long") {
tmpqty <- 1
}
else {
tmpqty <- -1
}
}
else {
tmpqty <- orderqty
}
if (!is.null(order.price)) {
orderprice <- order.price
}
else if (!is.null(chain.price)) {
orderprice <- chain.price
}
else {
}
if (is.null(orderset))
orderset = NA
if (orderqty != "all") {
orderqty <- osFUN(strategy = strategy, data = mktdata,
timestamp = timestamp, orderqty = orderqty, ordertype = ordertype,
orderside = orderside, portfolio = portfolio,
symbol = symbol, ... = ..., ruletype = ruletype,
orderprice = as.numeric(orderprice))
}
if (!is.null(orderqty) && orderqty != 0 && length(orderprice)) {
# All the arguments passed to `addOrder` are reasonable, and similar to what ruleSignal expects
addOrder(portfolio = portfolio, symbol = symbol,
timestamp = timestamp, qty = orderqty, price = as.numeric(orderprice),
ordertype = ordertype, side = orderside, orderset = orderset,
threshold = threshold, status = "open", replace = replace,
delay = delay, tmult = tmult, ... = ..., prefer = prefer,
TxnFees = TxnFees, label = label, time.in.force = time.in.force)
}
}
if (sethold)
hold <<- TRUE
}
from <- "2016-04-01"
to <- "2016-07-01"
SPY <- getSymbols.yahoo('SPY',
env = .GlobalEnv,
return.class = 'xts',
index.class = 'Date',
from = from,
to = to,
periodicity = "daily",
auto.assign = FALSE)
SPY <- SPY[, c(1, 2, 3, 4, 5)]
names(SPY) <- c('Open','High','Low','Close','Volume')
level <- function(ts, level) {
ts$level <- level
res <- ts$level
names(res) <- c("")
return(res)
}
rm(list = ls(.blotter), envir = .blotter)
symbols = "SPY"
currency('USD')
initDate = from
from = from
to = to
initEq = 100000
strName = "test"
stock(symbols, currency = "USD", tick_size = 0.001, multiplier = 1)
getInstrument(symbols, type = "instrument")
strategy.st <- strName
portfolio.st <- strName
account.st <- strName
rm.strat(portfolio.st)
rm.strat(strategy.st)
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)
addPosLimit(portfolio.st, symbols, timestamp = initDate, maxpos = 1, minpos = -1)
# indicators
# Set the level to 202 to allow one entry trade at least:
add.indicator(strategy.st, name = "level",
arguments = list(ts = quote((mktdata)), level = 202.0),
label = "LEV202")
add.indicator(strategy.st, name = "level",
arguments = list(ts = quote((mktdata)), level = 212.0),
label = "LEV212")
add.indicator(strategy.st, name = "level",
arguments = list(ts = quote((mktdata)), level = 207.0),
label = "LEV207")
# signals
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "LEV202"),
relationship = "gt"),
label = "OPEN")
add.signal(strategy.st, name = "sigCrossover",
arguments = list(columns = c("Close", "LEV212"),
relationship = "gt"),
label = "CLOSE")
# rules
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "OPEN", sigval = TRUE,
orderside = "long",
ordertype = "market",
prefer = "Open",
orderqty = 1,
replace = FALSE,
osFUN = osMaxPos
),
type = "enter",
label = "LE"
)
add.rule(strategy.st, name = "ruleSignal",
arguments = list(sigcol = "CLOSE", sigval = TRUE,
orderside = "long",
ordertype = "market",
prefer = "Open",
orderqty = "all",
replace = FALSE
),
type = "exit",
label = "LX"
)
add.rule(strategy.st,
name = "ruleSignalAbsoluteStopPrice",
arguments = list(sigcol = "OPEN",
sigval = TRUE,
replace = FALSE,
orderside = "long",
ordertype = "stoplimit",
#threshold = quote(0.005), don't bother setting threshold argument as ruleSignalAbsoluteStopPrice won't used the passed in argument 'threshold'.
absoluteStopPrice = 9.999, # Demonstrat that we can use new arguments related to the `ruleSignalAbsoluteStopPrice`` function
tmult = FALSE, # tmult is potentially used in `addOrder`
orderqty = "all",
orderset = "ocolong"),
type = "chain",
parent = "LE",
label = "StopLossLONG",
enabled = TRUE # Enable this rule
)
applyStrategy(strategy.st, portfolio.st)
save.strategy(strategy.st)
orderbook <- getOrderBook(portfolio.st)
orderbook
现在检查你得到了什么（停止限价9.999）：
> orderbook
$test
$test$SPY
Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule Time.In.Force
2016-04-13 "1" "201.827" "market" "long" NA "closed" "2016-04-14 00:00:00" "Open" NA "0" "LE" ""
2016-04-14 "all" "9.999" "stoplimit" "long" "-192.812707" "open" NA "" "ocolong" "0" "StopLossLONG" ""
我们认为交易依旧开放：
> getTxns(portfolio.st, "SPY")
Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
2016-04-01 00:00:00 0 0.00 0 0.00 0.00 0
2016-04-13 20:00:00 1 202.87 0 202.87 202.87 0
希望这有帮助。