quantstrat (version 0.8.2)

ruleRevoke: rule to revoke(cancel) an unfilled limit order on a signal

Description

As described elsewhere in the documentation, quantstrat models orders. All orders in quantstrat are GTC orders, which means that unfilled limit orders have to be canceled manually or replaced by other orders.

Usage

ruleRevoke(data = mktdata, timestamp, sigcol, sigval, orderside = NULL, orderset = NULL, portfolio, symbol, ruletype)

Arguments

data

an xts object containing market data. depending on rules, may need to be in OHLCV or BBO formats, and may include indicator and signal information

timestamp

timestamp coercible to POSIXct that will be the time the order will be inserted on

sigcol

column name to check for signal

sigval

signal value to match against

orderside

one of either "long" or "short", default NULL, see details

orderset

tag to identify an orderset

portfolio

text name of the portfolio to place orders in

symbol

identifier of the instrument to revoke orders for

ruletype

must be 'risk' for ruleRevoke, see add.rule

Details

This function is used for revoking or canceling the orders based on a signal. Order status will be changed to 'revoked', to separate it from cancelations or replacements from other causes. This may make it easier it decipher the order book to figure out what the strategy ewas doing.

See Also

osNoOp , add.rule