default rule to generate a trade order on a signal
As described elsewhere in the documentation, quantstrat models orders. This function is the default provided rule function to generate those orders, which will be acted on later as they interact with your market data.
ruleSignal(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 = "")
- 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 coercible to POSIXct that will be the time the order will be inserted on
- column name to check for signal
- signal value to match against
- numeric quantity of the desired order, or one of 'all'/'trigger', modified by osFUN
- one of "market","limit","stoplimit", "stoptrailing", or "iceberg"
- one of either "long" or "short", default NULL, see details
- tag to identify an orderset; if one order of the set is filled, all others are canceled
- numeric or name of indicator column in mktdata, default NULL, see Details
- if TRUE, threshold is a percent multiplier
price, not a scalar. Threshold is converted to a scalar by multiplying it with the price at the time of order entry (i.e. the scalar will not change if the order is updated, as in the case of a trailing stop), then it is added to the price just like a scalar threshold.
- TRUE/FALSE, whether to replace any other open order(s) on this portfolio symbol, default TRUE
- what delay to add to timestamp when inserting the order into the order book, in seconds
- function or text descriptor of function to
use for order sizing, default
- determines how the order price will be calculated, see Details
- text name of the portfolio to place orders in
- identifier of the instrument to place orders for. The name of any associated price objects (xts prices, usually OHLC) should match these
- any other passthru parameters
- one of
- numeric fees (usually negative) or function name for calculating TxnFees (processing happens later, not in this function)
- price method for getPrice
- boolean, puts entry Rule processing on hold, default FALSE
- rule label, default '', added by
- the order price to use, will overrule any mktdata lookup as well as chain.price (see below), meant to specify eg. a stop-loss price that is unrelated to the fill price (see chain.price)
- the price that the parent order got filled for, used to pass to children in the order chain, will overrule all mktdata lookup, only meant for internal use really, default NULL
- timestamp time-in-force; either a time stamp, or a number of seconds, or 'GTC' / '', 'GTC' and '' both meaning 'Good Till Canceled'; order expires if still 'open' at this timestamp, default is ''
pricemethod may be one of
- 'market', 'opside', or 'active'
- will use the 'ask' price if you're buying and the 'bid' price if you're selling, crossing the market at the time of order entry to attempt to set an aggressive price to get the trade.
- 'passive', 'work' or 'join'
- which will join the 'bid' price if you are buying or join the 'ask' price if you are selling, passively working to make liquidity at the prevailing market price without crossing the market at time of order entry
- will create a pair of orders for both
bid and offer, modeling market making activities by having
orders on both sides. This will then create an Order.Set,
and use the
thresholdto set the prices for these orders.
orderqty should be either numeric, or one of
'all'/'trigger'. 'all' can only be used with order of
ruletype='exit' or 'risk', and will close the entire
position. 'trigger' can only be used with ruletype='chain'
and is exactly identical to 'all', except that the actual
transaction is suppressed, and can be used to kick in a new
threshold is not numeric or
NULL it should
be the name of an indicator mktdata column holding the
orderside is NULL, the function will attempt to
calculate the side from the current position (if any), the
order quantity, and the order type.