9

私の quanstrat 戦略は、まだ議論されていないエラーを返します。

戦略は非常に単純です。一定期間のローリング サムを計算します。ローリング サムが一定のしきい値を超えている場合は、ロングを入力し、+/- 5% の距離でテイプロフィットとストップ ロスの ​​2 つの OCO 注文を同時に送信します。

コードは次のとおりです。

require("quantstrat")
from <- "2014-09-25"
to <- "2014-10-01"

rm(strategy.st)
try(rm("account.st","portfolio.st"),silent=TRUE)  

.blotter <- new.env()
.strategy <- new.env()

initDate <- as.character(as.Date(from) - 1)
currency("USD")
Sys.setenv(TZ = "UTC")   
symbols <- "data"
stock(symbols, currency = "USD", multiplier = 1)  # Initialisation of the instrument
tradeSize <- 1                                    # Initialisation of trade size
initEq <- 1000                                    # Initialisation of initial equity

strategy.st <- "btc"                              # Initialisation of the strategy
portfolio.st <- "btc"                             # Initialisation of the strategy, must be after strategy
account.st <- "btc"                               # Initialisation of the strategy, must be after strategy and portolio


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)  

### Parametres
lookBackVol <- 5
thresholdVol <- 20
stopLoss <- -0.05
profitTarget <- 0.05

### Indicators
add.indicator(strategy.st, name = "runSum", arguments = list(x = quote(data$ask.vol), n = lookBackVol), label = "volRunSum")

### Signals
add.signal(strategy.st, name = "sigThreshold", arguments = list(column = "volRunSum", threshold = thresholdVol, relationship = "gte", cross = TRUE), label = "longSig")

### Rules
add.rule(strategy = strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "longSig", sigval = 1,
                          orderqty = tradeSize,
                          ordertype = "market",
                          orderside = "long",
                          replace = FALSE,
                          orderset = "ocolong"
                          ),
         type = "enter",
         label = "enterLong"
        )


add.rule(strategy.st, name = "ruleSignal",
         arguments = list(sigcol = "longSig", sigval = 1,
                          orderqty = "all",
                          ordertype = "stoplimit",
                          orderside = "long",
                          replace = FALSE,
                          tmult = TRUE,
                          threshold = stopLoss,
                          orderset = "ocolong"
           ),
         type = "chain",
         parent = "enterLong",
         label = "stopLossLong",
  )


add.rule(portfolio.st, name = "ruleSignal",
         arguments = list(sigcol = "longSig", sigval = 1,
                          orderqty = "all",
                          ordertype = "limit",
                          orderside = "long",
                          replace = FALSE,
                          tmult = TRUE,
                          threshold = profitTarget,
                          orderset = "ocolong"
           ),
         type = "chain",
         parent = "enterLong",
         label = "profitTargetLong",
  )

 ### Results
results <- applyStrategy(strategy.st, portfolio.st)
View(getOrderBook(portfolio.st)$btc$data)

データ構造は次のとおりです。

> dput(head(data))
structure(c(0, 0.0423759, 0.0299792, 0, 0, 0, 0.0722401, 0.0430572, 
0.1648549, 2.9369966, 0, 0, 0.0722401, 0.0854331, 0.1948341, 
2.9369966, 0, 0, 0, 1, 1, 0, 0, 0, 1, 2, 4, 9, 0, 0, 1, 3, 5, 
9, 0, 0, NA, 408.11, 408.106, 408.106, 408.106, 408.106, 408.11, 
408.111, 408.112, 407.5, 407.5, 407.5, 408.11, 408.111, 408.112, 
407.5, 407.5, 407.5), class = c("xts", "zoo"), .indexCLASS = c("POSIXct", 
"POSIXt"), .indexTZ = structure("UTC", .Names = "TZ"), tclass = c("POSIXct", 
"POSIXt"), tzone = structure("UTC", .Names = "TZ"), index = structure(c(1411596001, 
1411596002, 1411596003, 1411596004, 1411596005, 1411596006), tzone = structure("UTC", .Names = "TZ"), tclass = c("POSIXct", 
"POSIXt")), .Dim = c(6L, 9L), .Dimnames = list(NULL, c("bid.vol", 
"ask.vol", "vol", "bid.freq", "ask.freq", "freq", "bid.price", 
"ask.price", "price")))

これは、1 秒間の取引のビッド/アスク ボリューム/頻度を示す xts オブジェクトであり、言及されたエラーは次のように述べています。

[1] "2014-09-24 22:00:17 data 1 @ 407"
Error in dindexOrderProc(openOrderSubset[i, ], mktPrices, curIndex) : 
  no price discernable for limit in applyRules

orderbook には 3 つの注文すべてが正しい価格で含まれているため、注文チェーンに問題はないようです。

                    Order.Qty Order.Price Order.Type  Order.Side Order.Threshold Order.Status Order.StatusTime      Prefer Order.Set Txn.Fees
2014-09-24 22:00:16 "1"       "407"       "market"    "long"     NA              "closed"     "2014-09-24 22:00:17" "ask"  "ocolong" "0"     
2014-09-24 22:00:17 "all"     "386.65"    "stoplimit" "long"     "-20.35"        "open"       NA                    ""     "ocolong" "0"     
2014-09-24 22:00:17 "all"     "427.35"    "limit"     "long"     "20.35"         "open"       NA                    ""     "ocolong" "0"

何か案は？

私はどこかで次のような指値注文価格を指定しているのを見つけました:

order.price=quote(data$ask.price[timestamp])

しかし、うまくいきませんでした。

4

2 に答える 2

1

mktdata からいくつかの列を削除し、価格列を一番左に移動すると、問題が解決しました。

于 2015-01-26T23:10:22.663 に答える