I don't seem to find is there a way to see Rule name/label of the transaction when reviewing them. I use getTxns() but it is from blotter package and it is not aware of rules that are created by quantstrat. What would be best way to do that?
问问题
201 次
2 回答
1
作为一般规则，blotter 对 quantstrat 所做的事情一无所知（除了 quantstrat 创建的事务）。
我相信该tradeOrderStats功能的功能与您正在寻找的功能接近。它将包含规则标签的 quantstrat 订单簿与吸墨纸txn表合并。
例如：
require(quantstrat)
demo("macd", ask=FALSE)
head(tradeOrderStats(portfolio.st, stock.str),2)
Order.Qty Order.Price Order.Type Order.Side Order.Threshold
2007-08-17 "all" "117.049995" "market" "long" NA
2008-01-16 "all" "169.039997" "market" "long" NA
Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule
2007-08-17 "closed" "2007-08-17 00:00:00" "" "exit2" "0" "exit"
2008-01-16 "closed" "2008-01-16 00:00:00" "" "exit2" "0" "exit"
Time.In.Force Start End Init.Pos Max.Pos Num.Txns
2007-08-17 "" "2007-03-16" "2007-08-17" "100" "100" "2"
2008-01-16 "" "2007-09-05" "2008-01-16" "100" "100" "2"
Max.Notional.Cost Net.Trading.PL MAE MFE
2007-08-17 " 8957" " 3249.0002" " 0.0000" " 5643.0003"
2008-01-16 "14416" " 1547.9994" "-1239.0003" " 5566.9992"
Pct.Net.Trading.PL Pct.MAE Pct.MFE tick.Net.Trading.PL
2007-08-17 " 0.36273308" " 0.00000000" "0.630010074" " 3249.0002"
2008-01-16 " 0.10738065" "-0.08594619" "0.386168086" " 1547.9994"
tick.MAE tick.MFE
2007-08-17 " 0.0000" " 5643.0003"
2008-01-16 "-1239.0003" " 5566.9992"
于 2015-11-04T03:06:38.597 回答
0
您可以手动将 Quantstrat 的订单簿与 Blotter 的交易合并，这将为您提供交易的完整列表（进入和退出）以及该交易的规则标签。
library(plyr)
QSOrderbook <- ldply(getOrderBook(portfolio.st), data.frame)
rownames(QSOrderbook) <- as.POSIXct(QSOrderbook$data.Order.StatusTime, format = "%Y-%m-%d %H:%M")
bltrTransactions <- as.data.frame(getTxns(Portfolio=portfolio.st, symbols))
Transactions <- merge(QSOrderbook, bltrTransactions[-1,], by=0)
于 2016-06-05T17:03:03.090 回答