Quanstrat策略 - 錯誤

我的量化策略返回了一個我沒有發現正在討論的錯誤。Quanstrat策略 - 錯誤

策略非常簡單：計算給定時間段內的滾動總和。如果滾動數量超過某個閾值，請進入多頭並提交兩個oco訂單，在+/- 5％的距離內獲利和止損。

的代碼是：

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)

數據結構如下：

> 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")))

它是一個XTS對象表示買入/賣出交易的體積/ frekvency在一個第二和提到的錯誤說：

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

似乎沒有訂單鏈的問題，因爲訂單包含所有三個訂單s正確的價格：

    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"

任何想法？

我發現某處指定如限價令價格：

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

，但沒有成功。

來源

2014-11-23 Steef Gregor

嗨Steef，還沒有到它的底部還沒有，但希望這會有所幫助。所產生的錯誤信息是由觸發如果（is.na（mktPrice）|| is.null（mktPrice））停止（「沒有價格可辨的」訂單類型「在applyRules」）上applyStrategy右邊的錯誤呈現？ – OliE 2014-12-01 11:23:03

嗨，奧列，我追溯了這個錯誤，是的，你是對的。錯誤來自applyStrategy，指標和信號是正確的。我認爲這個錯誤來自於限制訂單規則中的order.price聲明，因爲我的數據不是（也不能）以OHLC格式存在，所以這個訂單不知道從哪裏收取價格。我試過類似order.price = quote（data $ ask.price [timestamp]），但它不起作用。 – 2014-12-03 10:01:42

重新排列您的數據，以便價格優先。如果您沒有指定價格列，例如通過'prefer'參數，然後quantstrat將調用'getPrice'，並嘗試猜測。它應該能夠檢測出價/詢價數據，但預計價格會在BBO數據集中的補充數據之前出現。 – 2014-12-09 10:17:32

從mktdata中刪除一些列並將價格列移到左邊即可解決問題。

來源

2015-01-26 23:10:22

我有同樣的問題，我發現我有一些N/A在我的「問題」列。

去除N/A的固定問題na.locf（）

來源

2015-08-10 07:25:13

Quanstrat策略 - 錯誤

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