Quanstrat策略 - 错误

我的量化策略返回了一个我没有发现正在讨论的错误。Quanstrat策略 - 错误

策略非常简单：计算给定时间段内的滚动总和。如果滚动数量超过某个阈值，请进入多头并提交两个oco订单，在+/- 5％的距离内获利和止损。

的代码是：

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)

数据结构如下：

> 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")))

它是一个XTS对象表示买入/卖出交易的体积/ frekvency在一个第二和提到的错误说：

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

似乎没有订单链的问题，因为订单包含所有三个订单s正确的价格：

    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？

我发现某处指定如限价令价格：

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

，但没有成功。

来源

2014-11-23 Steef Gregor

嗨Steef，还没有到它的底部还没有，但希望这会有所帮助。所产生的错误信息是由触发如果（is.na（mktPrice）|| is.null（mktPrice））停止（ “没有价格可辨的” 订单类型 “在applyRules”）上applyStrategy右边的错误呈现？ – OliE 2014-12-01 11:23:03

嗨，奥列，我追溯了这个错误，是的，你是对的。错误来自applyStrategy，指标和信号是正确的。我认为这个错误来自于限制订单规则中的order.price声明，因为我的数据不是（也不能）以OHLC格式存在，所以这个订单不知道从哪里收取价格。我试过类似order.price = quote（data $ ask.price [timestamp]），但它不起作用。 – 2014-12-03 10:01:42

重新排列您的数据，以便价格优先。如果您没有指定价格列，例如通过'prefer'参数，然后quantstrat将调用'getPrice'，并尝试猜测。它应该能够检测出价/询价数据，但预计价格会在BBO数据集中的补充数据之前出现。 – 2014-12-09 10:17:32

从mktdata中删除一些列并将价格列移到左边即可解决问题。

来源

2015-01-26 23:10:22

我有同样的问题，我发现我有一些N/A在我的“问题”列。

去除N/A的固定问题na.locf（）

来源

2015-08-10 07:25:13

Quanstrat策略 - 错误

回答

相关问题