Quantstrat 策略 - 错误答案

【问题标题】：Quanstrat strategy - errorQuantstrat 策略 - 错误
【发布时间】：2014-11-23 23:29:23
【问题描述】：

我的 quanstrat 策略返回了一个我还没有讨论过的错误。

策略非常简单：计算给定时间段内的滚动总和。如果滚动总和超过某个阈值，则进入多头并同时提交两个 oco 订单，止盈和止损在 +/- 5% 的距离内。

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")))

这是一个 xts 对象，显示一秒钟内的买卖量/交易频率，并且提到的错误说：

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

订单链似乎没有问题，因为订单簿包含所有三个价格正确的订单：

                    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"

有什么想法吗？

我在某处发现指定限价单价格，例如：

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

但没有成功。

【问题讨论】：

嗨 Steef，还没有深入了解它，但希望这会有所帮助。生成的错误消息是由 if (is.na(mktPrice) || is.null(mktPrice)) stop("no price contrastable for ", orderType, " in applyRules") 触发的，错误出现在 applyStrategy 上吧？
嗨 Olie，我也追踪了错误，是的，你是对的。错误来自 applyStrategy，指标和信号是正确的。我认为错误来自限价订单规则中的 order.price 语句，因为我的数据不是（也不能是）OHLC 格式，因此限价订单不知道从哪里获取价格。我尝试了类似 order.price=quote(data$ask.price[timestamp]) 的方法，但没有成功。
重新排列您的数据，让价格排在第一位。如果您不指定价格列，例如通过prefer 参数，quantstrat 将调用getPrice，并尝试猜测。它应该能够检测出价/要价数据，但预计价格会出现在 BBO 数据集中的补充数据之前。
您能否说得更具体一些或提供解决方案？我首先尝试重新排列列，以便价格、bid.price 和 ask.price 先行，但这没有帮助并以同样的错误结束。然后我尝试将prefer = "ask.price" 包含在止损和止盈订单中，但它也抛出了同样的错误。唯一的区别是，订单簿在 Prefer 列中为进入订单显示“ask”，为两个退出订单显示“ask.price”。包括 prefer = "ask.price" 来输入订单也无济于事。

标签： r quantstrat

【解决方案1】：

从 mktdata 中删除一些列并将价格列移到最左边解决了这个问题。

【讨论】：

【解决方案2】：

我有同样的问题，我发现我的“询问”列中有一些不适用。

删除 N/A 修复了问题 na.locf()

【讨论】：