I'm a bit puzzled with how exactly Quantstrat places orders if they are generated within a single day by several signals. I'm trying to implement a simple pair-trading strategy (with zero being both an entry and exit threshold), so when z-score flips its sign, two signals should be generated for each symbol (SELL LONG -> SELL SHORT or COVER SHORT -> BUY LONG). The problem is QS always ignores exit order (makes it 'replaced' by a subsequent entry order). What should I do to prevent signals from being replaced or canceled? Is it possible to execute several orders on a single bar at all?
Here's my setup. Signals:
add.signal( strategy = strategy_st,
name = 'sigFormula',
arguments = list( columns = c('score', 'entry_threshold'),
formula = 'score > entry_threshold',
cross = TRUE
),
label = 'sigEnterUpper')
add.signal( strategy = strategy_st,
name = 'sigFormula',
arguments = list( columns = c('score', 'entry_threshold'),
formula = 'score <= -entry_threshold',
cross = TRUE
),
label = 'sigEnterLower')
#exit
add.signal( strategy = strategy_st,
name = 'sigFormula',
arguments = list( columns = c('score', 'exit_threshold'),
formula = 'score <= exit_threshold',
cross = TRUE
),
label = 'sigExitUpper')
add.signal( strategy = strategy_st,
name = 'sigFormula',
arguments = list( columns = c('score', 'exit_threshold'),
formula = 'score >= -exit_threshold',
cross = TRUE
),
label = 'sigExitLower')
Rules:
#entries
#longs
add.rule( strategy = strategy_st,
name = 'ruleSignal',
label = 'increase_long_up',
arguments = list( sigcol = 'sigEnterUpper',
sigval = TRUE,
orderqty = default_order_quantity,
ordertype = 'market',
orderside = 'long',
osFUN = orderSizeIncrease),
type = 'enter',
path.dep = TRUE
)
add.rule( strategy = strategy_st,
name = 'ruleSignal',
label = 'increase_long_low',
arguments = list( sigcol = 'sigEnterLower', #sigcol = 'sigFlipper', #sigcol = 'sigStartTrading',
sigval = TRUE,
orderqty = default_order_quantity,
ordertype = 'market',
orderside = 'long',
osFUN = orderSizeIncrease),
type = 'enter',
path.dep = TRUE)
#shorts
add.rule( strategy = strategy_st,
name = 'ruleSignal',
label = 'increase_short_up',
arguments = list( sigcol = 'sigEnterUpper', #sigcol = 'sigFlipper', #sigcol = 'sigStartTrading',
sigval = TRUE,
orderqty = default_order_quantity,
ordertype = 'market',
orderside = 'short',
osFUN = orderSizeIncrease),
type = 'enter',
path.dep = TRUE)
add.rule( strategy = strategy_st,
name = 'ruleSignal',
label = 'increase_short_low',
arguments = list( sigcol = 'sigEnterLower', #sigcol = 'sigFlipper', #sigcol = 'sigStartTrading',
sigval = TRUE,
orderqty = default_order_quantity,
ordertype = 'market',
orderside = 'short',
osFUN = orderSizeIncrease),
type = 'enter',
path.dep = TRUE)
#exits
add.rule( strategy = strategy_st,
name = 'ruleSignal',
label = 'close_position_up',
arguments = list( sigcol = 'sigExitUpper',
sigval = TRUE,
orderqty = 'all',
ordertype = 'market',
orderside = NULL),
type = 'exit')
add.rule( strategy = strategy_st,
name = 'ruleSignal',
label = 'close_position_low',
arguments = list( sigcol = 'sigExitLower',
sigval = TRUE,
orderqty = 'all',
ordertype = 'market',
orderside = NULL),
type = 'exit')
Signals generated:
EWA.Close score entry_threshold exit_threshold sigEnterUpper sigEnterLower sigExitUpper sigExitLower
2006-04-04 22.95 0.00000000 0 0 NA NA NA NA
2006-04-05 22.78 0.00000000 0 0 NA NA NA NA
2006-04-06 22.94 0.00000000 0 0 NA NA NA NA
2006-04-07 23.05 0.00000000 0 0 NA NA NA NA
2006-04-08 23.32 0.00000000 0 0 NA NA NA NA
2006-04-09 23.12 0.00000000 0 0 NA NA NA NA
2006-04-10 23.01 0.00000000 0 0 NA NA NA NA
2006-04-11 23.33 0.00000000 0 0 NA NA NA NA
2006-04-12 23.23 0.00000000 0 0 NA NA NA NA
2006-04-13 23.54 0.00000000 0 0 NA NA NA NA
2006-04-14 23.56 0.00000000 0 0 NA NA NA NA
2006-04-15 23.17 0.00000000 0 0 NA NA NA NA
2006-04-16 22.76 0.00000000 0 0 NA NA NA NA
2006-04-17 22.20 0.00000000 0 0 NA NA NA NA
2006-04-18 22.29 0.00000000 0 0 NA NA NA NA
2006-04-19 21.79 0.00000000 0 0 NA NA NA NA
2006-04-20 21.47 0.00000000 0 0 NA NA NA NA
2006-04-21 21.55 0.00000000 0 0 NA NA NA NA
2006-04-22 21.35 0.00000000 0 0 NA NA NA NA
2006-04-23 21.37 0.00000000 0 0 NA NA NA NA
2006-04-24 21.15 0.00000000 0 0 NA NA NA NA
2006-04-25 21.99 0.00000000 0 0 NA NA NA NA
2006-04-26 22.20 1.89349767 0 0 NA 1 NA 1
2006-04-27 22.10 2.05270575 0 0 NA NA NA NA
2006-04-28 22.38 2.68490142 0 0 NA NA NA NA
2006-04-29 22.38 2.40434146 0 0 NA NA NA NA
2006-04-30 22.60 1.87012946 0 0 NA NA NA NA
2006-05-01 22.09 1.42771737 0 0 NA NA NA NA
2006-05-02 21.86 1.49838977 0 0 NA NA NA NA
2006-05-03 21.44 1.18071344 0 0 NA NA NA NA
2006-05-04 21.04 0.59868857 0 0 NA NA NA NA
2006-05-05 21.32 0.85730960 0 0 NA NA NA NA
2006-05-06 21.02 0.77078417 0 0 NA NA NA NA
2006-05-07 20.23 0.74856764 0 0 NA NA NA NA
2006-05-08 20.41 -0.01843937 0 0 1 NA 1 NA #I expect to cover short and buy long here
2006-05-09 21.00 -0.26363152 0 0 NA NA NA NA
2006-05-10 20.78 -0.44662726 0 0 NA NA NA NA
2006-05-11 20.32 -0.71957534 0 0 NA NA NA NA
2006-05-12 20.29 -0.76088199 0 0 NA NA NA NA
Orders generated:
Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime Prefer Order.Set Txn.Fees Rule Time.In.Force
2006-04-26 "-1.046" "22.2" "market" "short" NA "closed" "2006-04-27 00:00:00" "" NA "0" "increase_short_low" ""
2006-05-08 "all" "20.41" "market" "short" NA "replaced" "2006-05-08" "" NA "0" "close_position_up" ""
2006-05-08 "1.046" "20.41" "market" "long" NA "closed" "2006-05-09 00:00:00" "" NA "0" "increase_long_up" ""
