Pablo,
The luxor.1.strategy.basic.R strategy doesn't cancel old unfulfilled
stoplimit orders, and hence there are positions
book = getOrderBook(portfolio=portfolio.st)
book$forex$GBPUSD['2002-10-22/2002-10-24']
> book$forex$GBPUSD['2002-10-22/2002-10-24']
Order.Qty Order.Price Order.Type Order.Side
Order.Threshold Order.Status Order.StatusTime Prefer Order.Set
Txn.Fees Rule Time.In.Force
2002-10-22 17:00:00 "all" "1.5453" "market" "long" NA
"closed" "2002-10-22 17:30:00" "" NA "-6"
"Exit2SHORT" ""
2002-10-22 17:00:00 "-1e+05" "1.5447" "stoplimit" "short" "-5e-04"
"closed" "2002-10-22 17:30:00" "Low" NA "0"
"EnterSHORT" ""
2002-10-23 02:30:00 "all" "1.5485" "market" "short" NA
"closed" "2002-10-23 03:00:00" "" NA "-6"
"Exit2LONG" ""
2002-10-23 02:30:00 "1e+05" "1.5492" "stoplimit" "long" "5e-04"
"closed" "2002-10-23 03:00:00" "High" NA "0"
"EnterLONG" ""
2002-10-23 17:00:00 "all" "1.5468" "market" "long" NA
"closed" "2002-10-23 17:30:00" "" NA "-6"
"Exit2SHORT" ""
2002-10-23 17:00:00 "-1e+05" "1.5463" "stoplimit" "short" "-5e-04"
"closed" "2002-10-24 02:00:00" "Low" NA "0"
"EnterSHORT" ""
2002-10-23 22:00:00 "1e+05" "1.5491" "stoplimit" "long" "5e-04"
"replaced" "2002-10-24 11:00:00" "High" NA "0"
"EnterLONG" ""
2002-10-24 01:30:00 "-1e+05" "1.5459" "stoplimit" "short" "-5e-04"
"closed" "2002-10-24 03:00:00" "Low" NA "0"
"EnterSHORT" ""
2002-10-24 11:00:00 "all" "1.5476" "market" "short" NA
"closed" "2002-10-24 11:30:00" "" NA "-6"
"Exit2LONG" ""
2002-10-24 11:00:00 "1e+05" "1.5493" "stoplimit" "long" "5e-04"
"closed" "2002-10-24 12:00:00" "High" NA "0"
"EnterLONG" ""
>From above orderbook you can see that at the short position taken
on 2002-10-24 02:00:00 is actually from the stoplimit order from 2002-10-23
17:00:00. and the short position taken on 2002-10-24 03:00:00 is actually
from the stoplimit order from 2002-10-24 01:30:00
On Fri, May 9, 2014 at 12:32 PM, Pablo Rios <pablo.javier.r...@gmail.com>wrote:
> Just an additional comment:
> I had seen up to 4-5 successive short/long trades running
> luxor.1.strategy.basic.R demo code, with a longer GBP/USD time series, with
> lower code revisions (ex.: r15nn); r1609 is not the first time in which
> this behaviour happened.
> Thanks
> Pablo
>
>
> On Fri, May 9, 2014 at 1:09 AM, Pablo Rios <pablo.javier.r...@gmail.com
> >wrote:
>
> > Thanks for your quick response Joshua.
> >
> > Does the code changes in r1609 intend to fix the successive short (or
> > long) trades that I'm describing in my email, or only the Warning: stack
> > imbalance in 'lapply' message ? Although this warning message is no
> > longer reported, and the results of the Luxor strategy changed after
> r1609
> > (ex.: Net.Trading.PL value changed, among other variables), I'm still
> > observing the same behaviour of successive short (or long) trades running
> > the Luxor demo code with the GBP/USD demo data available in quantstrat.
> >
> > Moreover, if I run luxor.1.strategy.basic.R demo code with a longer
> > GBP/USD time series, using 30 minutes bars as in the demo data (ex.:
> three
> > years), I observed up to 5 successive short trades (i.e., Pos.Qty value
> of
> > GBPUSD$posPL xts object equal to -500,000) and 4 successive long trades.
> >
> > Further, looking at the firstCross.c in r1609 I'm seeing in
> > the switch(int_rel) statement that all comparisons are done by greater
> than
> > ('>'). I don't know whether this is correct or not.
> >
> > Thanks for your support, I'm eager to finally adopt quantstrat !
> >
> > Pablo
> >
> >
> > On Thu, May 8, 2014 at 8:09 AM, Joshua Ulrich <josh.m.ulr...@gmail.com
> >wrote:
> >
> >> On Wed, May 7, 2014 at 7:05 PM, fc_11 <jyo...@gmail.com> wrote:
> >> > i also am getting the "Warning: stack imbalance in 'lapply'," warning
> >> since
> >> > the 1608 upgrade
> >> >
> >> Fixed in r1609.
> >> --
> >> Joshua Ulrich | about.me/joshuaulrich
> >> FOSS Trading | www.fosstrading.com
> >>
> >> _______________________________________________
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> >> should go.
> >>
> >
> >
>
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