交易中的 Quantstrat 规则标签

Question

我似乎没有找到在审核交易时查看交易规则 name/label 的方法。我使用 getTxns() 但它来自 blotter 包，它不知道由 quantstrat 创建的规则。最好的方法是什么？

Answer 1

一般来说，blotter 对 quantstrat 做什么一无所知（除了 quantstrat 创建的交易）。

我相信 tradeOrderStats 函数可以满足您的需求。它将包含规则标签的 quantstrat 订单簿与 blotter txn table.

合并

例如：

require(quantstrat)
demo("macd", ask=FALSE)
head(tradeOrderStats(portfolio.st, stock.str),2)
           Order.Qty Order.Price  Order.Type Order.Side Order.Threshold
2007-08-17 "all"     "117.049995" "market"   "long"     NA             
2008-01-16 "all"     "169.039997" "market"   "long"     NA             
           Order.Status Order.StatusTime      Prefer Order.Set Txn.Fees Rule  
2007-08-17 "closed"     "2007-08-17 00:00:00" ""     "exit2"   "0"      "exit"
2008-01-16 "closed"     "2008-01-16 00:00:00" ""     "exit2"   "0"      "exit"
           Time.In.Force Start        End          Init.Pos Max.Pos Num.Txns
2007-08-17 ""            "2007-03-16" "2007-08-17" "100"    "100"   "2"     
2008-01-16 ""            "2007-09-05" "2008-01-16" "100"    "100"   "2"     
           Max.Notional.Cost Net.Trading.PL MAE          MFE         
2007-08-17 " 8957"           " 3249.0002"   "    0.0000" " 5643.0003"
2008-01-16 "14416"           " 1547.9994"   "-1239.0003" " 5566.9992"
           Pct.Net.Trading.PL Pct.MAE       Pct.MFE       tick.Net.Trading.PL
2007-08-17 " 0.36273308"      " 0.00000000" "0.630010074" " 3249.0002"       
2008-01-16 " 0.10738065"      "-0.08594619" "0.386168086" " 1547.9994"       
           tick.MAE     tick.MFE    
2007-08-17 "    0.0000" " 5643.0003"
2008-01-16 "-1239.0003" " 5566.9992"

Answer 2

您可以手动合并 Quantstrat 的订单簿和 Blotter 的交易，这将为您提供完整的交易列表（进入和退出）以及该交易的规则标签。

library(plyr)

QSOrderbook <- ldply(getOrderBook(portfolio.st), data.frame)
rownames(QSOrderbook) <- as.POSIXct(QSOrderbook$data.Order.StatusTime, format = "%Y-%m-%d %H:%M")

bltrTransactions <- as.data.frame(getTxns(Portfolio=portfolio.st, symbols))

Transactions <- merge(QSOrderbook, bltrTransactions[-1,], by=0)

交易中的 Quantstrat 规则标签

Quantstrat rule label in transaction

r

quantstrat

blotter