交易中的Quantstrat规则标签

Question

在查看事务时，我似乎没有找到查看事务的规则名称/标签的方法。我使用getTxns()，但它来自blotter，它不知道quantstrat创建的规则。最好的方法是什么？

Answer 1

作为一般规则，blotter不知道quantstrat做什么(除了quantstrat创建的事务)。

我相信tradeOrderStats函数所做的事情与您所要寻找的非常接近。它将包含规则标签的quantstrat与blotter txn表合并。

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

您可以手动将Quantstrat的Orderbook与Blotter的事务合并，这将为您提供事务的完整列表(条目和出口)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)