quantstrat (version 0.8.2)

updateOrders: update an order or orders

Description

When an order gets filled, it should have its status moved to 'closed'.

Usage

updateOrders(portfolio, symbol, timespan, ordertype = NULL, side = NULL, qtysign = NULL, orderset = NULL, oldstatus = "open", newstatus, statustimestamp)

Arguments

portfolio

text name of the portfolio to associate the order book with

symbol

identfier of the instrument to find orders for. The name of any associated price objects (xts prices, usually OHLC) should match these

timespan

xts-style character timespan to be the period to find orders of the given status and ordertype

ordertype

one of NULL, "market","limit","stoplimit" or "stoptrailing" default NULL

side

one of NULL, "long" or "short", default NULL

qtysign

one of NULL, -1,0,1 ; could be useful when all qty's are reported as positive numbers and need to be identified other ways, default NULL

orderset

set a tag identifying the orderset

oldstatus

one of NULL, "open", "closed", "canceled", "revoked", or "replaced", default "open"

newstatus

one of "open", "closed", "canceled", "revoked", or "replaced"

statustimestamp

timestamp of a status update, will be blank when order is initiated

Details

When an order is updated with a new order, the order status should change to 'replaced' with a StatusTime that is the same as the one for the new order. This could happen in the case of a traditional Cancel/Replace, because of a trailing stop, or in the case of a partial fill that needs to enter a replaced order for the remainder.

When a risk event or over-limit event happens, typically open orders will be 'revoked'. Possibly new orders will be added to close open positions. Many models will also want to run a process at the close of market that will cancel all open orders.

If orderset is passed to updateOrders, all orders with oldstatus for the orderset will be updated, regardless of their other parameters.

See Also

addOrder

getOrders

getOrderBook