quantstrat: buy next bar at open

Question

How to implement "Buy at next bar with Open price" in quantstrat?

Here is my experiment with maCross.R sample.

1. Add prefer='Open' in ruleSignal

   stratMACROSS <- add.rule(strategy = stratMACROSS, name='ruleSignal',
                            arguments = list(sigcol="ma50.gt.ma200", sigval=TRUE, orderqty=100000, ordertype='market', orderside='long', prefer='Open'), type='enter')
   stratMACROSS <- add.rule(strategy = stratMACROSS, name='ruleSignal', 
                            arguments = list(sigcol="ma50.lt.ma200", sigval=TRUE, orderqty=-100000, ordertype='market', orderside='long', prefer='Open'), type='exit')
   

2. Order was generated at current Open price, but executed at next bar Close.

   > orders <- getOrderBook(portfolio.st)
   > head(orders)
                   Order.Qty Order.Price Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime     
   2011-05-22 00:00:00 "0"       NA          "init"     "long"     "0"             "closed"     "2011-05-22"         
   2011-05-24 04:30:00 "1e+05"   "1.61297"   "market"   "long"     NA              "closed"     "2011-05-24 05:00:00"
   2011-05-25 03:00:00 "-1e+05"  "1.61523"   "market"   "long"     NA              "closed"     "2011-05-25 03:30:00"
   2011-05-25 05:00:00 "1e+05"   "1.61537"   "market"   "long"     NA              "closed"     "2011-05-25 05:30:00"
   2011-05-30 09:30:00 "-1e+05"  "1.64679"   "market"   "long"     NA              "closed"     "2011-05-30 10:00:00"
   
   > txns <- getTxns(Portfolio=portfolio.st, Symbol=fx.st[1])
   > head(txns)
                   Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
   2011-05-22 00:00:00   0e+00   0.00000        0         0      0.00000                   0
   2011-05-24 05:00:00   1e+05   1.61227        0    161227      1.61227                   0
   2011-05-25 03:30:00  -1e+05   1.61437        0   -161437      1.61437                 210
   2011-05-25 05:30:00   1e+05   1.61929        0    161929      1.61929                   0
   2011-05-30 10:00:00  -1e+05   1.64584        0   -164584      1.64584                2655
   2011-05-30 19:30:00   1e+05   1.65046        0    165046      1.65046                   0
   

3. For example, order was generated at 2011-05-25 03:00:00 with Open price 1.61523, but transaction was at 03:30:00 with Close price 1.61437

   Market Data is shown below.

   Date    Time    Open    High    Low     Close   Up  Down
   5/24/2011   430 1.61297 1.6153  1.61288 1.61421 1804    1700
   5/24/2011   500 1.61409 1.61445 1.61224 1.61227 1709    1662
   5/25/2011   300 1.61523 1.61628 1.61318 1.6139  1526    1465
   5/25/2011   330 1.61393 1.61541 1.61345 1.61437 1713    1583
   

Answer 1

Using the maCross.R demo, if you change the applyStrategy line to include prefer=Open like this

out<-try(applyStrategy(strategy=stratMACROSS , portfolios=portfolio.st, prefer='Open'))

You'll get executions on the open of the next bar.

> head(txns)
           Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost Net.Txn.Realized.PL
1999-12-31   0e+00  0.000000        0       0.0     0.000000                   0
2001-06-27   1e+05 11.863950        0 1186395.0    11.863950                   0
2001-09-07  -1e+05  8.709491        0 -870949.1     8.709491             -315446
2002-01-07   1e+05 11.808210        0 1180821.0    11.808210                   0
2002-07-10  -1e+05  8.814099        0 -881409.9     8.814099             -299411
2003-05-16   1e+05  9.255447        0  925544.7     9.255447                   0

> head(AAPL['2001-06-26/'])
           AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2001-06-26  11.61595  11.82995 11.45171      11.82     9742200         11.82
2001-06-27  11.86395  11.94859 11.20180      11.62    13361800         11.62
2001-06-28  11.47604  11.90421 11.42127      11.72    12443200         11.72
2001-06-29  11.78421  12.50142 11.55510      11.58    18406800         11.58
2001-07-02  11.77054  12.06431 11.52159      11.90     8216000         11.90
2001-07-03  11.70569  12.03929 11.70071      11.87     4019400         11.87

And check to see that the signals were sent on the bar prior to the execution bar

> .strategy$order_book.macross$macross$AAPL
           Order.Qty Order.Price        Order.Type Order.Side Order.Threshold Order.Status Order.StatusTime      Prefer Order.Set Txn.Fees Rule             
1999-12-31 "0"       NA                 "init"     "long"     "0"             "closed"     "1999-12-31"          ""     ""        "0"      ""               
2001-06-26 "1e+05"   "11.6159494736842" "market"   "long"     NA              "closed"     "2001-06-27 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2001-09-06 "-1e+05"  "9.15846501128668" "market"   "long"     NA              "closed"     "2001-09-07 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2002-01-04 "1e+05"   "11.6158125791473" "market"   "long"     NA              "closed"     "2002-01-07 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2002-07-09 "-1e+05"  "9.0088819167142"  "market"   "long"     NA              "closed"     "2002-07-10 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2003-05-15 "1e+05"   "9.25531233315537" "market"   "long"     NA              "closed"     "2003-05-16 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2006-06-21 "-1e+05"  "57.4905184929139" "market"   "long"     NA              "closed"     "2006-06-22 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2006-09-25 "1e+05"   "73.498195379538"  "market"   "long"     NA              "closed"     "2006-09-26 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2008-03-06 "-1e+05"  "124.074175969569" "market"   "long"     NA              "closed"     "2008-03-07 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2008-05-16 "1e+05"   "189.299382795011" "market"   "long"     NA              "closed"     "2008-05-19 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2008-09-23 "-1e+05"  "131.28867076632"  "market"   "long"     NA              "closed"     "2008-09-24 00:00:00" "Open" NA        "0"      "ruleSignal.rule"
2009-05-13 "1e+05"   "122.684122520713" "market"   "long"     NA              "closed"     "2009-05-14 00:00:00" "Open" NA        "0"      "ruleSignal.rule"

Note that this is not how prefer is supposed to be used (at least not how it is documented). Also, I'm not sure if or how this will change where signals fire.