osFixedDollar Producing Wrong Time Stamps Quantstrat R

I have a strategy where I sell VXX when F1.F2 Contango in The vix futures is greater than 9 and close the position when F1.F2 Contango is less than 2.

I would like to apply the Fixed Dollar Function. After the code runs and I check my order book vs mktdata I see the strategy taking positions for unwanted time stamps. To make sure it wasn't other code messing it up, I switched osFixedDollar for osMaxPos. The code worked as expected! So the problem lies within the osFixedDollar function.

Before I produce the code, here is a quick glimpse of the problem.

The order book trades are taken at different times. For example when we get a signal to go long on 2009-10-14 (highRoll == 1). The order book does not end up taking it until 2010-09-17! In fact none of the dates are accurate.

I tried customizing the osFixedDollar function but did not find a solution

Data will be provided at the end of the page. library(DT) library(quantstrat) library(tidyverse)

Sys.setenv(TZ = "UTC")
rm.strat(strat)
currency("USD")
ticker = "VXX"
stock(ticker, currency = "USD", multiplier = 1)

osFixedDollar <- function(timestamp, orderqty, portfolio, symbol, ruletype, ...) {
      pos<-getPosQty(portfolio,symbol,timestamp)
      if(is.character(orderqty)) {
            if(ruletype == "risk" && orderqty == "all") {
                  orderqty <- pos * -1
                  return(as.numeric(orderqty))
            } else {
                  stop("orderqty ", orderqty, " is not supported for non-risk ruletypes")
            }
      }else{
      ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
      orderqty <- round(trade_size/ClosePrice,-2)*sign(orderqty)
      return(as.numeric(orderqty))}

}
trade_size = 1000000
strat = "learn"
initPortf(strat, ticker)
initOrders(strat,ticker)
initAcct(strat, strat, initEq = 1000000)
strategy(strat, store = TRUE)

add.signal(strat, "sigThreshold", arguments = list(threshold = 9, column = "F1.F2.Contango",
                                                  relationship = "gte", cross = T), 
           label = "highRoll")
add.signal(strat, "sigThreshold", arguments = list(threshold = 2, column = "F1.F2.Contango",
                                                   relationship = "lt", cross = T),
           label = "lowRoll")


add.rule(strat, "ruleSignal", arguments = list(sigcol = "highRoll", 
                                               sigval = TRUE, 
                                               orderqty  = -100, 
                                              ordertype = "market",
                                               orderside = "short", 

                                               osFUN = osFixedDollar
                                              ),
         type = "enter",
         label = "enter2short")

add.rule(strat, "ruleSignal", arguments = list(sigcol = "lowRoll",
                                               sigval = TRUE, 
                                               orderqty = "all", 
                                               orderside = 'short', 
                                               ordertype = "market"
                                               ),
         type = "exit",
         label = "exit2long")


out = applyStrategy(strat, strat)
updatePortf(strat)
chart.Posn(strat, ticker)
View(mktdata)
z = getOrderBook(strat)
DT::datatable(z[[1]][[1]])

Here is a sample of the data.

    VXX = structure(c(32.439999, 32.82, 32.43, 32.080002, 31.98, 32.139999, 
31.271999, 31.620001, 31.249001, 32.839001, 32.09, 34.209999, 
33.32, 38.099998, 36.540001, 38.5, 39.200001, 36.919998, 37.740002, 
37.740002, 36.16, 34.365002, 32.48, 31.790001, 32.84, 32, 31.729, 
31.24, 30.719999, 30.559999, 31.200001, 31.267, 31.559999, 30.74, 
30.459999, 30.540001, 31.540001, 32.130001, 31.379999, 31, 30.68, 
30.139999, 29.268, 28.559999, 28.032, 28.530001, 29.959999, 31.700001, 
30.1, 31.98, 30.23, 29.49, 28.879999, 29.459999, 28.950001, 29.030001, 
28.860001, 28.9, 28.93, 28.65, 29.51, 29.690001, 29.280001, 29.459999, 
30.360001, 30.809999, 29.98, 29.1, 28.719999, 27.940001, 27.35, 
28.200001, 28.049999, 27.08, 26.639999, 26.566, 26.67, 26.92, 
27, 26.74, 26.700001, 26.4, 26.4, 26.200001, 27.799999, 28.24, 
28.639999, 29.08, 33.950001, 36.860001, 34.07, 34.27, 32.080002, 
32.459999, 34.849998, 34.27, 34.580002, 35.889999, 38.66, 37.860001, 
39.990002, 40.34, 38.810001, 37.580002, 36.369999, 36.66, 36.310001, 
35.080002, 32.650002, 32.5, 33.233002, 36.060001, 36.330002, 
37.27, 36.880001, 35.189999, 37.25, 39.330002, 38.41, 38.740002, 
36.549999, 35.900002, 34.84, 35.470001, 34.470001, 32.599998, 
36.84, 37.790001, 40.32, 39.93, 39.937, 39.619999, 39.009998, 
40.599998, 42.59, 42.790001, 42.639999, 44.810001, 47.07, 49.43, 
46.810001, 48.790001, 48.709999, 46.990002, 45.740002, 47.639999, 
43.860001, 42.880001, 42.009998, 41.02, 40.59, 39.27, 39.380001, 
37.669998, 38.43, 38, 37.060001, 40.32, 40.099998, 38.68, 37.23, 
38.77, 38.66, 36.959999, 35.43, 35.09, 34, 33.709999, 33.529999, 
34.650002, 34.23, 33.860001, 33.25, 33.169998, 33.77, 32.59, 
32.689999, 31.379999, 31.790001, 30.59, 31.139999, 31.4, 31.43, 
31.41, 29.98, 30.709999, 30.889999, 31.799999, 33.009998, 33.23, 
30.809999, 29.940001, 29.620001, 29.129999, 28.59, 28.66, 28.85, 
29.16, 28.780001, 32.080002, 32.240002, 30.42, 30.879999, 30.190001, 
29.26, 28.74, 28.66, 28.860001, 28.57, 28, 27.870001, 28.860001, 
28.049999, 27.5, 26.26, 25.92, 25.709999, 25.889999, 25.48, 25.25, 
25.049999, 25.700001, 26.200001, 25.290001, 25.68, 25.68, 26.65, 
26.690001, 25.42, 26.860001, 31.33, 30.709999, 30.549999, 28.190001, 
32.450001, 30.65, 29.360001, 28.1, 28.52, 28.940001, 27.48, 27.219999, 
29.02, 28.42, 29.27, 29.84, 29.309999, 30.42, 30.73, 29.02, 28.459999, 
27.85, 28.059999, 27.860001, 27.91, 27.780001, 27.610001, 27.32, 
27.030001, 26.82, 25.93, 26.01, 26.620001, 26.379999, 27.049999, 
26.84, 26.42, 26, 24.559999, 23.65, 23.51, 23.58, 24.23, 24.299999, 
23.559999, 23.17, 22.799999, 22.709999, 22.780001, 23.360001, 
23.115, 23.379999, 22.91, 22.1, 21.540001, 22.200001, 21.639999, 
21.83, 22.34, 23.59, 25.450001, 25.66, 29.299999, 27.48, 27.620001, 
25.98, 26.93, 28.889999, 26.76, 30.465, 29.67, 28.030001, 25.98, 
26.6, 25.299999, 7.65, 7.59, 6.75, 8.54, 9, 7.18, 7.89, 9.15, 
7.89, 4.79, 5.03, 2.69, 4.51, -0.31, 1.57, -0.3, 0.3, 2.18, 1.87, 
2.14, 3.88, 6.52, 6.17, 7.45, 4.94, 8.63, 9.63, 10.02, 15.26, 
6.82, 6, 6.3, 6.75, 6.39, 7.59, 7.76, 5.93, 5.04, 6.75, 5.95, 
7.54, 9.43, 10.36, 10.22, 11.13, 11.44, 7.26, 4.03, 7.29, 2.35, 
7.65, 9.56, 10.96, 13.59, 6.35, 6.68, 7.43, 7.79, 8.53, 9.34, 
7.92, 8.2, 7.03, 6.52, 5.6, 5.53, 6.09, 6.33, 7.13, 9.35, 11.65, 
10.31, 15.32, 5.95, 6.42, 6.73, 6.42, 6.39, 5.89, 6.37, 7.16, 
6.82, 6.8, 6.9, 2.35, 1.64, 0.32, -0.31, -7.95, -12.51, -9.03, 
-7.95, -2.26, 0.29, -1.9, -1.36, -2.15, -2.12, -4.85, -5.26, 
-4.74, -4.41, -3.35, -2.47, -1.3, -2.55, -3.09, -2.15, 1.78, 
1.18, 1.14, -4.34, -2.57, -3.72, -1.29, 0.27, -2.76, -7.89, 1.24, 
0.24, 2.38, 1.86, 1.92, 2.45, 2.83, 3.58, -0.77, -2.26, -3.5, 
-3.75, -3.76, -3.08, -2.41, -3.91, -7.67, -10.94, -1.79, -2.86, 
-5.66, -9.94, -8.31, -8.39, -9.28, -7.86, -5.41, -6.56, -3.19, 
-2.33, 0, 0.75, 0.75, 2.37, 1.3, 0, 0.26, 1.35, 1.64, -2.23, 
-0.76, 0.26, 1.37, 0, -0.26, 2.23, 3.8, 2.94, 3.33, 2.72, 2.75, 
1.16, 2.71, 4.62, 7.04, 0.9, 1.18, 1.84, 1.84, 4.17, 3.78, 4.94, 
3.53, 4.13, 4.15, 4.17, 5.4, 3.93, 3.88, 2.49, 0.9, 1.8, 5.99, 
8.29, 9.95, 10.05, 10.39, 16.25, 5.29, 5.22, 5.64, 2.39, 2.38, 
4.71, 4.62, 6.4, 7.22, 7.39, 8.07, 7.73, 7.78, 9.42, 8.29, 7.63, 
9.36, 12.3, 15.66, 16.7, 16.3, 6.84, 7.97, 8.47, 8.5, 7.2, 7.76, 
8.38, 8.26, 9.36, 7.22, 6.92, 9.11, 5.15, -0.84, -1.38, -0.56, 
4.34, -2.82, -0.28, 2.66, 6.68, 7.24, 6.51, 8.32, 4.01, 1.73, 
3.59, 2.01, 1.41, 2.3, 1.1, 0.27, 2.61, 4.21, 3.95, 2.99, 3.97, 
3.95, 4.29, 5.58, 6.34, 8.84, 10.28, 4.41, 3.72, 3.63, 4.3, 3.9, 
4.54, 5.6, 6.76, 8.04, 9.49, 10.7, 9.42, 7.73, 8.43, 11.05, 13.21, 
16, 18.25, 19.96, 5.41, 6.85, 5.35, 7.91, 9.14, 10.09, 9.88, 
10.09, 10.02, 8.96, 6.84, 1.72, 1.14, -6.47, -1.27, -1.29, 1.97, 
0.54, -3.85, 1.93, -4.67, -3.31, 2.93, 7.43, 7.26, 3.74, 0.820295983086681, 
0.840609840609841, 0.834246575342466, 0.848797250859107, 0.845784784098698, 
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0.989155251141552, 0.94368696243705, 0.992243822284976, 0.96175799086758, 
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0.85230352303523, 0.837689133425034, 0.863973063973064, 0.8375, 
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This will be my first contribution to the Quanstrat community so your criticism would be greatly appreciated!

The problem was I was rounding to the closest hundred. So some positions that were less than 50 were being rounded down to 0. The other problem was I kept adding a position every time "highRoll" was true.

I have created a function called osFixedDollarMaxPos which gives you an "in or out" scenario. Sort of like combining osMaxPos with osFixedDollar.

I got my desired result after replacing osFixedDollar with osFixedDollarMaxPos. Here it is!

osFixedDollarMaxPos <- function(timestamp, orderqty, portfolio, symbol, ruletype,trade_size, ...) {
      pos<-getPosQty(portfolio,symbol, timestamp)


      if(is.character(orderqty)) {
            if(ruletype == "risk" && orderqty == "all") {
                  orderqty <- pos * -1
            } else {
                  stop("orderqty ", orderqty, " is not supported for non-risk ruletypes")
            }
      }


      if(pos > 0 || pos < 0){
            orderqty = 0
      }else if (orderqty > 0 && pos == 0){#go long
            ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
            orderqty <- round(trade_size/ClosePrice)*sign(orderqty)
      }else if(orderqty < 0 && pos == 0){#go short
            ClosePrice <- as.numeric(Cl(mktdata[timestamp,]))
            orderqty <- round(trade_size/ClosePrice)*sign(orderqty)
       }

     return(orderqty)


}

Here is how it should be called. Add an arbitrary "orderqty" to show if you are long or short. ie. -100 = short, 100 = long

add.rule(strat, "ruleSignal", arguments = list(sigcol = "highRoll", 
                                               sigval = TRUE, 
                                               orderqty  = -100, 
                                               orderside = "short",
                                               ordertype = "market",
                                               osFUN = osFixedDollarMaxPos, 
                                               prefer = "Close"
                                              ),
         type = "enter",
         label = "enter2short")