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copied!<p>Using the maCross.R demo, if you change the applyStrategy line to include <code>prefer=Open</code> like this</p> <pre><code>out<-try(applyStrategy(strategy=stratMACROSS , portfolios=portfolio.st, prefer='Open')) </code></pre> <p>You'll get executions on the open of the next bar.</p> <pre><code>> 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 </code></pre> <p>And check to see that the signals were sent on the bar prior to the execution bar</p> <pre><code>> .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" </code></pre> <p>Note that this is not how <code>prefer</code> 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.</p>

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