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如何在quantstrat中实施“以开盘价在下一栏买入”？

这是我对maCross.R示例的实验。

1. 添加prefer='Open'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')
   

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2. 订单以当前Open价格生成，但在下一个栏执行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" …

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