position_add: Add position in portfolio

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Adds position to an existing portfolio.

Usage

position_add(portfolio, symbol, quantity, time,priceData)

Arguments

portfolio	Portfolio object created using portfolio_create( ) function
symbol	Unique identifier of the instrument
quantity	One dimensional vector of position quantities or an integer number if quantity is constant
time	One dimensional vector of time values either as "yyyy-MM-dd hh:mm:ss" string or in milliseconds since the beginning of epoch.
priceData	Vector of (time, price) observations for market asset when external market data is used.

Value

Void

Author(s)

Kostin Andrey <[e-mail]>

See Also

portfolio_create

Examples

## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)  
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
result=compute(alpha_exante(portfolio),alpha_exante(positionGOOG),alpha_exante(positionAAPL)) 
plot(alpha_exante(portfolio),alpha_exante(positionGOOG),alpha_exante(positionAAPL),
legend=c('Portfolio','GOOG','AAPL'),title='Alpha')
print(portfolio)

portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',c(100,200),time=c(1412256601000,1412266600000),
priceData=goog.data) 
positionAAPL=position_add(portfolio,'AAPL',c(300,150),time=c(1412266600000,1412276600000),
priceData=aapl.data) 
plot(expected_return(portfolio),title="Expected Return")

portfolio=portfolio_create(fromTime="2014-09-01 09:00:00", toTime="2014-09-14 16:00:00")
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionSPY=position_add(portfolio,'SPY',500)
positionC=position_add(portfolio,'C',600)
plot(expected_return(portfolio),title="Portfolio Expected Return")

portfolio=portfolio_create(fromTime="2014-10-02 09:30:00", toTime="2014-10-02 16:00:00")
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionSPY=position_add(portfolio,'SPY',500)
positionC=position_add(portfolio,'C',600)
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data) 
position_add(portfolio,'AAPL',c(300,150),time=c(1412266600000,1412276600000),
priceData=aapl.data)
plot(expected_return(portfolio),title="Portfolio Expected Return")

portfolio=portfolio_create(fromTime="t-2", toTime="t")
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionSPY=position_add(portfolio,'SPY',500)
positionC=position_add(portfolio,'C',600)
plot(expected_return(portfolio),title="Portfolio Expected Return")

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.