txn_costs: Transactional Costs

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes monetary value of accumulated portfolio transactional costs.

Usage

txn_costs(asset)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

Value

Metric object

Author(s)

Kostin Andrey <[e-mail]>

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',txnCostFixed=100)
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) 
result=compute(txn_costs(portfolio),txn_costs(positionGOOG),txn_costs(positionAAPL)) 
plot(txn_costs(portfolio),txn_costs(positionGOOG),txn_costs(positionAAPL),
legend=c('Portfolio','GOOG','AAPL'),title='Transactional Costs')

## End(Not run)

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