TotalPnL: Calculate Total PnL for Given Protfolio

In TickExec: Execution Functions for Tick Data Back Test

Description

The evaluation is done at time of a given date. Length of 'TotalPnL' should be the same as number of trading days, not as 'dfLog'.

Usage

TotalPnL(dir = dir, df, date, time = 160000, market = 'SHSZ')

Arguments

dir	The directory containing the Tick data.
df	The dataframe containing the portfolio.
date	the date of evaluation.
time	the time of evaluation.
market	specifying the sub-function to call depending on the market.

Value

A number indicating the total pnl.

Examples

## locate tick data directory ##
dir <- system.file("extdata", '', package = "TickExec")

## establish a posiyion to sell ##
dfLog = LimitBuy(dir = dir, date = 20141013, ticker = 000001, capital = 1e6, 
                 limitPrice = NA, orderFrom = 94545, orderLast = 600, 
                 costIn = 0.001, market = 'SHSZ')

## sell ##
dfLogSold = MarketSell(dir = dir, date = 20141014, orderTime = 140001, 
                       dfLog = dfLog, costOut = 0.001, market = 'SHSZ')
                       
## market worth ##
TotalPnL(dir = dir, df = dfLogSold, date = 20141014, time = 145900, 
               market = 'SHSZ')

Example output

[1] -5940.746

TickExec documentation built on May 2, 2019, 9:58 a.m.