tradelist-class: Class "tradelist"
In portfolio: Analysing Equity Portfolios

Description Objects from the Class Slots Methods Author(s)

Note: This class is a rough first pass and will change drastically in future releases.

An object of the class "tradelist" containing a data frame of trades and a data frame of supplementary information.

Objects can be created by calls of the form new("tradelist", orig, target, ...).

type:: Object of class "character" specifying the type of the tradelist. Must be "all" or "ranks".
id.var:: Object of class "character" containing the name of the column in the data slot to be used as a unique identifier.
price.var:: Object of class "character" specifying the column in the data slot to be used as the reference price. Defaults to price.usd.
candidates:: Object of class "data.frame" containing one row for each candidate trade.
ranks:: Object of class "data.frame" where candidate trades have been interleaved by trade type (B,S,X,C) and assigned a unique rank, "rank.t".
chunks:: Object of class "data.frame" that contains one row for each chunk, a smaller portion of an order.
swaps:: Object of class "data.frame" where buys and sells have been matched with other shorts and covers of similar market value and desirability.
swaps.actual:: Object of class "data.frame" where the least desirable chunks that would exceed if "turnover" if ordered have been removed.
actual:: Object of class "data.frame" where the chunks have been rolled up into one row/order per security.
final:: Object of class "trades" containing the most basic information on the set of trades in the tradelist.
chunks.actual:: Object of class "data.frame" where "swaps" have been turned back into chunks and each chunk has its own row.
sorts:: Object of class "optionalList" which may be interpreted as a list of key-value pairs. The key is the name of the sort and must exist as a column in the "data" slot. The numeric value expresses the relative weight of the sort.
rank.sorts:: Object of class "list", where the names of the elements are the names of the sorts defined in the "sorts" list and the elements are data frames, each of which contains a ranking of the candidate trades created by applying an individual sort.
regions:: Object of class "character"
chunk.usd:: Object of class "numeric" that expresses the minimum unsigned market value in US dollars of a chunk. Defaults to \$10,000.
trade.usd.min:: Object of class "numeric" that expresses the minimum unsigned market value a trade must have in order to be placed. Trades of lower market value are removed from the "candidates" data.frame and appended to the "restricted" data frame.
restrictions:: Object of class "data.frame" with 1 row for each trade and three columns, "id", "type", and "reason". "id" uniquely identifies the trade, "type" accepts a value of B, S, C, or X (buy, sell, cover, or short), expressing the type of trade that is prohibited, and "reason" is a label expressing why the restriction exists.
restricted:: Object of class "data.frame" that contains one row for every trade for which a restriction exists
to.equity:: Object of class "logical" expressing whether or not the algorithm should trade towards the value of target.equity
turnover:: Object of class "numeric" that expresses the maximum unsigned market value of all trades effected in one session.
tca:: Object of class "character" expressing whether or not to use trade cost adjustment.
rank.gain.min:: Object of class "numeric" specifying the minimum amount of difference between two trades' rank required in order for the pair to be considered as a swap.
target.equity:: Object of class "numeric" expressing the unsigned market value of the target portfolio.
mv.long.orig:: Object of class "numeric" The market value of the long side of the original portfolio.
mv.short.orig:: Object of class "numeric" The unsigned market value of the short side of the original portfolio
unrestricted:: Object of class "logical" specifying whether any restrictions should be applied, including checks for price and volume.
data:: Object of class "data.frame" containing supplementary information about the "tradelist". Must contain an "id" column, a "price.usd" column, a "volume" column, and a column named after each element listed in "sorts".
verbose:: Object of class "logical" controlling whether methods on this object should be verbose. Defaults to FALSE.

actualCols: signature(object = "tradelist"): Returns a vector with the following elements: "id", "side", "shares", "mv", names(object@sorts), and "rank.t"
calcActual: signature(object = "tradelist"): Rolls up the chunks calculated in calcChunksActual into single orders and stores the result as a data frame in the "actual" slot.
calcCandidates: signature(object = "tradelist", orig = "portfolio", target = "portfolio"): Builds a data frame of candidate trades with one row per trade by determining which positions have different numbers of shares in the original and target portfolios. Removes trades in the "restrictions" data frame, trades with a market value below "trade.usd.min", and trades that would cause a side change in one session, and appends these trades to the "restricted data frame."
calcChunksActual: signature(object = "tradelist"): Turns the swaps calculated in calcSwapsActual back into chunks and stores the results in a data frame in the "actual.chunks" slot.
calcChunks: signature(object = "tradelist"): Examines the data frame stored in the "ranks" slot, breaks the candidate trades into chunks of size "chunk.usd" or smaller, and stores the results in the "chunks" slot
calcSwapsActual: signature(object = "tradelist"): Examines the data frame stored in the "swaps" slot and removes swaps, which had they been processed as orders, would have exceeded the specified "turnover" of the tradelist. Stores the results as a data frame in the "swaps.actual" slot.
calcSwaps: signature(object = "tradelist"): Using the "chunks" data frame created by the calcChunks method, pairs attractive chunks with other attractive chunks of similar market value and stores the results as a data frame in the swaps slot.
calcRanks: signature(object = "tradelist"): Using information from the candidates data frame, interleaves the trades and calculates an absolute rank for each trade, "rank.t". Stores the results in the ranks slot
candidatesCols: signature(object = "tradelist"): Returns a vector of class character containing the following elements: "id", "orig", "target", "side", "shares", "mv"
chunksCols: signature(object = "tradelist"): Returns a vector of class character containing the following elements: rankCols(object), "tca.rank", "chunk.shares", "chunk.mv", "chunk".
dummyChunks: signature(object = "tradelist"): Creates a data frame of dummy chunks for a given side and dollar amount (total.usd). The supplied dollar amount, together with the tradelist object's chunk size, determines the number of rows in the resulting data frame.
initialize: signature(.Object = "tradelist"): Transparently calls calcCandidates, calcRanks, calcChunks, calcSwaps, calcSwapsActual, calcChunksActual, calcActual to construct the tradelist object.
ranksCols: signature(object = "tradelist"): Returns a vector of class character containing the following elements: "id", "orig", "target", "side", "shares", "mv", names(object@sorts), "rank.t"
restrictedCols: signature(object = "tradelist"): Returns a vector of class character containing the following elements: candidatesCols(object), "reason".
securityInfo: signature(object = "tradelist", id = "character"): Returns detailed information regarding a security in the tradelist.
show: signature(object = "tradelist"): Prints a detailed summary of tradelist attributes.
trimSide: signature(object = "tradelist"): If the market value of the side passed as the "side" parameter to this function is is greater than market value of the side as specified by the "value" parameter, excises the least desirable trades on that side until the the market value of that side is less than value. Returns a copy of the data frame stored in the "actual" slot with the trades that meet the forementioned conditions removed.