#' Max Intraday Liquidity Provision
#'
#' @param participant character value, Identifying code of the payments system
#' participant
#' @param payments dataframe value, payments data
#' @param debit boolean value, logical value, if this value is TRUE then the net debit position
#' is calculated. If FALSE then the net credit position is calculated.
#' @return dataframe structure, The max net debit/credit position of the given participant
#' in billions
#'
#' @details
#'
#' Assumes that the payments data file has the form:
#' ID, date, time, value, from, to
#'
max_liq_prov <- function(participant, payments, debit) {
# correct column name check
if(!all(colnames(payments) %in% c("ID", "date", "time", "value", "from", "to"))) {
stop("The column names are incorrect. Please ensure the columns are named:
ID, date, time, value, from, to")
}
# correct time formatting
if(!"hms" %in% class(payments$time)) {
stop("The time column isn't in the correct format. It needs to be of class
hms, use the function as.hms() to convert it")
}
if(!"data.table" %in% class(payments)) {
setDT(payments)
}
payments <- payments[from == participant | to == participant]
if(debit) {
payments[from != participant, value := -value]
} else {
payments[from == participant, value := -value]
}
net_payments <- payments[, .(net = sum(value)), keyby = .(date, time)]
net_payments <- net_payments[, .(net = cumsum(net)), keyby = .(date)]
net_payments <-
net_payments[, .(max_net_pos = max(net, 0) / 1.0e+09), by = .(date)]
net_payments[, participant := participant]
setcolorder(net_payments, c("date", "participant", "max_net_pos"))
return(net_payments)
}
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