IndexCost: Index Cost
In braverock/blotter: Tools for Transaction-Oriented Trading Systems P&L
View source: R/IndexAdjustedCost.R
IndexCost R Documentation
Index Cost
Description
The Index Cost is the difference between the
average execution price and the price of the Index (or ETF) at the time the
order was entered into the market, ie. the Arrival Price.
Usage
IndexCost(Portfolio, IndexSymbol)
Arguments
Portfolio
A portfolio name that points to a portfolio object structured with initPortf()
IndexSymbol
An instrument identifier for an index used for adjusting a stock's Arrival Cost (typicall ETF)
Details
To get the index VWAP of one does not have the underlying trades and weightings,
a commonly used proxy is an ETF tracking the relevant index.
Positive means a cost, negative means a saving.
Value
A numeric value in basis points
braverock/blotter documentation built on Feb. 13, 2023, 1 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
View source: R/IndexAdjustedCost.R
| IndexCost | R Documentation |
Index Cost
Description
The Index Cost is the difference between the average execution price and the price of the Index (or ETF) at the time the order was entered into the market, ie. the Arrival Price.
Usage
IndexCost(Portfolio, IndexSymbol)
Arguments
Portfolio |
A portfolio name that points to a portfolio object structured with initPortf() |
IndexSymbol |
An instrument identifier for an index used for adjusting a stock's Arrival Cost (typicall ETF) |
Details
To get the index VWAP of one does not have the underlying trades and weightings, a commonly used proxy is an ETF tracking the relevant index.
Positive means a cost, negative means a saving.
Value
A numeric value in basis points
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.