dailyTxnPL: generate daily Transaction Realized or Equity Curve P&L by...

In braverock/blotter: Tools for Transaction-Oriented Trading Systems P&L

generate daily Transaction Realized or Equity Curve P&L by instrument

Description

designed to collate information for high frequency portfolios

Usage

dailyTxnPL(Portfolios, Symbols, drop.time = TRUE, incl.total = FALSE,
  envir = .blotter, ...)

dailyEqPL(Portfolios, Symbols, drop.time = TRUE, incl.total = FALSE,
  envir = .blotter, native = TRUE, ...)

Arguments

Portfolios	portfolio string
Symbols	character vector of symbol strings
drop.time	remove time component of POSIX datestamp (if any), default TRUE
incl.total	if TRUE, add a column with the daily portfolio total P&L, default FALSE
envir	the environment to retrieve the portfolio from, defaults to .blotter
...	any other passthrough params
native	if TRUE, return statistics in the native currency of the instrument, otherwise use the Portfolio currency, default TRUE

Details

If you do not pass Symbols, then all symbols in the provided Portfolios will be used.

The daily P&L is calculated from Net.Txn.Realized.PL if by dailyTxnPL and from Net.Trading.PL by dailyEqPL

Value

a multi-column xts time series, one column per symbol, one row per day

Author(s)

Brian G. Peterson

See Also

tradeStats

braverock/blotter documentation built on Feb. 13, 2023, 1 p.m.