initPortf: Initializes a portfolio object.

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

Initializes a portfolio object.

Description

Constructs and initializes a portfolio object, which is used to contain transactions, positions, and aggregate level values.

Usage

initPortf(name = "default", symbols, initPosQty = 0,
  initDate = "1950-01-01", currency = "USD", ...)

Arguments

name	A name for the resulting portfolio object
symbols	A list of instrument identifiers for those instruments contained in the portfolio
initPosQty	Initial position quantity, default is zero
initDate	A date prior to the first close price given, used to contain initial account equity and initial position
currency	ISO currency identifier used to locate the portfolio currency
...	any other passthrough parameters

Details

Initializes a portfolio object, which is constructed from the following: $symbols: the identifier used for each instrument contained in the portfolio. Use ls(Portfolio$symbols) to get a list of symbols. $symbols$[symbol]$txn: irregular xts object of transactions data $symbols$[symbol]$posPL: regular xts object of positions P&L calculated from transactions $symbols$[symbol]$posPL.ccy: regular xts object of positions P&L converted to portfolio currency $summary: aggregated portfolio values

Each symbol has three associated tables. The first, txn, is the transactions table, an irregular time series that contains information about trades or other position adjustments with the following columns:

• Txn.Qty: the quantity, usually in units of contracts, changing hands. Positive values indicate a "buy" transaction; negative values are used to indicate a "sell."

• Txn.Price: the price at which the transaction was made,

• Txn.Fees: the sum total of transaction fees associated with the trade,

• Txn.Value: the notional value of the transaction,

• Avg.Txn.Cost: a calculated value for the average net price paid (received) per contract bought (received),

• Pos.Qty: the resulting position quantity of contracts, calculated as the sum of the current transaction and the prior position,

• Pos.Avg.Cost: the calculated average cost of the resulting position, and

• Realized.PL: any prot or loss realized in the transaction from closing out a prior position

The second, posPL, is a container used to store calculated P&L values from transactions and close prices within an instrument. The data series is, however, a regular time series. Columns of the table include:

• Pos.Qty the quantity of the position held in the symbol,

• Pos.Value the notional value of the position,

• Txn.Value the net value of the transactions occuring,

• Txn.Fees the total fees associated with transactions,

• Realized.PL any net prot or loss realized through transactions,

• Unrealized.PL any prot or loss associated with the remaining or open position, and

• Trading.PL the sum of net realized and unrealized prot and loss.

The third, posPL.ccy, is the same as the second but translated into the portfolio currency.

For each portfolio, the summary slot contains a table that tracks calculated portfolio information through time. The table contains the following columns, held in a regular xts time series:

• Long.Value: The sum of the notional value of all positions held long in the portfolio.

• Short.Value: The sum of the notional value of all positions held short in the portfolio.

• Net.Value: The sum of the notional long and notional short value of the portfolio.

• Gross.Value: The sum of the notional long and absolute value of the notional short value of the portfolio.

• Txn.Fees: The sum of brokerage commissions, exchange and other brokerage fees paid by the portfolio during the period.

• Realized.PL: The sum of net realized prots or losses aggregated from the underlying positions in the portfolio. Gross realized prots can be calculated by adding Txn.Fees, the brokerage commission expenses for the period.

• Unrealized.PL: The sum total increase or decrease in unrealized profits or losses on open positions in the portfolio at the end of the period.

• Net.Trading.PL: Net realized prot or loss plus interest income plus change in unrealized prot or loss across all positions in the portfolio.

TODO: add $account: name of the (one) affiliated account Outputs Initialized portfolio structure with a start date and initial positions.

Author(s)

Peter Carl

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