updatePortf: update Portfilio P&L over a Dates range

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

update Portfilio P&L over a Dates range

Description

The updatePortf function goes through each symbol and calculates the PL for each period prices are available.

Usage

updatePortf(
  Portfolio,
  Symbols = NULL,
  Dates = NULL,
  Prices = NULL,
  Interval = Interval,
  ...
)

Arguments

Portfolio	string identifying a portfolio
Symbols	character vector identifying symbols to update the portfolio for, default NULL
Dates	optional xts-style ISO-8601 time range to run updatePortf over, default NULL (will use times from Prices)
Prices	optional xts object containing prices and timestamps to mark the book on, default NULL
Interval	optional character string, containing one of "millisecond" (or "ms"), "microsecond" (or "us"), "second", "minute", "hour", "day", "week", "month", "quarter", or "year". This can optionally be preceded by a positive integer, or followed by "s".
...	any other passthrough parameters

Details

Note that the portfolio will be marked on every time stamp where prices are available. As such, your Dates range must reflect timestamps which appear in the price stream. Also note that you probably don't want to mark the portfolio on every tick,

Value

assigns position information and PL into the environment

braverock/blotter documentation built on Dec. 16, 2024, 1:02 p.m.