#' Charts the transaction series, positions, and P&L of a spread against prices
#' @param Account string identifying the account
#' @param Portfolio string identifying the portfolio to chart
#' @param Symbols string identifying the underlying symbols to chart for positions
#' @param Spread identifier of a spread instrument
#' @param Dates date range, currently not used
#' @param \dots any other passthru parameters (typically parameters to \code{chart_Series})
#' @export
chart.Spread <- function(Account, Portfolio, Spread=NULL, Symbols = NULL, Dates = NULL, ...)
{ # @author Peter Carl
pname<-Portfolio
Portfolio<-getPortfolio(pname,Dates)
pacctdata<-.getPortfAcct(Account,Portfolio=pname, Dates=NULL)
tmp_instr<-getInstrument(Spread)
if(!inherits(tmp_instr,"spread")) stop (paste("Instrument",Spread," is not a spread, please use the primary_id of a spread."))
Prices=get(Spread)
#buys and sells will be done on the first positive ratio instrument in a spread
Symbol<-as.character(tmp_instr$memberlist$members[which(tmp_instr$memberlist$memberratio>0)][1])
freq = periodicity(Prices)
switch(freq$scale,
seconds = { mult=1 },
minute = { mult=60 },
hourly = { mult=3600 },
daily = { mult=86400 },
{mult=86400}
)
if(!isTRUE(freq$frequency*mult == round(freq$frequency,0)*mult)) {
# if the equality
n=round((freq$frequency/mult),0)*mult
} else { n=mult }
tzero = xts(0,order.by=index(Prices[1,]))
Prices=align.time(Prices,n)
Trades = Portfolio$symbols[[Symbol]]$txn$Txn.Price*Portfolio$symbols[[Symbol]]$txn$Txn.Qty
Buys = Portfolio$symbols[[Symbol]]$txn$Txn.Price[which(Trades>0)]
Buys = align.time(rbind(Buys,tzero),n)[-1]
#because this is a spread, we need to use the price of the spread at the time of the synthetic 'buy'
Buys = Prices[unique(Hmisc::find.matches(index(Buys),index(Prices))[[1]])]
Sells = Portfolio$symbols[[Symbol]]$txn$Txn.Price[which(Trades<0)]
Sells = align.time(rbind(Sells,tzero),n)[-1]
#because this is a spread, we need to use the price of the spread at the time of the synthetic 'sell'
Sells = Prices[unique(Hmisc::find.matches(index(Sells),index(Prices))[[1]])]
# # These aren't quite right, as abs(Pos.Qty) should be less than prior abs(Pos.Qty)
# SellCover = Portfolio$symbols[[Symbol]]$txn$Txn.Price * (Portfolio$symbols[[Symbol]]$txn$Txn.Qty<0) * (Portfolio$symbols[[Symbol]]$txn$Pos.Qty==0)
# BuyCover = Portfolio$symbols[[Symbol]]$txn$Txn.Price * (Portfolio$symbols[[Symbol]]$txn$Txn.Qty>0) * (Portfolio$symbols[[Symbol]]$txn$Pos.Qty==0)
#
# #Symbol 24 (up) and 25 (dn) can take bkgd colors
# addTA(BuyCover,pch=24,type="p",col="green", bg="orange", on=1)
# addTA(SellCover,pch=25,type="p",col="red", bg="orange", on=1)
chartSeries(Prices, TA=NULL,theme='white',...)
plot(addTA(Buys,pch=2,type='p',col='green', on=1));
plot(addTA(Sells,pch=6,type='p',col='red', on=1));
#Position = Portfolio$symbols[[Symbol]]$posPL$Pos.Qty # use $txn instead, and make it match the prices index
i=1
for(Symbol in tmp_instr$memberlist$members){
Position = Portfolio$symbols[[Symbol]]$txn$Pos.Qty
Position = na.locf(merge(Position,index(Prices)))
plot(addTA(Position,type='b',col=i, lwd=1));
i=i+1
}
#FIXME right now we don't separate trading PL by *Spread*, just by *Portfolios*, so this isn't quite right in the general case
#TODO change this to use a two-line shaded graphic as soon as Jeff provides the infrastructure
UnrealizedPL = pacctdata$Unrealized.PL
if(length(UnrealizedPL)>1) UnrealizedPL = na.locf(merge(UnrealizedPL,index(Prices)))
else UnrealizedPL = NULL
if(!is.null(UnrealizedPL)) plot(addTA(UnrealizedPL, col='darkgreen', lwd=2))
RealizedPL = pacctdata$Realized.PL
CumPL=cumsum(RealizedPL+UnrealizedPL)
if(length(CumPL)>1) CumPL = na.locf(merge(CumPL,index(Prices)))
else CumPL = NULL
if(!is.null(CumPL)) plot(addTA(CumPL, col='green', lwd=2))
}
###############################################################################
# Blotter: Tools for transaction-oriented trading systems development
# for R (see http://r-project.org/)
# Copyright (c) 2008-2015 Peter Carl and Brian G. Peterson
#
# This library is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################
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