meanopen: meanopen
In chenhaotian/High-Frequency-Trading-Simulation-System: High-Frequency Trading Simulation System
Description
Usage
Arguments
Details
Value
Examples
Description
calculate unclosed orders' mean open price for a specific instrument
and holdings side.
Usage
1
Arguments
instrumentid
character, instrument identifier.
side
character, "long" or "short", specifying holdings's side.
Details
meanopen will calculate mean price according to following rules: 1. earlier open orders are prior to be closed. 2. return volume weighted mean of unclosed order's transaction price.
Value
numeric, mean open price.
Examples
1
2
3
4
5
## Not run:
## check long holdings' mean open price of TF1603
meanopen("TF1603","long")
## End(Not run)
chenhaotian/High-Frequency-Trading-Simulation-System documentation built on May 13, 2019, 3:52 p.m.
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Description Usage Arguments Details Value Examples
Description
calculate unclosed orders' mean open price for a specific instrument and holdings side.
Usage
1 |
Arguments
instrumentid |
character, instrument identifier. |
side |
character, "long" or "short", specifying holdings's side. |
Details
meanopen will calculate mean price according to following rules: 1. earlier open orders are prior to be closed. 2. return volume weighted mean of unclosed order's transaction price.
Value
numeric, mean open price.
Examples
1 2 3 4 5 | ## Not run:
## check long holdings' mean open price of TF1603
meanopen("TF1603","long")
## End(Not run)
|
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.
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