nbto: Next Best Trade Optimization

In chrishaarstick/madstork.opt: MadStork Portfolio Optimization

Description

Function to select optimal next best trade given the portfolio, estimates, possible trades and constraints

Usage

nbto(pobj, cobj, eobj, prices, trade_pairs, target, minimize, amount,
  lot_size, include_port = FALSE, update_trade_pairs = FALSE)

Arguments

pobj	portfolio object
cobj	constraints object
eobj	estimates object
prices	data.frame with current symbol prices. Has to contain all symbols included in estimates object. Should also include dividend
trade_pairs	trade pairs to consider. trades limited to the trade pairs provided
target	target objective
minimize	logical flag to minimize target objective
amount	trade amount in dollars
lot_size	lot size for trades
include_port	logical flag to include the portfolio object provided in the canidate list. Default is FALSE.
update_trade_pairs	logical option to update the trade pairs after optimize step. Default is FALSE

Details

Used in meet_constraint functions and optimize function

chrishaarstick/madstork.opt documentation built on Nov. 12, 2019, 9:39 p.m.