dailyTxnPL: generate daily Transaction Realized or Equity Curve P&L by...
In cloudcell/blotter: Tools for Transaction-Oriented Trading Systems Development
Description
Usage
Arguments
Details
Value
Author(s)
See Also
Description
designed to collate information for high frequency portfolios
Usage
1
2
3
dailyTxnPL(Portfolios, Symbols, drop.time = TRUE)
dailyEqPL(Portfolios, Symbols, drop.time = TRUE)
Arguments
Portfolios
portfolio string
Symbols
character vector of symbol strings
drop.time
remove time component of POSIX datestamp (if any), default TRUE
Details
If you do not pass Symbols, then all symbols in the provided
Portfolios will be used.
The daily P&L is calculated from Net.Txn.Realized.PL if by
dailyTxnPL
and from Net.Trading.PL by dailyEqPL
Value
a multi-column xts time series, one column per symbol, one row per day
Author(s)
Brian G. Peterson
See Also
tradeStats
cloudcell/blotter documentation built on May 13, 2019, 8:01 p.m.
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Description Usage Arguments Details Value Author(s) See Also
Description
designed to collate information for high frequency portfolios
Usage
1 2 3 | dailyTxnPL(Portfolios, Symbols, drop.time = TRUE)
dailyEqPL(Portfolios, Symbols, drop.time = TRUE)
|
Arguments
Portfolios |
portfolio string |
Symbols |
character vector of symbol strings |
drop.time |
remove time component of POSIX datestamp (if any), default TRUE |
Details
If you do not pass Symbols, then all symbols in the provided
Portfolios will be used.
The daily P&L is calculated from Net.Txn.Realized.PL if by
dailyTxnPL
and from Net.Trading.PL by dailyEqPL
Value
a multi-column xts time series, one column per symbol, one row per day
Author(s)
Brian G. Peterson
See Also
tradeStats
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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