initPosPL: initializes position P&L for a portfolio instrument

In cloudcell/blotter: Tools for Transaction-Oriented Trading Systems Development

Description

Constructs the data container used to store calculated P&L values from transactions and close prices.

Usage

.initPosPL(initDate = "1950-01-01", ..., initPosQty = 0, initConMult = 1,
  initCcyMult = 1)

Arguments

initDate	date prior to the first close price given, used to contain initial account equity and initial position
initPosQty	initial position, default is zero
initConMult	initial contract multiplier, default is one(1)
initCcyMult	initial currency multiplier, default is one(1)
...	any other passthrough parameters

Details

Constructs multi-column xts object used to store derived position information

cloudcell/blotter documentation built on May 13, 2019, 8:01 p.m.