R/getBySymbol.R

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

#' Retrieves calculated attributes for each position in the portfolio
#' 
#' Retrieves calculated attributes for each position in the portfolio
#' from the posPL table.  Assembles into a symbol-by-time table useful
#' for graphing or calculations
#' 
#' items typically include things like
#' 'Pos.Qty', 'Pos.Value', 'Txn.Value', 'Realized.PL', 'Unrealized.PL',or 'Trading.PL'
#' @param Portfolio a portfolio object containing transactions
#' @param Attribute column name to be assembled for each symbol
#' @param Symbols an instrument identifier for a symbol included in the portfolio
#' @param Dates dates to return the calculation over formatted as xts range
#' @param native whether to use the currency of the portfolio, or convert, default FALSE
#' @return regular xts object of values by symbol
#' @rdname getBySymbol
.getBySymbol <- function(Portfolio, Attribute, Dates=NULL, Symbols=NULL, native=FALSE)
{ # @author Peter Carl

    # FUNCTION
    if(all(is.null(Dates)) || all(is.na(Dates))) # if no date is specified, get all available dates
        Dates <- unique(do.call(c,c(lapply(Portfolio$symbols, function(x) index(x[["posPL"]])), use.names=FALSE, recursive=FALSE)))

    # else  Dates = xts:::time.xts(Portfolio$symbols[[1]]$posPL[Dates])
    if(!is.null(attr(Portfolio,'currency')) & native==FALSE) {
        p.ccy.str<-attr(Portfolio,'currency')
        namePosPL = paste("posPL", p.ccy.str, sep=".")
    } else {
        print("Returning position values in native currency values")
        namePosPL = "posPL"
        # Alternatively, we could just use posPL without ccy extension
    }

    table = NULL 
      ## Need a reference time index
    if(is.null(Symbols))
        symbols=ls(Portfolio$symbols)
    else
        symbols = Symbols
    
    for (symbol in symbols) {
        tmp_col = Portfolio$symbols[[symbol]][[namePosPL]][Dates,Attribute,drop=FALSE]
        if(is.null(table)) table = tmp_col
        else table = merge(table, tmp_col)
    }
    if(length(table) > 0) colnames(table) = symbols
    class(table)<-class(xts())
    return(table)
### TODO: NA fill like getByPortfolio

## TODO: append summary information in last columns based on Attribute requested
# e.g., 'Pos.Value' would append Net.Value, Gross.Value, Long.Value, Short.Value
# using calcPortfAttr(p,'Net.Value')
}

###############################################################################
# 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: getBySymbol.R 1666 2015-01-07 13:26:09Z braverock $
#
###############################################################################