R/initPosPL.R

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

#' initializes position P&L for a portfolio instrument
#' 
#' Constructs the data container used to store calculated P&L values from
#' transactions and close prices.
#' 
#' Constructs multi-column xts object used to store derived position information
#' @param initDate date prior to the first close price given, used to contain initial account equity and initial position
#' @param \dots any other passthrough parameters  
#' @param initPosQty initial position, default is zero
#' @param initConMult initial contract multiplier, default is one(1)
#' @param initCcyMult initial currency multiplier, default is one(1)
#' @rdname initPosPL
.initPosPL <- function(initDate="1950-01-01", ..., initPosQty=0, initConMult=1, initCcyMult=1) #TODO add other init values to function as well for cost basis
{ # @author Peter Carl
    posPL <- xts( as.matrix(t(c(initPosQty,initConMult,initCcyMult,0,0,0,0,0,0,0,0))), order.by=as.POSIXct(initDate, ...=...), ...=... )
    colnames(posPL) <- c('Pos.Qty', 'Con.Mult', 'Ccy.Mult', 'Pos.Value', 'Pos.Avg.Cost', 'Txn.Value',  'Period.Realized.PL', 'Period.Unrealized.PL','Gross.Trading.PL', 'Txn.Fees', 'Net.Trading.PL')
    class(posPL)<- c("posPL",class(posPL))
    return(posPL)
}

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