updatePortf: update Portfilio P&L over a Dates range
In cloudcello/blotter: Tools for Transaction-Oriented Trading Systems Development
Description
Usage
Arguments
Details
Value
Description
The updatePortf function goes through each symbol and calculates the PL for each period prices are available.
Usage
1
2
Arguments
Portfolio
string identifying a portfolio
Symbols
character vector identifying symbols to update the portfolio for, default NULL
Dates
optional xts-style ISO-8601 time range to run updatePortf over, default NULL (will use times from Prices)
Prices
optional xts object containing prices and timestamps to mark the book on, default NULL
Interval
optional character string, containing one of "millisecond" (or "ms"), "microsecond" (or "us"),
"second", "minute", "hour", "day", "week", "month", "quarter", or "year". This can optionally be preceded by
a positive integer, or followed by "s".
...
any other passthrough parameters
Details
Note that the portfolio will be marked on every time stamp where prices are available.
As such, your Dates range must reflect timestamps which appear in the price stream.
Also note that you probably don't want to mark the portfolio on every tick,
Value
assigns position information and PL into the environment
cloudcello/blotter documentation built on May 13, 2019, 8:04 p.m.
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Description Usage Arguments Details Value
Description
The updatePortf function goes through each symbol and calculates the PL for each period prices are available.
Usage
1 2 |
Arguments
Portfolio |
string identifying a portfolio |
Symbols |
character vector identifying symbols to update the portfolio for, default NULL |
Dates |
optional xts-style ISO-8601 time range to run updatePortf over, default NULL (will use times from Prices) |
Prices |
optional xts object containing prices and timestamps to mark the book on, default NULL |
Interval |
optional character string, containing one of "millisecond" (or "ms"), "microsecond" (or "us"), "second", "minute", "hour", "day", "week", "month", "quarter", or "year". This can optionally be preceded by a positive integer, or followed by "s". |
... |
any other passthrough parameters |
Details
Note that the portfolio will be marked on every time stamp where prices are available.
As such, your Dates range must reflect timestamps which appear in the price stream.
Also note that you probably don't want to mark the portfolio on every tick,
Value
assigns position information and PL into the environment
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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