blotter: Trade Blotter

In gothic-hedge-society/FinancieR: Tools for Financial Data Analysis and Manipulation

Trade Blotter

Description

A blotter is an xts time-series object that contains a complete record of all trades made during a given time interval. To be a blotter, an xts object must have four columns: symbol, action, price, and fees, and must meet the following criteria:

• rows: Each row represents a completed (filled) trade order for a single asset.

• index: The datetime index gives the timestamp (or date) on which the trade was filled.

• symbol: Identifier for the asset traded. Can be a ticker, CUSIP, ISIN, a unique ID assigned by a brokerage, etc.

• price: Always positive. The asset's price for the trade.

• fees: Sum of all fees paid for the trade. Includes commision, transaction fees, etc. Does not include taxes.

Use the function is_blotter() to determine if an object is a blotter.

Usage

is_blotter(obj)

Arguments

obj	An R object

Details

Options exercises do not appear explicitly on the blotter. However, the purchase/sale of the option, and the purchase/sale of the underlying asset due to an exercise, do.

Shorting also does not appear explicitly on the blotter – it appears only as a sale.

Dividends, coupon payments, and other cash do not appear on the blotter. Trades only.

Value

The function is_blotter() returns TRUE if passed an R object that meets# the criteria to be treated as a blotter.

gothic-hedge-society/FinancieR documentation built on June 18, 2022, 4:55 a.m.