ic: Function to compute impact cost.

In igidrfrg/ifrogs: Finance Routines Developed by the Finance Research Group

Description

Function to compute impact cost for a security for a day.

Usage

ic(mbp, Q, d, partial = FALSE)

Arguments

mbp	a data.frame, containing best price/quantity pairs for buy and sell side with time stamps as row names. Units: Price (bbp/bsp): Some currency (INR, USD, etc.) Quantities (bbq/bsq): Number of shares
Q	an 'integer' vector containing the quantities for which to compute the Impact Cost.
d	Date
partial	a 'logical' scalar, telling whether to do partial executions

Value

A 'list' of matrices containing buy and sell IC. 'names' of the list are the Q values used. Each matrix will contain rows having

• buyIC percentage: numeric

• sellIC percentage: numeric

The function returns ‘NA’ values if “partial” is ‘FALSE’, or, if there were no orders (empty book) at a particular time.For the buy and sell ic measures the corresponding row name for that entry is its timestamp.

Author(s)

Chirag Anand

Examples

## Demonstration of IC functions using the market by price data
## of CINEMAX from the ic_CINEMAX dataset.
try(data(package="ifrogs", "ic_CINEMAX"))
mbp <- cbind(as.data.frame(CINEMAX[1]), 
             as.data.frame(CINEMAX[2]), 
             as.data.frame(CINEMAX[3]), 
             as.data.frame(CINEMAX[4]))
print(mbp)

ans1 <- ic( mbp, Q = 600, d, partial = FALSE)
head(ans1)

ans2 <- ic( mbp, Q = 600, d, partial = TRUE)
head(ans2)

igidrfrg/ifrogs documentation built on July 20, 2020, 2:02 p.m.