R/TODO/QuantstratAccount.R

In ivanliu1989/RQuantTrader: A collection of functions for pair trading

#' Constructs the data container used to store calculated account values such as aggregated P&L, equity, etc.
#'
#' Inputs
#' portfolios: a list of portfolio object names to attach to the account
#' initDate: date prior to the first close price given, used to contain
#'           initial account equity and initial position
#' initEq: initial equity or starting capital, default is 100,000
#'
#' Outputs
#' Constructs multi-column xts object used to store aggregated portfolio
#' calculations
#'
#' NOTES
#' An Account object is a list of portfolios with portfolio summary information
#'
#' The Account object is modeled on the CFTC Thirteen-column presentation table.
#' Start with the CFTC six column presentation, which includes:
#' Beg.Eq, Additions, Withdrawals, Net.Perf, End.Eq, Period.ROR
#' No reason to persist Period.ROR, and Beg.Eq = Previous End.Eq,
#' So we're left with four columns.  Note that Period.ROR can be calc'd
#' several different ways and is best left as a function.
#'
#' To get to the CFTC thirteen columns add:
#' Gross.Realized, Commission, Net.Realized, Interest, Ch.Unrealized,
#' Advisory.Fees, Wealth.Index
#' Again, no need to add Wealth.Index. Eventually, these additional
#' columns will be useful.
#' Gross.Realized will be calculated as (Net) Realized.PL + Txn.Fees
#'
#' @param name Account name, as string
#' @param portfolios character vector of strigs naming portfolios included in this account
#' @param initDate A date prior to the first close price given, used to contain initial account equity and initial position
#' @param currency ISO currency identifier used to locate the portfolio currency
#' @param initEq initial account equity in the currency of the portfolio, as a floating point number.
#' @param \dots any other passthrough parameters
#' @export
#' @note
#' TODO Add calcPeriodROR function
#'
#' TODO Adddd functions addCapital, drawCapital, addFees
#'
#' initDate and initEq can be used in addCapital to initalize the account?
#' Track cash at this level???
#' Calc gross PL and subtract fees? Or calc net PL and add fees.
initAccount <- function (name = "default", portfolios, initDate = "1950-01-01",
                         initEq = 0, currency = "USD", ...)
{
  if (exists(paste("account", name, sep = "."), envir = .tradingEnv,
             inherits = TRUE))
    stop("Account ", name, " already exists, use updateAcct() or create a new account.")
  account = list()
  account$portfolios = vector("list", length = length(portfolios))
  names(account$portfolios) = portfolios
  account$summary = xts(as.matrix(t(c(0, 0, 0, 0, 0, 0, 0,
                                      0, 0, 0, initEq))), order.by = as.POSIXct(initDate,
                                                                                ... = ...), ... = ...)
  colnames(account$summary) = c("Additions", "Withdrawals",
                                "Realized.PL", "Unrealized.PL", "Interest", "Gross.Trading.PL",
                                "Txn.Fees", "Net.Trading.PL", "Advisory.Fees", "Net.Performance",
                                "End.Eq")
  account$Additions = xts(as.matrix(t(c(0))), order.by = as.POSIXct(initDate,
                                                                    ... = ...), ... = ...)
  colnames(account$Additions) = c("Additions")
  account$Withdrawals = xts(as.matrix(t(c(0))), order.by = as.POSIXct(initDate,
                                                                      ... = ...), ... = ...)
  colnames(account$Withdrawals) = c("Withdrawals")
  account$Interest = xts(as.matrix(t(c(0))), order.by = as.POSIXct(initDate,
                                                                   ... = ...), ... = ...)
  colnames(account$Interest) = c("Interest")
  for (portfolio in portfolios) {
    account$portfolios[[portfolio]] = initSummary(initDate = initDate)
  }
  attr(account, "currency") <- currency
  attr(account, "initEq") <- initEq
  class(account) <- c("portfolio_account", "account")
  assign(paste("account", as.character(name), sep = "."),
         account, envir = .tradingEnv)
  return(name)
}