blotter: Tools for Transaction-Oriented Trading Systems Development

Transaction infrastructure for defining instruments, transactions, portfolios and accounts for trading systems and simulation. Provides portfolio support for multi-asset class and multi-currency portfolios. Actively maintained and developed.

Author
Peter Carl [aut], Brian G. Peterson [aut, cre], Daniel Cegielka [ctb], Dirk Eddelbuettel [ctb], Jan Humme [ctb], Lance Levenson [ctb], Ben McCann [ctb], Jeff Ryan [ctb], Garrett See [ctb], Joshua Ulrich [ctb], Wolfgang Wu [ctb]
Date of publication
2016-04-03 14:22:28
Maintainer
Brian G. Peterson <brian@braverock.com>
License
GPL
Version
0.9.1741
URLs

View on R-Forge

Man pages

AcctReturns
Calculate account returns
addAcctTxn
Add capital account transactions, such as capital additions...
addDiv
Add cash dividend transactions to a portfolio.
addPortfInstr
add an instrument to a portfolio
addTxn
Add transactions to a portfolio.
amzn
Hypothetical Intra-Day AMZN Trades
blotter-package
Tools for Transaction-Oriented Trading Systems Development
calcPortfWgt
Calculates the portfolio weights for positions within a given...
calcPosAvgCost
Calculates the average cost of a resulting position from a...
calcTxnAvgCost
Calculates a per share or per contract cost of the...
calcTxnValue
Calculates the total value of a transaction or trade
chart.ME
Chart Maximum Adverse/Favorable Excursion
chart.Posn
Chart trades against market data, position through time, and...
chart.Reconcile
Chart trades against market data, position through time, and...
chart.Spread
Charts the transaction series, positions, and P&L of a spread...
dailyTxnPL
generate daily Transaction Realized or Equity Curve P&L by...
extractTxns
Extract transactions from a portfolio
getAccount
Get an account object from the .blotter environment
getByPortf
get attributes from each portfolio in an account
getBySymbol
Retrieves calculated attributes for each position in the...
getEndEq
Retrieves the most recent value of the capital account
getPortfAcct
get a protfolio in an account
getPortfolio
get a portfolio object
getPos
Retrieves all information about the position as of a date
getPosAvgCost
Retrieves the most recent average cost of the position
getPosQty
gets position at Date
getTxns
Retrieve transactions and their attributes.
IBM
IBM stock price data for one month
initAcct
Constructs the data container used to store calculated...
initPortf
Initializes a portfolio object.
initPosPL
initializes position P&L for a portfolio instrument
initSummary
initialize the summary table used in portfolio and account...
initTxn
Constructs the data container used to store transactions and...
is.account
generic is.function for account, will take either a string or...
is.portfolio
generic is.function for portfolio, will take either a string...
pennyPerShare
Example TxnFee cost function
perTradeStats
calculate flat to flat per-trade statistics
PortfReturns
Calculate portfolio instrument returns
put.account
put a account object in .blotter env
put.portfolio
put a portfolio object in .blotter env
tradeQuantiles
quantiles of per-trade stats
tradeStats
calculate statistics on transactions and P&L for a symbol or...
updateAcct
Constructs the equity account calculations from the portfolio...
updateEndEq
update ending equity for an account
updatePortf
update Portfilio P&L over a Dates range
updatePosPL
Calculates position PL from the position data and...

Files in this package

blotter/DESCRIPTION
blotter/NAMESPACE
blotter/R
blotter/R/AcctReturns.R
blotter/R/PortfReturns.R
blotter/R/addAcctTxn.R
blotter/R/addPortfInstr.R
blotter/R/addTxn.R
blotter/R/blotter-package.R
blotter/R/calcPortfWgt.R
blotter/R/calcPosAvgCost.R
blotter/R/calcTxnAvgCost.R
blotter/R/calcTxnValue.R
blotter/R/chart.ME.R
blotter/R/chart.Posn.R
blotter/R/chart.Reconcile.R
blotter/R/chart.Spread.R
blotter/R/extractTests.R
blotter/R/getAccount.R
blotter/R/getByPortf.R
blotter/R/getBySymbol.R
blotter/R/getEndEq.R
blotter/R/getPortfAcct.R
blotter/R/getPortfolio.R
blotter/R/getPos.R
blotter/R/getPosAvgCost.R
blotter/R/getPosQty.R
blotter/R/getTxn.R
blotter/R/initAcct.R
blotter/R/initPortf.R
blotter/R/initPosPL.R
blotter/R/initSummary.R
blotter/R/initTxn.R
blotter/R/mcsim.R
blotter/R/perTradeStats.R
blotter/R/put.account.R
blotter/R/put.portfolio.R
blotter/R/tradeStats.R
blotter/R/updateAcct.R
blotter/R/updateEndEq.R
blotter/R/updatePortf.R
blotter/R/updatePosPL.R
blotter/data
blotter/data/IBM.RData
blotter/data/amzn.rda
blotter/demo
blotter/demo/00Index
blotter/demo/amzn_test.R
blotter/demo/longtrend.R
blotter/demo/turtles.R
blotter/man
blotter/man/AcctReturns.Rd
blotter/man/IBM.Rd
blotter/man/PortfReturns.Rd
blotter/man/addAcctTxn.Rd
blotter/man/addDiv.Rd
blotter/man/addPortfInstr.Rd
blotter/man/addTxn.Rd
blotter/man/amzn.Rd
blotter/man/blotter-package.Rd
blotter/man/calcPortfWgt.Rd
blotter/man/calcPosAvgCost.Rd
blotter/man/calcTxnAvgCost.Rd
blotter/man/calcTxnValue.Rd
blotter/man/chart.ME.Rd
blotter/man/chart.Posn.Rd
blotter/man/chart.Reconcile.Rd
blotter/man/chart.Spread.Rd
blotter/man/dailyTxnPL.Rd
blotter/man/extractTxns.Rd
blotter/man/getAccount.Rd
blotter/man/getByPortf.Rd
blotter/man/getBySymbol.Rd
blotter/man/getEndEq.Rd
blotter/man/getPortfAcct.Rd
blotter/man/getPortfolio.Rd
blotter/man/getPos.Rd
blotter/man/getPosAvgCost.Rd
blotter/man/getPosQty.Rd
blotter/man/getTxns.Rd
blotter/man/initAcct.Rd
blotter/man/initPortf.Rd
blotter/man/initPosPL.Rd
blotter/man/initSummary.Rd
blotter/man/initTxn.Rd
blotter/man/is.account.Rd
blotter/man/is.portfolio.Rd
blotter/man/pennyPerShare.Rd
blotter/man/perTradeStats.Rd
blotter/man/put.account.Rd
blotter/man/put.portfolio.Rd
blotter/man/tradeQuantiles.Rd
blotter/man/tradeStats.Rd
blotter/man/updateAcct.Rd
blotter/man/updateEndEq.Rd
blotter/man/updatePortf.Rd
blotter/man/updatePosPL.Rd
blotter/src
blotter/src/calcPosAvgCost.c
blotter/tests
blotter/tests/doRUnit.R
blotter/tests/unitTests
blotter/tests/unitTests/Makefile
blotter/tests/unitTests/runitAddTxn.R
blotter/tests/unitTests/runitCalcValues.R
blotter/tests/unitTests/runitUpdatePortf.R