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.

AuthorPeter 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 publication2016-04-03 14:22:28
MaintainerBrian G. Peterson <brian@braverock.com>
LicenseGPL
Version0.9.1741
https://r-forge.r-project.org/projects/blotter/

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.