blotter: Tools for Transaction-Oriented Trading Systems Development
Version 0.9.1741

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
URL https://r-forge.r-project.org/projects/blotter/
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("blotter", repos="http://R-Forge.R-project.org")

Getting started

Package overview

Popular man pages

AcctReturns: Calculate account returns
blotter-package: Tools for Transaction-Oriented Trading Systems Development
extractTxns: Extract transactions from a portfolio
getTxns: Retrieve transactions and their attributes.
pennyPerShare: Example TxnFee cost function
PortfReturns: Calculate portfolio instrument returns
tradeStats: calculate statistics on transactions and P&L for a symbol or...
See all...

All man pages Function index File listing

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...

Functions

.calcPosAvgCost Man page
.calcTxnAvgCost Man page
.calcTxnValue Man page
.getByPortf Man page
.getBySymbol Man page
.getPortfAcct Man page
.getPortfolio Man page
.getPosAvgCost Man page
.initPosPL Man page
.initSummary Man page
.initTxn Man page
.updatePosPL Man page
AcctReturns Man page
IBM Man page
PortfReturns Man page
addAcctTxn Man page
addDiv Man page
addPortfInstr Man page
addTxn Man page
addTxns Man page
amzn Man page
amzn.trades Man page
blotter Man page
blotter-package Man page
calcPortfWgt Man page
chart.ME Man page
chart.Posn Man page
chart.Reconcile Man page
chart.Spread Man page
dailyEqPL Man page
dailyStats Man page
dailyTxnPL Man page
extractTxns Man page
getAccount Man page
getEndEq Man page
getPortfolio Man page
getPos Man page
getPosQty Man page
getTxns Man page
initAcct Man page
initPortf Man page
is.account Man page
is.portfolio Man page
pennyPerShare Man page
perTradeStats Man page
put.account Man page
put.portfolio Man page
tradeQuantiles Man page
tradeStats Man page
updateAcct Man page
updateEndEq Man page
updatePortf Man page

Files

DESCRIPTION
NAMESPACE
R
R/AcctReturns.R
R/PortfReturns.R
R/addAcctTxn.R
R/addPortfInstr.R
R/addTxn.R
R/blotter-package.R
R/calcPortfWgt.R
R/calcPosAvgCost.R
R/calcTxnAvgCost.R
R/calcTxnValue.R
R/chart.ME.R
R/chart.Posn.R
R/chart.Reconcile.R
R/chart.Spread.R
R/extractTests.R
R/getAccount.R
R/getByPortf.R
R/getBySymbol.R
R/getEndEq.R
R/getPortfAcct.R
R/getPortfolio.R
R/getPos.R
R/getPosAvgCost.R
R/getPosQty.R
R/getTxn.R
R/initAcct.R
R/initPortf.R
R/initPosPL.R
R/initSummary.R
R/initTxn.R
R/mcsim.R
R/perTradeStats.R
R/put.account.R
R/put.portfolio.R
R/tradeStats.R
R/updateAcct.R
R/updateEndEq.R
R/updatePortf.R
R/updatePosPL.R
data
data/IBM.RData
data/amzn.rda
demo
demo/00Index
demo/amzn_test.R
demo/longtrend.R
demo/turtles.R
man
man/AcctReturns.Rd
man/IBM.Rd
man/PortfReturns.Rd
man/addAcctTxn.Rd
man/addDiv.Rd
man/addPortfInstr.Rd
man/addTxn.Rd
man/amzn.Rd
man/blotter-package.Rd
man/calcPortfWgt.Rd
man/calcPosAvgCost.Rd
man/calcTxnAvgCost.Rd
man/calcTxnValue.Rd
man/chart.ME.Rd
man/chart.Posn.Rd
man/chart.Reconcile.Rd
man/chart.Spread.Rd
man/dailyTxnPL.Rd
man/extractTxns.Rd
man/getAccount.Rd
man/getByPortf.Rd
man/getBySymbol.Rd
man/getEndEq.Rd
man/getPortfAcct.Rd
man/getPortfolio.Rd
man/getPos.Rd
man/getPosAvgCost.Rd
man/getPosQty.Rd
man/getTxns.Rd
man/initAcct.Rd
man/initPortf.Rd
man/initPosPL.Rd
man/initSummary.Rd
man/initTxn.Rd
man/is.account.Rd
man/is.portfolio.Rd
man/pennyPerShare.Rd
man/perTradeStats.Rd
man/put.account.Rd
man/put.portfolio.Rd
man/tradeQuantiles.Rd
man/tradeStats.Rd
man/updateAcct.Rd
man/updateEndEq.Rd
man/updatePortf.Rd
man/updatePosPL.Rd
src
src/calcPosAvgCost.c
tests
tests/doRUnit.R
tests/unitTests
tests/unitTests/Makefile
tests/unitTests/runitAddTxn.R
tests/unitTests/runitCalcValues.R
tests/unitTests/runitUpdatePortf.R
blotter documentation built on April 15, 2017, 9:41 a.m.

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