generate daily Transaction Realized or Equity Curve P&L by instrument

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Description

designed to collate information for high frequency portfolios

Usage

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dailyTxnPL(Portfolios, Symbols, drop.time = TRUE)

dailyEqPL(Portfolios, Symbols, drop.time = TRUE)

Arguments

Portfolios

portfolio string

Symbols

character vector of symbol strings

drop.time

remove time component of POSIX datestamp (if any), default TRUE

Details

If you do not pass Symbols, then all symbols in the provided Portfolios will be used.

The daily P&L is calculated from Net.Txn.Realized.PL if by dailyTxnPL and from Net.Trading.PL by dailyEqPL

Value

a multi-column xts time series, one column per symbol, one row per day

Author(s)

Brian G. Peterson

See Also

tradeStats

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