Tools for Transaction-Oriented Trading Systems Development


[Up] [Top]

Documentation for package ‘blotter’ version 0.9.1741

Help Pages

blotter-package Tools for Transaction-Oriented Trading Systems Development
.calcPosAvgCost Calculates the average cost of a resulting position from a transaction
.calcTxnAvgCost Calculates a per share or per contract cost of the transaction to match the units the price is quoted in
.calcTxnValue Calculates the total value of a transaction or trade
.getByPortf get attributes from each portfolio in an account
.getBySymbol Retrieves calculated attributes for each position in the portfolio
.getPortfAcct get a protfolio in an account
.getPortfolio get a portfolio object
.getPosAvgCost Retrieves the most recent average cost of the position
.initPosPL initializes position P&L for a portfolio instrument
.initSummary initialize the summary table used in portfolio and account lists
.initTxn Constructs the data container used to store transactions and resulting positions.
.updatePosPL Calculates position PL from the position data and corresponding close price data.
AcctReturns Calculate account returns
addAcctTxn Add capital account transactions, such as capital additions and withdrawals or interest income (expense)
addDiv Add cash dividend transactions to a portfolio.
addPortfInstr add an instrument to a portfolio
addTxn Add transactions to a portfolio.
addTxns Add transactions to a portfolio.
amzn Hypothetical Intra-Day AMZN Trades
amzn.trades Hypothetical Intra-Day AMZN Trades
blotter Tools for Transaction-Oriented Trading Systems Development
calcPortfWgt Calculates the portfolio weights for positions within a given portfolio.
chart.ME Chart Maximum Adverse/Favorable Excursion
chart.Posn Chart trades against market data, position through time, and cumulative P&L
chart.Reconcile Chart trades against market data, position through time, and cumulative P&L
chart.Spread Charts the transaction series, positions, and P&L of a spread against prices
dailyEqPL generate daily Transaction Realized or Equity Curve P&L by instrument
dailyStats calculate statistics on transactions and P&L for a symbol or symbols in a portfolio or portfolios
dailyTxnPL generate daily Transaction Realized or Equity Curve P&L by instrument
extractTxns Extract transactions from a portfolio
getAccount Get an account object from the .blotter environment
getEndEq Retrieves the most recent value of the capital account
getPortfolio get a portfolio object
getPos Retrieves all information about the position as of a date
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 account values such as aggregated P&L, equity, etc.
initPortf Initializes a portfolio object.
is.account generic is.function for account, will take either a string or an object
is.portfolio generic is.function for portfolio, will take either a string or an object
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 symbols in a portfolio or portfolios
updateAcct Constructs the equity account calculations from the portfolio data and corresponding close prices.
updateEndEq update ending equity for an account
updatePortf update Portfilio P&L over a Dates range