[Blotter-commits] r97 - pkg/R

[noreply at r-forge.r-project.org]

Author: peter_carl
Date: 2009-08-11 17:49:52 +0200 (Tue, 11 Aug 2009)
New Revision: 97

Added:
   pkg/R/chart.Posn.R
Log:
- draft of chart function for position information


Added: pkg/R/chart.Posn.R
===================================================================
--- pkg/R/chart.Posn.R	                        (rev 0)
+++ pkg/R/chart.Posn.R	2009-08-11 15:49:52 UTC (rev 97)
@@ -0,0 +1,53 @@
+`chart.Posn` <- 
+function(Portfolio, Symbol = NULL, Dates = NULL, ...)
+{ # @author Peter Carl
+
+    # DESCRIPTION
+    # Charts the transaction series of a symbol against prices
+
+    # Inputs
+    # Portfolio: a portfolio object structured with initPortf()
+    # Symbol: an instrument identifier for a symbol included in the portfolio,
+    #   e.g., IBM
+    # Dates: dates to return the calculation over formatted as xts range
+
+    # Outputs
+    # Timeseries object with weights by date in rows and symbolname in columns
+
+    # FUNCTION
+
+    require(quantmod)
+    # @TODO: check that Portfolio is a Portfolio object
+    # @TODO: add date scoping
+    Prices=get(Symbol)
+
+    Buys = Portfolio[[Symbol]]$txn$Txn.Price*(Portfolio[[Symbol]]$txn$Txn.Qty>0)
+    Sells = Portfolio[[Symbol]]$txn$Txn.Price*(Portfolio[[Symbol]]$txn$Txn.Qty<0)
+    Position = Portfolio[[Symbol]]$posPL$Pos.Qty
+    CumPL = cumsum(Portfolio[[Symbol]]$posPL$Trading.PL)
+    #     # These aren't quite right, as abs(Pos.Qty) should be less than prior abs(Pos.Qty)
+    # SellCover = Portfolio[[Symbol]]$txn$Txn.Price * (Portfolio[[Symbol]]$txn$Txn.Qty<0) * (Portfolio[[Symbol]]$txn$Pos.Qty==0)
+    # BuyCover = Portfolio[[Symbol]]$txn$Txn.Price * (Portfolio[[Symbol]]$txn$Txn.Qty>0) * (Portfolio[[Symbol]]$txn$Pos.Qty==0)
+    # 
+    #     #Symbol 24 (up) and 25 (dn) can take bkgd colors
+    # addTA(BuyCover,pch=24,type="p",col="green", bg="orange", on=1)
+    # addTA(SellCover,pch=25,type="p",col="red", bg="orange", on=1)
+
+    chartSeries(Prices, TA=NULL,...)
+    plot(addTA(Buys,pch=2,type='p',col='green', on=1));
+    plot(addTA(Sells,pch=6,type='p',col='red', on=1));
+    plot(addTA(Position,type='h',col='blue', lwd=2));
+    plot(addTA(CumPL, col='darkgreen', lwd=2))
+}
+
+###############################################################################
+# Blotter: Tools for transaction-oriented trading systems development
+# for R (see http://r-project.org/) 
+# Copyright (c) 2008 Peter Carl and Brian G. Peterson
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id: $
+#
+###############################################################################
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