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Add 'Dates' parameter to tradeStats and dailyStats functions #116

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Add 'Dates' parameter to tradeStats and dailyStats functions #116

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637d5c2
Add Dates parameter to dailyStats function
evgeniavolkova Feb 12, 2022
3c6934a
Add Dates parameter to dailyStats function
evgeniavolkova Feb 12, 2022
4e8ab2f
Add Dates parameter to dailyStats function
evgeniavolkova Feb 12, 2022
554b80c
Add dates param to tradeStats
evgeniavolkova Feb 14, 2022
71184ed
Fix txn dates
evgeniavolkova Feb 14, 2022
3bdeb4b
Check for df length before rbind
evgeniavolkova Feb 20, 2022
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33 changes: 27 additions & 6 deletions R/tradeStats.R
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Original file line number Diff line number Diff line change
Expand Up @@ -147,6 +147,9 @@ tradeStats <- function( Portfolios
stringsAsFactors = FALSE)

use <- use[1] #use the first(default) value only if user hasn't specified
if (is.null(Dates)) {
Dates <- "/"
}
tradeDef <- tradeDef[1]
for (Portfolio in Portfolios){
pname <- Portfolio
Expand All @@ -158,8 +161,12 @@ tradeStats <- function( Portfolios
## Trade Statistics
for (symbol in symbols){
txn <- Portfolio$symbols[[symbol]]$txn
if (nrow(txn[Dates]) > 0) {
txn <- rbind(txn[1,], txn[Dates])
}
posPL <- Portfolio$symbols[[symbol]]$posPL
posPL <- posPL[-1,]
posPL <- posPL[Dates]

# Use gross transaction P&L to identify transactions that realized
# (non-fee) P&L, but use net transaction P&L to calculate statistics.
Expand Down Expand Up @@ -192,7 +199,7 @@ tradeStats <- function( Portfolios
#moved above for daily stats for now
},
trades = {
trades <- perTradeStats(pname,symbol,tradeDef=tradeDef, envir=envir)
trades <- perTradeStats(pname,symbol,tradeDef=tradeDef, envir=envir, Dates=Dates)
PL.gt0 <- trades$Net.Trading.PL[trades$Net.Trading.PL > 0]
PL.lt0 <- trades$Net.Trading.PL[trades$Net.Trading.PL < 0]
PL.ne0 <- trades$Net.Trading.PL[trades$Net.Trading.PL != 0]
Expand Down Expand Up @@ -317,8 +324,12 @@ tradeStats <- function( Portfolios
#' @return a multi-column \code{xts} time series, one column per symbol, one row per day
#' @seealso tradeStats
#' @export
dailyTxnPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE, envir=.blotter, ...)
dailyTxnPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE,
envir=.blotter, Dates=NULL)
{
if (is.null(Dates)) {
Dates <- "/"
}
ret <- NULL
for (Portfolio in Portfolios){
pname <- Portfolio
Expand All @@ -333,6 +344,7 @@ dailyTxnPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE, en
for (symbol in symbols){
txn <- Portfolio$symbols[[symbol]]$txn
txn <- txn[-1,] # remove initialization row
txn <- txn[Dates]

PL.ne0 <- txn$Net.Txn.Realized.PL[txn$Net.Txn.Realized.PL != 0]
if(!nrow(PL.ne0)){
Expand All @@ -354,8 +366,12 @@ dailyTxnPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE, en
#' @param native if TRUE, return statistics in the native currency of the instrument, otherwise use the Portfolio currency, default TRUE
#' @rdname dailyTxnPL
#' @export
dailyEqPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE, envir=.blotter, native=TRUE, ...)
dailyEqPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE,
envir=.blotter, native=TRUE, Dates=NULL, ...)
{
if (is.null(Dates)) {
Dates <- "/"
}
ret <- NULL
for (Portfolio in Portfolios){
pname <- Portfolio
Expand All @@ -374,6 +390,7 @@ dailyEqPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE, env
posPL <- Portfolio$symbols[[symbol]][[currPosPL]]
}
posPL <- posPL[-1,] # remove initialization row
posPL <- posPL[Dates]

Equity <- cumsum(posPL$Net.Trading.PL)
if(!nrow(Equity)){
Expand All @@ -399,15 +416,19 @@ dailyEqPL <- function(Portfolios, Symbols, drop.time=TRUE, incl.total=FALSE, env
#' @param native if TRUE, return statistics in the native currency of the instrument, otherwise use the Portfolio currency, default TRUE
#' @param \dots any other passthrough params (e.g. \code{method} for skewness/kurtosis)
#' @export
dailyStats <- function(Portfolios,use=c('equity','txns'),perSymbol=TRUE,..., envir=.blotter, native=TRUE)
dailyStats <- function(Portfolios,use=c('equity','txns'),perSymbol=TRUE,...,
envir=.blotter, native=TRUE, Dates=NULL)
{
use=use[1] #take the first value if the user didn't specify
if (is.null(Dates)) {
Dates <- "/"
}
switch (use,
Eq =, eq =, Equity =, equity =, cumPL = {
dailyPL <- dailyEqPL(Portfolios, ..., envir=envir, native=native)
dailyPL <- dailyEqPL(Portfolios, ..., envir=envir, native=native, Dates=Dates)
},
Txns =, txns =, Trades =, trades = {
dailyPL <- dailyTxnPL(Portfolios, ..., envir=envir)
dailyPL <- dailyTxnPL(Portfolios, ..., envir=envir, Dates=Dates)
}
)

Expand Down