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braverock / blotter

blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provides portfolio support for multi-asset class and multi-currency portfolios. Actively maintained and developed.
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Portfolio Per Trade Statistics #43

Closed rossb34 closed 5 years ago

rossb34 commented 7 years ago

perTradeStats computes the trade statistics for a given symbol. We should also provide an option for trade statistics aggregated at the portfolio level (related to #42). One way is to modify perTradeStats to loop over all the symbols in the portfolio. 

portf <- .getPortfolio(Portfolio)
for(Symbol in names(portf$symbols){
    # do trade stats stuff
}

Another option is to do this with a separate function such as perTradeStats.portfolio. Then perTradeStats could call perTradeStats.portfolio if Symbol = "all" is passed in as an argument.

For example, something like

perTradeStats.portfolio <- function(Portfolio, Symbol, includeOpenTrade = TRUE, tradeDef = "flat.to.flat", ...){
  symbols <- names(.getPortfolio(Portfolio)$symbols)
  pts.list <- lapply(symbols, function(x) perTradeStats(Portfolio, Symbol = x, includeOpenTrade = includeOpenTrade, tradeDef = tradeDef, ... = ...))
  # either return as a list or rbind and return a single data.frame (e.g. do.call(rbind, pts.list))
  return(pts.list)
}