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braverock
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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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.updatePosPL cannot handle multiple transactions on the same day across currencies
#74
dionchu
opened
6 years ago
0
Add PBO/CSCV to blotter
#73
jaymon0703
opened
6 years ago
0
chart.Posn initial artificial drawdown
#72
cdries
opened
6 years ago
1
txnsim - targetend adds first layer trade duration as opposed to duration from sampled row
#71
jaymon0703
closed
4 years ago
0
txnsim layering - needs to layer until target duration is achieved
#70
jaymon0703
opened
6 years ago
0
tradesample() bug fix for increased.to.reduced
#69
jaymon0703
closed
6 years ago
0
Order df before finding intervals for idx_open and idx_close; and switch operator for determining whether or not to layer
#68
jaymon0703
closed
6 years ago
0
txnsim - reorder txns variable in txnsim.txns() so that closing txns precede new opening txns
#67
jaymon0703
closed
6 years ago
0
Add argument to move the legend in chart.ME
#66
eigenvalet
closed
5 years ago
2
Optimise building replicate transactions
#65
jaymon0703
closed
6 years ago
1
txnsim - When setting 'maxlongpos' and 'maxshortpos' we need to make sure it exists
#64
jaymon0703
closed
6 years ago
0
txnsim - Limit layered quantity to max pos of observed strategy
#63
jaymon0703
closed
6 years ago
0
txnsim - Need to apply an adjustment to sampled start timestamps where these fall on weekends or holidays, and will therefore not be inside our market data object..
#62
jaymon0703
closed
6 years ago
0
txnsim - Add a counter to the While loop for determining whether to look at next trade or truncate duration, and add an equality operator to our While loop condition
#61
jaymon0703
closed
6 years ago
0
txnsim - time unit defaults to "days" when calculating a truncated duration for layers 2+
#60
jaymon0703
closed
6 years ago
0
perTradeStats and tradeStats support retrieving stats from non blotter environments
#59
nmatare
closed
6 years ago
0
txnsim() - need to account for the possibility that a strategy has no flat periods from which to sample
#58
jaymon0703
closed
6 years ago
1
perTradeStats with tradeDef="increased.to.reduced" breaks when open trade shares a timestamp with an unwind trade
#57
jaymon0703
closed
6 years ago
1
add pvalues to mcsim() - as seen in txnsim()
#56
jaymon0703
opened
7 years ago
0
add R-Index (Replicability Index) - Schimmack 2014
#55
jaymon0703
opened
7 years ago
0
add Algorithmic Transaction Cost Analysis models
#54
jaymon0703
opened
7 years ago
9
Register compiled code functions
#53
joshuaulrich
closed
6 years ago
1
48 txnsim
#52
braverock
closed
7 years ago
1
Test to ensure transaction time-order fails for objects with Date index
#51
joshuaulrich
closed
7 years ago
6
AcctReturns appears wrong; doesn't match PortfReturns, possible patch
#50
rogerjbos
opened
7 years ago
0
updateAcct not working due to dates not matching, possible patch
#49
rogerjbos
opened
7 years ago
1
txnsim: Monte Carlo simulation of trading strategies based on actual or backtested transaction behavior
#48
braverock
closed
7 years ago
2
make MAE/MFE reconcile to the equity curve for increased.to.reduced/acfifo/flat.to.reduced
#47
braverock
closed
7 years ago
1
perTradeStats incorrect summary data for flat.to.reduced and increased.to.reduced
#46
braverock
closed
7 years ago
0
Adding new columns Init.Qty and End.Qty to perTradeStats
#45
jaymon0703
closed
7 years ago
2
Update plot.mcsim in mcsim.R
#44
jaymon0703
closed
7 years ago
0
Portfolio Per Trade Statistics
#43
rossb34
closed
5 years ago
0
Portfolio MAE/MFE Chart
#42
rossb34
closed
5 years ago
4
Added Confidence Intervals to mcsim and hist
#41
jaymon0703
closed
7 years ago
0
Added more statistics, a summary fn, %-based sampling and confidence intervals to hist
#40
jaymon0703
closed
7 years ago
2
Addprices
#39
codecliff
opened
7 years ago
0
Remove symbol=symbol param from getPrice method
#38
jaymon0703
closed
8 years ago
0
Revert 2 master
#37
jaymon0703
closed
8 years ago
0
First draft of txnsim
#36
jaymon0703
closed
8 years ago
1
Added Duration column to perTradeStats output
#35
jaymon0703
closed
8 years ago
2
added coredata(dailyPL) for tseries arg in tsboot() as opposed to just dailyPL
#34
jaymon0703
closed
8 years ago
0
amzn_test demo error
#33
evelynmitchell
closed
8 years ago
1
various updates, main fn block size, hist axis, general tidying up
#32
jaymon0703
closed
8 years ago
0
support for pro-forma 13-column Account fees
#31
braverock
opened
8 years ago
0
adding slots, updates to signatures and more documentation
#30
jaymon0703
closed
8 years ago
0
update call to DailyEqPL/DailyTxnPL
#29
jaymon0703
closed
8 years ago
4
mcsim pre-braverock pull request
#28
jaymon0703
closed
8 years ago
0
[R-Forge #1115] blotter:::addDiv uses wrong Quantity in calculation?
#27
joshuaulrich
opened
8 years ago
0
[R-Forge #1114] add corporate actions to blotter/FinancialInstrument
#26
joshuaulrich
opened
8 years ago
0
[R-Forge #852] generate transactions from difference between current and desired position targets
#25
joshuaulrich
opened
8 years ago
0
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