On Wed, 2012-05-02 at 00:00 -0400, Jim Green wrote: > Greetings! > Pls forgive me if this is an old topic. I have searched through list > archives extensively but I am just not sure if I am using quantstrat > correctly with intraday data. <...> > Currently I use something similar to attached test.R to do intraday > work. in the code I liquidate everything before close so that I don't > need to worry about splits and dividends. Is what I am doing the > correct way of using quantstrat with intraday data?
That's certainly the easiest answer. blotter contains some support for dividends, but it is only lightly tested, since I personally don't need that functionality. Additional testing, direct feedback, and patches are always welcome. Participation by users is one of the ways these packages grow over time. (and feel free to take those conversations off-list) > Also if in future I will hold overnight positions, How would I make > sure dividends and splits are correctly adjusted for pnl and summary > statistics? would underlying blotter be smart enough to handle all the > housekeeping? No Guarantees (of course that's true of everything in R). My recollection is that the addDiv function will add cash to your account to cover dividends. I don't believe that there is a function for splits. You'd likely need to write that, we'd love the contribution. It shouldn't be hard, as all that needs to happen is that you add a transaction for the split with a price of zero, adding more shares and lowering your average cost to compensate for the split. As xts gains support for differing column classes this summer as part of the funded GSoC project, it will get easier to add additional information to transactions that will definitely include transaction type. Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.