Thanks for the replies everyone. I'm thinking blotter is what I want to
look into. What I have is ending portfolio positions with cash balance
and trades for the two years up to that point. What I'm trying to find
is an easy way to either create a portfolio "snapshot" for any date
given within those two years. Or create a dataset that has all the
portfolos in it from which I can select dates. I'm indifferent as to
the approach - just looking to leverage what's already there.
Thanks,
Matt
On 2015-02-06 14:14, Brian G. Peterson wrote:
Matt,
If you have all the trades, or at least the starting position and cost
basis, and all the trades after that point, then blotter can do what
you want.
see
?addTxns #loading everything in in one go
and
?getPos # for looking up positions as of a certain time
If you don't have the starting position and average cost, you can back
into the starting position (but not average cost) by entering all the
trades as though you started flat, and taking the difference to your
ending position.
As to whether you could back out average cost, you'd have to tell us
more about your inputs.
Regards,
Brian
On 02/06/2015 09:33 AM, [email protected] wrote:
Hi,
Let's say I have a snapshot of a portfolio's holdings on a given day,
as
well as the trades covering the two years up to that date. Does
anyone
know of an already-made module or toolchain that would allow me to
back
out the portfolio's holdings on any given day up to that point (but
that
is obviously covered by the trading data)? While it is a pretty
straightforward - and tedious - mechanical exercise, I can see that
there might be a twist in that one needs to create the implied cash
balance, as all the cash positions are not included (just the ending
balance).
So I recognize that the result might only be a close approximation.
But
under the assumption that the portfolio was always effectively fully
invested I think the results would be robust.
If anyone is aware of a solution out there that is based in R, I'd be
appreciative.
Regards,
Matt Considine
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