PMwR (version 0.11-0)

journal: Journal

Description

Create and manipulate a journal of financial transactions.

Usage

journal(amount, …)
as.journal(x, …)
is.journal(x)
# S3 method for default
journal(amount, price, timestamp, instrument,
        id = NULL, account = NULL, …)
# S3 method for journal
c(…, recursive = FALSE)
# S3 method for journal
length(x)
# S3 method for journal
aggregate(x, by, FUN, …)
# S3 method for journal
print(x, …,
      width = getOption("width"), max.print = getOption("max.print"),
      exclude = NULL, include.only = NULL)
# S3 method for journal
sort(x, decreasing = FALSE, by = "timestamp", …, na.last = TRUE)
# S3 method for journal
subset(x, …)
# S3 method for journal
[(x, i, match.against = NULL,
                    ignore.case = TRUE, …, reverse = FALSE)
# S3 method for journal
[(x, i, match.against = NULL,
                    ignore.case = TRUE, …, reverse = FALSE) <- value
# S3 method for journal
as.data.frame(x, row.names = NULL, optional = FALSE, …)
# S3 method for journal
head(x, n = 6L, …, by = TRUE)
# S3 method for journal
tail(x, n = 6L, …, by = TRUE)

Arguments

timestamp

An atomic vector of mode numeric or character. Timestamps should typically be sortable.

amount

numeric

price

numeric

instrument

character or numeric (though typically character)

id

An atomic vector. Default is NULL.

account

An atomic vector. Default is NULL.

…

For journal: further arguments, which must all be named.

For subset: an expression that evaluates to a logical vector. The expression may use all fields of the passed journal; see Examples.

For `[`: arguments other than ignore.case to be passed to grep.

For sort: arguments passed to sort.

x

a journal or an object to be coerced to class journal (for as.journal) or to be checked if it inherits from journal (for is.journal)

width

integer. See options.

decreasing

passed to sort

by

sort: sort by field. head/tail: by instrument.

ignore.case

logical

na.last

arguments passed to sort

max.print

maximum number of transactions to print

exclude

character: fields that should not be printed

include.only

character: print only those fields. (Not supported yet.)

row.names

see as.data.frame

optional

see as.data.frame

recursive

ignored (see c)

i

integer, logical or character. The latter is interpreted as a regexp (see grep)

n

integer.

match.against

character vector of field names. Default is NULL, which means to match against all character fields.

reverse

logical. If TRUE, select journal entries that do not match regular expression.

FUN

either a function that takes as input a journal and evaluates to a journal, or a list of named functions

value

a replacement value

Value

An object of class journal, which is a list of atomic vectors.

Details

The journal function creates a list of the arguments and attaches a class attribute (‘journal’). It is a generic function; the default method creates a journal from atomic vectors. The btest method extracts the journal from the results of a backtest; see btest.

as.journal coerces an object to a journal; mostly used for creating a journal from a data.frame.

journal methods are available for several generic functions, for instance:

all.equal

compare contents of two journals

aggregate

Splits a journal according to by, applies a function to every sub-journal and recombines the results into a journal.

as.data.frame

coerces journal to data.frame

c

Combine several journals into one. Note that the first argument to c.journal must inherit from journal, or else the method dispatch will fail. For empty journals, use journal() (not NULL).

length

number of transactions in a journal; it uses the length of amount.

split

Splits a journal according to f, yielding a list of journals. Often used interactively to have information per sub-journal printed.

subset

evaluates an expression in an environment that can access all fields of the journal. The function is meant for interactive analysis; care is needed when it is used within other functions: see Examples and the Manual.

summary

provides summary statistics, such as number of trades and average buy/sell prices

toOrg

converts a journal to an Org table; package orgutils must be available

For journals that have a length, missing arguments will be coded as NA except for id and account, which become NULL. In zero-length (i.e. ‘empty’) journals, all fields have length 0. A zero-length journal is created, of instance, by saying journal() or when an zero-row data.frame is passed to as.journal.

References

Schumann, E. (2018) Portfolio Management with R. http://enricoschumann.net/R/packages/PMwR/

See Also

position, pl

Examples

# NOT RUN {
j <- journal(timestamp = 1:3,
             amount = c(1,2,3),
             price = 101:103,
             instrument = c("Stock A", "Stock A", "Stock B"))

## *** subset *** in functions
##   this should work as expected ...
t0 <- 2.5                         
subset(j, timestamp > t0)

##   ... but here?!
tradesAfterT <- function(j, t0)   
    subset(j, timestamp > t0)        
tradesAfterT(j, 0)               

##   if really required
tradesAfterT <- function(j, t0) {
    e <- substitute(timestamp > t0, list(t0 = t0))
    do.call(subset, list(j, e))
}
tradesAfterT(j, 0)

##   ... or much simpler
tradesAfterT <- function(j, t0)
    j[j$timestamp > t0]
tradesAfterT(j, 0)

## *** aggregate ***
##   several buys and sells on two days
##   aim: find average buy/sell price per day
j <- journal(timestamp = structure(c(15950, 15951, 15950, 15951, 15950,
                                     15950, 15951, 15951, 15951, 15951),
                                   class = "Date"),
             amount = c(-3, -4, -3, -1, 3, -2, 1, 3, 5, 3),
             price = c(104, 102, 102, 110, 106, 104, 104, 106, 108, 107),
             instrument = c("B", "B", "A", "A", "B", "B", "A", "B", "A", "A"))

by <- list(j$instrument, sign(j$amount), as.Date(j$timestamp))
fun <- function(x) {
    journal(timestamp = as.Date(x$timestamp[1]),
            amount = sum(x$amount),
            price = sum(x$amount*x$price)/sum(x$amount),
            instrument = x$instrument[1L])
}
aggregate(j, by = by, FUN = fun)

# }