PMwR (version 1.1-0)

position: Aggregate Transactions to Positions

Description

Use information on single trades to compute a position at a specific point in time.

Usage

position(amount, ...)
# S3 method for default
position(amount, timestamp, instrument, when,
                 drop.zero = FALSE, account = NULL,
                 use.names = NULL, ...)
# S3 method for journal
position(amount, when, drop.zero = FALSE,
                           use.account = FALSE, ...)
# S3 method for position
print(x, ..., sep = ":")

Value

An object of class position, which is a numeric matrix with instrument and timestamp attributes. Note that position will never drop the result's dim

attribute: it will always be a matrix of size

length(when) times length(unique(instrument)), which may not be obvious from the printed output. (An operation such as < or ! results in a logical matrix of the same dimension.) The rows of the matrix correspond to timestamps; the columns correspond to instruments.

To extract the numeric position matrix, use as.matrix(p).

Arguments

when

a timestamp or a vector of timestamps; alternatively, several keywords are supported. See Details.

amount

numeric or an object of class journal. If amount is a one-dimensional array, the dimension is dropped.

timestamp

numeric or character: timestamps, must be sortable

instrument

character: symbols to identify different instruments

account

character: description of account. Ignored if NULL.

use.account

logical. If TRUE, positions are computed by account and instrument; otherwise by instrument only.

use.names

logical or NULL. The argument handles whether names of amount are used as instruments. If NULL: if amount is named and instrument is not specified, names of amount are interpreted as instruments. If use.names is FALSE, names of amount are ignored. (Ignoring names was the default behaviour prior to PMwR version 0.11.)

drop.zero

If logical, drop instruments that have a zero position; default is FALSE. If numeric, it is used as a tolerance; e.g., a value of 1-e12 will drop any position whose absolute amount is smaller than 1-e12.

x

An object of type position.

...

arguments passed to print

sep

A regular expression. Split instruments accordingly. Not implemented yet.

Author

Enrico Schumann

Details

position computes positions for lists of trades. position is a generic function; most useful is the method for journals.

The function checks if timestamp is sorted (see is.unsorted) and sorts the journal by timestamp, if required. If there are (some) NA values in timestamp, but timestamp is sorted otherwise, the function will proceed (with a warning, though).

The argument when can also be specified as one of several keywords: last (or newest or latest) provides the position at the latest timestamp; first (or oldest) provides the position at the earliest timestamp; all provides the positions at all timestamps in the journal. endofday, endofmonth and endofyear provide positions at the end of all calendar days, months and years within the timestamp range of the journal. The latter keywords can only work if timestamp can be coerced to Date.

Computing with positions

Several mathematical operators work specially for positions. Unary +/- work directly on positions, whereas unary ! returns a logical vector of the same dimensions as the initial position. (So !!<position> shows whether a position is non-zero.)

Binary operations, such as +, - or >, work if both positions have the same timestamps (which includes the case in which the timestamp of both is NA). Multiplication produces an error. Instruments can differ, but must be non-NA, except for the special case of length-one NA.

References

Schumann, E. (2025) Portfolio Management with R. https://enricoschumann.net/R/packages/PMwR/; in particular, see
https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#computing-balances

See Also

journal; internal computations are handled by cumsum and findInterval

Examples

position(amount = c(1, 1, -1, 3, -4),
         timestamp = 1:5, when = 4.9)

## using a journal
J <- journal(timestamp = 1:5, amount = c(1, 1, -1, 3, -4))
position(J, when = 4.9)


## 'declaring' a position, using named amounts
amount <- c(1, 1, 1)
instrument <- c("A", "A", "B")
position(amount = amount, instrument = instrument)
## .... or equivalently
amount <- c(A = 2, B = 1)
position(amount)

## ignore names of amount
position(amount, use.names = FALSE)


## adding/subtracting positions
p1 <- position(c(A = 0.2, B = 0.8))
p2 <- position(c(         B = 0.7, C = 0.3))
p1 - p2
## A 0.2
## B 0.1
## C -0.3