PortfolioEffectHFT (version 1.6)

portfolio_startBatch: Starts Metrics Batch

Description

Marks the start of a metrics batch. All metrics called after the marker would be grouped in one compute batch. The batch is finished by a call to portfolio_endBatch( ) function. To maximize speed improvements from batching, group those metrics that operate on the same portfolio or position. This way they will be computed in one pass over the data.

Usage

portfolio_startBatch(portfolio)

Arguments

portfolio

Portfolio object created using portfolio_create( ) function

Value

Examples

## Not run: 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio<-portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# portfolio_addPosition(portfolio,'AAPL',100)
# portfolio_addPosition(portfolio,'GOOG',150)
# 
# portfolio_startBatch(portfolio)
# 
# portfolio_VaR(portfolio,0.95)
# position_VaR(portfolio,"AAPL",0.95)
# position_VaR(portfolio,"GOOG",0.95)		
# 
# portfolio_endBatch(portfolio)
# 
# util_plot2d(position_VaR(portfolio,"AAPL",0.95),title="Value at Risk , daily",legend="AAPL")+
#         util_line2d(position_VaR(portfolio,"GOOG",0.95),legend="GOOG")+
#         util_line2d(portfolio_VaR(portfolio,0.95),legend="Portfolio")
# ## End(Not run)