PortfolioEffectHFT (version 1.7)

txn_costs: Transactional Costs

Description

Computes monetary value of accumulated portfolio transactional costs.

Usage

txn_costs(asset)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

Value

Examples

## Not run: 
# 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio=portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s',txnCostFixed=100)
# positionGOOG=position_add(portfolio,'GOOG',c(100,200),time=c(1412256601000,1412266600000),
# priceData=goog.data) 
# positionAAPL=position_add(portfolio,'AAPL',c(300,150),time=c(1412266600000,1412276600000),
# priceData=aapl.data) 
# result=compute(txn_costs(portfolio),txn_costs(positionGOOG),txn_costs(positionAAPL)) 
# plot(txn_costs(portfolio),txn_costs(positionGOOG),txn_costs(positionAAPL),
# legend=c('Portfolio','GOOG','AAPL'),title='Transactional Costs')
# ## End(Not run)