[R-SIG-Finance] FinancialInstrument package
Brian G. Peterson
brian at braverock.com
Fri Jun 4 21:17:58 CEST 2010
On 06/04/2010 11:11 AM, Horace Tso wrote:
> Dirk, I noticed a flurry of exchanges about blotter on this list, yet it's not been posted on CRAN. Does that mean these five packages (blotter, TradeAnalystics, FinancialInstrument, quantstrat, RTAQ) are not ready for production use?
> Thanks for the link.
TradeAnalytics is the 'project collection', the packages are under that.
blotter, FinancialInstrument, and quantstrat are all under more or less heavy
development. I use them on real instruments and portfolios, but they're still
rough around the edges. they're not on CRAN yet largely because the interfaces
may still change, and I'd like to see a little more stability before a CRAN
release. With them on R-Forge, they are easy for people to install in their
current states. quantstrat and blotter have also prompted several improvements
in xts and quantmod, and not all of those changes have made it to CRAN yet either.
If you want to use them, I certainly encourage it, but I'd recommend
communicating extensively with the members of the development team to help
bring them further along.
FinancialInstrument is the simplest, and arguably most mature, though complex
instruments have not been modeled, the framework is there to model complex,
synthetic, and OTC derivative products.
blotter is being worked on, it works well now for multi-instrument,
multi-currency portfolios, but multi-currency is not completely implemented in
the account structure. That will likely be worked out in the next couple of
weeks. Jeff has also promised to speed up the portfolio P&L calculations,
which can be quite slow right now depending on how they are called.
quantstrat needs more examples, and the framework for parameterization of
strategies needs some work. It is mature enough to model real high frequency
strategies, as well as lower frequency strategies. It would benefit from more
'library' strategies, and collaboration is encouraged.
RTAQ is for importing and cleaning TAQ data from NYSE, and is fairly mature.
The documentation is being completed prior to release to CRAN. I'd like to
provide some wrappers for the cleaning functions to use them on non-TAQ tick
data, but I don't know when I'll have time to do that.
Brian G. Peterson
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