[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

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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