[R-SIG-Finance] basket of trading systems (blotter, quantstrat)

Immanuel mane.desk at googlemail.com
Tue Mar 15 11:23:16 CET 2011

Hello all,

I'm wondering what the best portfolio / account structure would be if 
one works with a basket of trading
systems.  I'm not sure the term "trading system" is clearly defined, so 
for me the
following are different trading systems (TS):

* strategy_A + Financialnstrument_A + frequency_A
* strategy_B + Financialnstrument_A + frequency_A
* strategy_A + Financialnstrument_B + frequency_A
* strategy_A + Financialnstrument_A + frequency_B

I want to access endEq, trades P/L individually for each TS. I need 
access to this information during the execution of the
TS to adjust orderqty etc.
What is the best way to do this in blotter / quantstrat?
Should I construct a portfolio object for each TS or are there other 
options? (I'm not asking for code, just the big picture on how to 
approach this)

thanks & regards,

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