[R-SIG-Finance] Position size in order book

Peter Neumaier peter.neumaier at gmail.com
Tue Mar 8 20:13:03 CET 2016


Hi, I am debugging a strategy by going through my order book, but missing
the net position of my strategy in the output:

ob <- getOrderBook("xyz")$xyz$ABC
ob.df <- data.frame(Date=time(ob),coredata(ob))

View(ob.df)


Is there a way to display the actual position size line by line with each
trade in ob.df?

Many thanks in advance,
Peter

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