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

Brian G. Peterson brian at braverock.com
Tue Mar 8 21:22:46 CET 2016

Orders are not transactions. Do you perhaps want getTxns () or perTradeStats () ?

--Brian G. Peterson ph: 773-459-4973im: bgpbraverockSent from my mobile, please excuse my brevity. 

-------- Original message --------
From: Peter Neumaier <peter.neumaier at gmail.com> 
Date: 2016/03/08  20:13  (GMT+01:00) 
To: r-sig-finance at r-project.org 
Subject: [R-SIG-Finance] Position size in order book 

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))


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

Many thanks in advance,

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