[R-SIG-Finance] Position size in order book
peter.neumaier at gmail.com
Tue Mar 8 22:36:09 CET 2016
Spot on Brian: I got confused.
On Tue, Mar 8, 2016 at 8:22 PM, Brian G. Peterson <brian at braverock.com>
> Orders are not transactions. Do you perhaps want getTxns () or
> perTradeStats () ?
> Brian G. Peterson
> ph: 773-459-4973
> im: bgpbraverock
> Sent 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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