To make it really precise is an art, though. I don't know the internals of
the blotter package, but as far as I understood, quantstrat has an
instrument class (or was it blotter?), this instrument class would be the
right place to add a function "cashUse" or something like that.

A function could cater for the different characteristics of contracts. As
an example, the actual margin use for FDAX futures depends on volatility
and price - it's not a plain price dependency.

'my two cent.




On Thu, Nov 1, 2012 at 11:45 PM, Peter Carl <peter@braverock.com> wrote:

> > Is there a way to account for margin size in blotter?
> No, although it isn't outside the realm of possibilities some day.
> Finding an enthusiastic author of such code has been, well, difficult.
>
> > If not, can you think of a way to "cheat" that into the current system?
> As a quick but perhaps impractical solution, you could export your
> positions to an external span engine.  Barring that possibility, I'd say
> that you can do some back of the envelope calculations based on positions
> and transactions kept in blotter to estimate margin use if you need.
>
> Contributions would be welcome, of course.
>
> pcc
> --
> Peter Carl
> http://www.braverock.com/peter
>
> >  I've run into an issue with the blotter package that may be significant.
> >
> > When buying and selling futures, the full contract value is NEVER paid.
> It is normal practice to simply pay the margin.  For example, a single
> contract of corn is for 5,000 bushels.  At $5.00 per bushel, that is a
> $25,000 contract.  However, the amount actually paid to a broker is
> around $2,000.
> >
> > This is an issue when designing and testing trading systems.  If I have
> a fictional fund of $1,000,000 and want to buy 20 contracts of corn,
> real life cash outflow would be around $40,000.  However, with blotter
> it would be $500,000, which is 1/2 of my portfolio. That quickly kills a
> lot of trading strategies and testing.
> >
> > Is there a way to account for margin size in blotter?
> > If not, can you think of a way to "cheat" that into the current system?
> >
> >
> > --
> > Noah Silverman, M.S.
> > UCLA Department of Statistics
> > 8117 Math Sciences Building
> > Los Angeles, CA 90095
> >
> > _______________________________________________
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> Also note that this is not the r-help list where general R questions
> should go.
> >
>
> _______________________________________________
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> should go.
>



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