tradeCostsResults-class {tradeCosts}R Documentation

Class "tradeCostsResults"

Description

This function constructs a basic trade cost analysis results object.

Slots

name:
Object of class "character" containing the name of this trade cost analysis
results:
Object of class "data.frame" that contains the raw trade cost results
na.counts:
Objects of class "data.frame" that contains the raw trade cost results
base.price:
Object of class "character" that explains what price is being used as the base price.
benchmark.price:
Object of class "character" that explains what price is being used as the benchmark price.
batch.method:
Object of class "character" that explains in what way to group the executions for analysis.

Methods

summary
signature(object = "tradeCostsResults"): Provides a printout summarizing the tradeCostsResults object.
pdfReport
signature(object = "tradeCostsResults"): Provides a pdf summary of the tradeCostsResults object.
calcAll
signature(results = "data.frame", num.trades = "numeric"): Calculates best/worst trades for all id/date pairs.
calcID
signature(results = "data.frame", num.trades = "numeric"): Calculates best/worst trades for ID's.
calcPeriod
signature(results = "data.frame", num.trades = "numeric"): Calculates best/worst trades over periods.
calcStats
signature(results = "data.frame"): Calculates summary statistics for the tradeCostsResults object.
plot
signature(x = "tradeCostsResults"): Plots the tradeCostsResults object with the argument 'type' as one of "time.series" (this is the default), "time.series.bps", "cumulative", or any column name in the static data frame

Author(s)

Aaron Schwartz and Luyi Zhao and Arjun Ravi Narayan


[Package tradeCosts version 0.3-0 Index]