trade.costs {tradeCosts} | R Documentation |
This function requires three data sets (dynamic descriptive, static descriptive, and trading data). It also requires the names of important columns related to the trade cost analysis.
trade.costs(trade, dynamic, static = NULL, decisions = NULL, benchmark.price = "vwap", base.price = "exec.price", num.trades = 5, analysis.title = "Trade Cost Analysis", batch.method = "unique", start.period = NULL, end.period = NULL)
dynamic |
The dynamic argument is for dynamic descriptive
data of securities and should include some notion of time period and
price. |
trade |
The trade argument should be a data
set with trading data including at least one type of price related
to the execution of a trade as well as a notion of period. |
static |
The static argument is an optional argument
with defaults NULL that provides descriptive data for
securities, should include basic information for each security. |
decisions |
The decisions argument is an optional
argument that can provide decision data for calculating
implementation shortfall. |
benchmark.price |
The benchmark.price argument should be the
name of a column in dyna and is the price that will be used
for benchmarking and calculating trade cost statistics such as
slippage. |
base.price |
The base.price argument should be the
name of a column in dyna and is the price that will be used
as the base price for calculating trade cost statistics such as
slippage. |
num.trades |
The num.trades argument is a numeric
argument that specifies how many trades should be shown in the
resulting summaries. The default is 5 trades, which means for each
category, the summary shows the 5 best and worst trades. |
analysis.title |
User-specified character string which serves as the title of the report for aesthetic purposes. |
batch.method |
Option for selecting method for grouping trades. |
start.period |
Object of the same class as the period
column in the trade and static data frames that
specifies the first period of the analysis. |
end.period |
Object of the same class as the period
column in the trade and static data frames that
specifies the last period of the analysis. |
This version of trade.costs
provides a single multi-period
sample batch method, same.sided
, which groups all consecutive
same-sided orders into a single batch. The default
batch.method
, unique
, places each trade in its own
batch.
A tradeCostsResults object is returned.
Aaron Schwartz and Luyi Zhao
data(dynamic.mar.2007) data(trade.mar.2007) data(static.mar.2007) trade.costs(trade.mar.2007, dynamic.mar.2007, static.mar.2007, num.trades = 3)