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Questions tagged [blotter]

blotter is an R package typically used with the R package quantstrat (as a dependency package for quantstrat). Blotter provides transaction-oriented infrastructure for constructing transactions, portfolios and accounts for trading systems and simulation in R. blotter is under active development at https://github.com/braverock/blotter

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Referencing TxnPrice from addTxn() in blotter for trade exit

I am wanting to backtest a trade exit within quantstrat/blotter where I reference the price (inside a loop) that the latest blotter entry transaction was made at. I am wanting to add a rule that if the latest trade has fallen by eg 5% since…
RichS
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Read a list to get name of xts object

I'm trying to work through a version of Guy Yonlin's excellent example code for quantstrat & blotter but make it work for a set of portfolios. Unfortunately I'm stuck trying to read a list of symbols and get R to access the actual xts data that got…
LGTrader
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R blotter: Error in get(Symbol, pos=env): object ... not found

Ok I've read through the documentation, the updated slides from Guy Yollin and all my past posts, but I cannot find an answer to this problem. After my for loop I still get an error that the object 'USDCHF' cannot be found. Here's my…
MichiZH
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react-text-fun rendering text twice?

I've been playing around with some libraries and tested out react-text fun. I placed the blotter script in my html file and installed the library. When I test out an effect, I get two rendered elements on my page. Any ideas on how to fix…
Kade
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Blotter & Quantstrat - Buy only strategy without any exit

I am trying to implement a buy and hold strategy without any exit. Simple example: using sigFormula to buy when both RSI is long and SMA(sigcomparison) is long. Till here, the strategy throws all the trades and it works perfectly fine. However, I…
Amrith
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I am not able to install quantstrat package in r

I have just downloaded r and I am trying to download quantstrat. The only problem is that when I run the following code: install.packages("devtools") require(devtools) install_github("braverock/blotter")…
francesco fantechi
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Unable to install blotter or quantstrat for R 4.0.2, despite using GitHub Repository

Having a difficult time installing blotter for 4.0.2. I run the following code: require(devtools) install_github("braverock/blotter") install_github("braverock/quantstrat") I receive the following error message: Failed to install 'blotter' from…
rocc
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How do I import Blotter.js into my React.js application?

I'm trying to use Blotter.js in my React application, but I can't find out how to define the Blotter class in my React application. I exported this codepen that tests Blotter.js (https://codepen.io/jgordon-orange/pen/oEGxpp) and it works locally as…
CrumrineCoder
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Building Tools are missing in RStudio

First of all, I am working on a Mac. I am trying to install Blotter from GitHub. I found several descriptions of how to do that but my RStudio tells me that I am missing Building tools and gives me a link…
tbacher
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Un- and Reinstall Quantstrat for new and clean setup R

I’ve been working with Quantstrat for the last 3 weeks and trying to understand ever step the functions takes and how it uses the different environments. In this learning process, I played around with the code a lot. Now I got to a point where my…
Andy Parzyszek
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R: Bizarre Behavior with XTS objects

EDIT(1): This is the sessionInfo(): > sessionInfo() R version 3.4.2 (2017-09-28) Platform: x86_64-w64-mingw32/x64 (64-bit) Running under: Windows 10 x64 (build 17134) Matrix products: default locale: [1] LC_COLLATE=English_United States.1252 [2]…
Sean Sinykin
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quantstrat_0.10.7 warning message: .updatePosPL / Modifies end results

I was previously using quantsrat_0.9.1739 & blotter_0.9.1741 for some time and it worked fine until I updated them to the latest version 0.10.7 with blotter 0.12.4. Most of the simulations that I previously wrote throw in the following message:…
Arnaud Pallini
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Quantstrat / Blotter dims error when running Trade Statistics

There is an xts object generated from a txt file. It contains 5 rows: Open, High, Low, Close, S_Base. S_Base is a binary signal which is TRUE (equal to 1) when Low = Close. Thought to make a minimum reproducible example of 55 rows. It has 4 TRUE…
Krug
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Xts conversion fails on update from xts 0.9.7 to 0.10.0

Dataframe to xts conversion fails on update from xts 0.9.7 to 0.10.0. #THIS WORKS (uses xts 0.9.7): library(xts) DFX <- structure(list(DateTime = structure(list(sec = c(0, 0, 0), min = c(10L, 0L, 5L), hour = c(17L, 18L, 18L), mday =…
Krug
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Time series Matrix multiplication for portfolio return calculation using R

I have a high frequency trading dataset of 10 stocks between 11:00 am to 11:30 am, which I have aggregated to 30 sec interval. Subsequently I have calculated the return of these 10 stocks. How to I perform matrix multiplication of the below time…
Abhishek
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