require(FinancialInstrument)

## Loading required package: FinancialInstrument

## Loading required package: quantmod

## Loading required package: Defaults

## Loading required package: xts

## Loading required package: zoo

## Attaching package: 'zoo'

## The following object is masked from 'package:base':
## 
## as.Date, as.Date.numeric

## Loading required package: TTR

## Version 0.4-0 included new data defaults. See ?getSymbols.

require(blotter)

## Loading required package: blotter

## Loading required package: PerformanceAnalytics

## Attaching package: 'PerformanceAnalytics'

## The following object is masked from 'package:graphics':
## 
## legend

currency("USD")

## [1] "USD"

source("getSymbols.mycsv.R")

loadInstruments("Futures_instruments_with_paths.RData")
loadSymbolLookup("Futures_instruments_SymbolLookup.RData")

getSymbols("ES_201303")

## As of 0.4-0, 'getSymbols' uses env=parent.frame() and auto.assign=TRUE by
## default.
## 
## This behavior will be phased out in 0.5-0 when the call will default to
## use auto.assign=FALSE. getOption("getSymbols.env") and
## getOptions("getSymbols.auto.assign") are now checked for alternate
## defaults
## 
## This message is shown once per session and may be disabled by setting
## options("getSymbols.warning4.0"=FALSE). See ?getSymbol for more details

## [1] "ES_201303"

head(ES_201303)

##            ES_201303.Open ES_201303.High ES_201303.Low ES_201303.Close
## 2011-12-16           1188           1188          1188            1188
## 2011-12-19           1177           1177          1177            1177
## 2011-12-20           1214           1214          1214            1214
## 2011-12-21           1214           1214          1214            1214
## 2011-12-22           1227           1227          1227            1227
## 2011-12-23           1238           1238          1238            1238
##            ES_201303.Volume ES_201303.Adjusted
## 2011-12-16          2267073            3402680
## 2011-12-19          1684649            2538315
## 2011-12-20          1827326            2561308
## 2011-12-21          1987322            2575097
## 2011-12-22          1336956            2597419
## 2011-12-23           695759            2605398

tail(ES_201303)

##            ES_201303.Open ES_201303.High ES_201303.Low ES_201303.Close
## 2013-03-08           1543           1554          1540            1550
## 2013-03-11           1547           1557          1546            1556
## 2013-03-12           1557           1557          1548            1552
## 2013-03-13           1553           1557          1548            1556
## 2013-03-14           1556           1564          1555            1562
## 2013-03-15           1561           1565          1557            1557
##            ES_201303.Volume ES_201303.Adjusted
## 2013-03-08          3053473            3555036
## 2013-03-11          2361481            3705061
## 2013-03-12          2885864            3796609
## 2013-03-13          2160933            3801969
## 2013-03-14          1901939            3757487
## 2013-03-15          1767829            3778891

initPortf("p", symbols = "ES_201303", currency = "USD")

## [1] "p"

addTxn(Portfolio = "p", Symbol = "ES_201303", TxnDate = "2013-01-02", TxnQty = 1, 
    TxnPrice = 1440, TxnFees = -2)

## [1] "2013-01-02 00:00:00 ES_201303 1 @ 1440"

addTxn(Portfolio = "p", Symbol = "ES_201303", TxnDate = "2013-03-13", TxnQty = -1, 
    TxnPrice = 1450, TxnFees = -2)

## [1] "2013-03-13 00:00:00 ES_201303 -1 @ 1450"

updatePortf(Portfolio = "p")

## [1] "p"

initAcct(name = "a", portfolios = "p", initEq = 10000, currency = "USD")

## [1] "a"

updateAcct("a")

## [1] "a"

updateEndEq("a")

## [1] "a"

tradeStats("p")

##           Portfolio    Symbol Num.Txns Num.Trades Net.Trading.PL
## ES_201303         p ES_201303        2          2            496
##           Avg.Trade.PL Med.Trade.PL Largest.Winner Largest.Loser
## ES_201303          248          248            498            -2
##           Gross.Profits Gross.Losses Std.Dev.Trade.PL Percent.Positive
## ES_201303           498           -2            353.6               50
##           Percent.Negative Profit.Factor Avg.Win.Trade Med.Win.Trade
## ES_201303               50           249           498           498
##           Avg.Losing.Trade Med.Losing.Trade Avg.Daily.PL Med.Daily.PL
## ES_201303               -2               -2          248          248
##           Std.Dev.Daily.PL Max.Drawdown Profit.To.Max.Draw
## ES_201303            353.6        -5302            0.09355
##           Avg.WinLoss.Ratio Med.WinLoss.Ratio Max.Equity Min.Equity
## ES_201303               249               249       5798      -1002
##           End.Equity
## ES_201303        496

getTxns(Portfolio = "p", Symbol = "ES_201303")

##            Txn.Qty Txn.Price Txn.Fees Txn.Value Txn.Avg.Cost
## 1950-01-01       0         0        0         0            0
## 2013-01-02       1      1440       -2     72000         1440
## 2013-03-13      -1      1450       -2    -72500         1450
##            Net.Txn.Realized.PL
## 1950-01-01                   0
## 2013-01-02                  -2
## 2013-03-13                 498