The grist.jl from juliaquant

grist.jl's Introduction

Grist is a financial blotter.

Documentation is planned here.

julia> Pkg.clone("https://github.com/JuliaQuant/Grist.jl.git")

This is a current API tour (subject to change, of course):

julia> using Grist

julia> a = LongCall(:CAT, 1.11, 115.);

julia> a.quantity = 100
100

julia>  b = Stock(:BA, 100.11);

julia> b.quantity = 1000
1000

julia> c = Stock(:AAPL, 102);

julia> c.currency = EUR;

julia> c.quantity = -100;

julia> d = Date(2015,3,12);

julia> foo = Timestamp(d - Day(15), a);

julia> bar = Timestamp(d - Day(7), b);

julia> baz = Timestamp(d , c)
2015-03-12 | -100      Stock         102.0   €    AAPL

julia>  res = [foo, bar, baz]
3-element Array{Timestamps.Timestamp{T},1}:
 2015-02-25 |  100      LongCall        1.11  $    CAT 
 2015-03-05 |  1000     Stock         100.11  $    BA  
 2015-03-12 | -100      Stock         102.0   €    AAPL

julia> res[:BA]
1-element Array{Timestamps.Timestamp{T},1}:
 2015-03-05 |  1000     Stock         100.11  $    BA

julia>  res[LongCall]
1-element Array{Timestamps.Timestamp{T},1}:
 2015-02-25 |  100      LongCall        1.11  $    CAT

julia> res[EUR]
1-element Array{Timestamps.Timestamp{T},1}:
 2015-03-12 | -100      Stock         102.0   €    AAPL

julia> res[d-Day(14):d]
2-element Array{Timestamps.Timestamp{T},1}:
 2015-03-05 |  1000     Stock         100.11  $    BA  
 2015-03-12 | -100      Stock         102.0   €    AAPL

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grist.jl's Issues

Use Reactive to solve this problem

For convenience, the dev/tenblotters.jl file will be exported while this is being solved. It brings in the MarketData package and two variables, res and vals.

julia> res
10-element Array{Timestamps.Timestamp{T},1}:
 2000-01-03 |  100      Stock         111.94  $    AAPL
 2000-03-15 | -100      Stock         116.25  $    AAPL
 2000-05-25 |  100      Stock          87.27  $    AAPL
 2000-08-07 | -100      Stock          47.94  $    AAPL
 2000-10-17 |  100      Stock          20.12  $    AAPL
 2000-12-28 | -100      Stock          14.81  $    AAPL
 2001-03-13 |  100      Stock          19.56  $    AAPL
 2001-05-23 | -100      Stock          23.23  $    AAPL
 2001-08-03 |  100      Stock           19.5  $    AAPL
 2001-10-19 | -100      Stock           18.3  $    AAPL

julia> vals
10-element Array{Float64,1}:
  11194.0
 -11625.0
   8727.0
  -4794.0
   2012.0
  -1481.0
   1956.0
  -2323.0
   1950.0
  -1830.0

The problem to solve is to keep track of the account value everyday for two years, given these trades.

The daily closing prices can be found in the cl const provided by MarketData.

julia> using MarketData

julia> cl
500x1 TimeSeries.TimeArray{Float64,1,DataType} 2000-01-03 to 2001-12-31

             Close     
2000-01-03 | 111.94    
2000-01-04 | 102.5     
2000-01-05 | 104.0     
2000-01-06 | 95.0      
⋮
2001-12-26 | 21.49     
2001-12-27 | 22.07     
2001-12-28 | 22.43     
2001-12-31 | 21.9

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