Extract fill events from a backtest

Usage

ledgr_extract_fills(bt, lazy = FALSE, stream_threshold = 100000L)

Arguments

bt: A ledgr_backtest object.
lazy: If TRUE, return a streaming cursor instead of materializing all rows.
stream_threshold: Number of fill rows above which lazy mode is forced.

Value

A tibble of fill rows, or a ledgr_fills_cursor when lazy = TRUE.

Details

Fill rows describe execution events and may include both opening and closing actions. Closed trades are exposed by ledgr_results(bt, what = "trades").

Examples

bars <- data.frame(
  ts_utc = as.POSIXct("2020-01-01", tz = "UTC") + 86400 * 0:3,
  instrument_id = "AAA",
  open = c(100, 101, 102, 103),
  high = c(101, 102, 103, 104),
  low = c(99, 100, 101, 102),
  close = c(100, 101, 102, 103),
  volume = 1000
)
strategy <- function(ctx, params) {
  targets <- ctx$flat()
  targets["AAA"] <- 1
  targets
}
bt <- ledgr_backtest(data = bars, strategy = strategy, initial_cash = 1000)
ledgr_extract_fills(bt)
#> # A tibble: 1 × 9
#>   event_seq ts_utc              instrument_id side    qty price   fee
#>       <int> <dttm>              <chr>         <chr> <dbl> <dbl> <dbl>
#> 1         1 2020-01-02 00:00:00 AAA           BUY       1   101     0
#> # ℹ 2 more variables: realized_pnl <dbl>, action <chr>
close(bt)