Read or convert causal history as an identified matrix

With a pulse context, ledgr_history_matrix() reads the same causal plan as ledgr_history_frame() and manifests only a sessions-by-instruments double matrix. With an existing history frame it is an adapter over that result and reads no data. Both forms return an ordinary matrix with structural ledgr provenance for ledgr_history_info(), ledgr_align_weights() and ledgr_passed_warmup(). Registered arithmetic, replacement or subsetting methods drop that provenance. Base or third-party operations that preserve attributes may preserve it; ledgr does not authenticate transformed values.

Usage

ledgr_history_matrix(
  x,
  feature = NULL,
  bar = NULL,
  lookback,
  instruments = "admissible",
  min_observations = NULL,
  min_instruments = 1L
)

Arguments

x

A pulse context or an existing ledgr_history frame.

feature

One active feature alias or registered feature ID.

bar

One bar field: "open", "high", "low", "close" or "volume". Supply exactly one of feature and bar.

lookback

Required. Inf for all history from the data start, or a non-negative whole number of expected venue sessions ending at the cutoff.

instruments

"admissible", "decision_axis", or a character vector of known instrument IDs.

min_observations

Minimum finite treated values required per instrument. NULL requires the finite lookback, or every returned session for lookback = Inf.

min_instruments

Minimum included instruments required for ledgr_passed_warmup() to return TRUE. It does not filter columns.

Value

A classed double matrix whose rows are expected sessions and whose columns are included instrument IDs.

Articles

Reading causal history: vignette("causal-history", package = "ledgr") system.file("doc", "causal-history.html", package = "ledgr") A long-only minimum-variance strategy: vignette("minimum-variance", package = "ledgr") system.file("doc", "minimum-variance.html", package = "ledgr")

See also

ledgr_history_frame()