www.gusucode.com > trading工具箱matlab源码程序 > trading/trading/@krg/portfolioCostCurves.m
function pcc = portfolioCostCurves(k,portfolioData,tradeQuantity,tqRange,tradeStrategy,tsRange)
%PORTFOLIOCOSTCURVES Market impact cost of order execution.
% PCC = PORTFOLIOCOSTCURVES(K,PORTFOLIODATA,TRADEQUANTITY,TQRANGE,TRADESTRATEGY,TSRANGE)
% calculates the market impact cost curves given PORTFOLIODATA, the trade
% quantity TQRANGE, and trade strategy TSRANGE. TRADEQUANTITY can be
% specified as DollarValue or PercentValue. TRADESTRATEGY can be specified
% as POV or TradeTime. The values of TQRANGE and TSRANGE should match
% these inputs. TQRANGE is entered as a range of portfolio values or as
% a range of percentages of portfolio values. TSRANGE is entered as range
% of POV values or as a trade time range. K is the KRG object containing
% the market impact parameters. Note the size of the market impact
% parameters in K, the KRG object, must match the number of symbols in
% the input data. If the input portfolio consists of 10 symbols, there
% must be 10 corresponding values for each market impact parameter.
%
% For example,
%
% PortfolioData =
%
% Symbol Price_Local Price_Currency ADV Volatility Shares
% ______ ___________ ______________ ____________ __________ __________
%
% 'AA' 8.50 8.50 16292000.00 0.22 753123.00
% 'AAPL' 428.85 428.85 19569000.00 0.18 146000.00
% 'ABBV' 46.03 46.03 6199000.00 0.31 -497700.00
% 'ADP' 71.74 71.74 1728000.00 0.15 145300.00
% 'AES' 13.08 13.08 6281000.00 0.25 149600.00
% 'AET' 59.83 59.83 3288000.00 0.23 -293600.00
% 'AIZ' 49.57 49.57 756000.00 0.19 41100.00
%
% pcc = portfolioCostCurves(k,PortfolioData,'dollarValue',(100000000:10000000:200000000),'POV',[(0.35:0.05:0.50)]);
%
% pcc =
%
% Size Shares TradeValue AbsTradeValue POV TradeTime Cost_bp Cost_DollarsPerShare Cost_Dollars
% ____ __________ ____________ _____________ ____ _________ _______ ____________________ ____________
%
% 0.10 4717401.05 100000000.00 288448157.84 0.35 0.18 123.67 0.26 1236651.07
% 0.10 4717401.05 100000000.00 288448157.84 0.40 0.15 135.17 0.29 1351669.20
% 0.10 4717401.05 100000000.00 288448157.84 0.45 0.12 146.21 0.31 1462072.33
% 0.10 4717401.05 100000000.00 288448157.84 0.50 0.10 156.85 0.33 1568531.40
% 0.11 5189141.16 110000000.00 317292973.62 0.35 0.20 127.98 0.27 1407829.62
% 0.11 5189141.16 110000000.00 317292973.62 0.40 0.16 139.89 0.30 1538768.69
% 0.11 5189141.16 110000000.00 317292973.62 0.45 0.13 151.31 0.32 1664453.93
% 0.11 5189141.16 110000000.00 317292973.62 0.50 0.11 162.33 0.34 1785649.18
% 0.12 5660881.26 120000000.00 346137789.40 0.35 0.22 132.06 0.28 1584713.06
% 0.12 5660881.26 120000000.00 346137789.40 0.40 0.18 144.34 0.31 1732103.67
% 0.12 5660881.26 120000000.00 346137789.40 0.45 0.14 156.13 0.33 1873580.34
% ...
%
% References: The Science of Algorithmic Trading
% Optimal Trading Strategy
% Multi-Asset Risk Modeling
%
% See also costCurves, iStar, marketImpact, timingRisk.
% Copyright 2016 The MathWorks, Inc.
% Number of symbols in data
numSymbols = length(portfolioData.Symbol);
% Determine length of trade quantity input and set trade quantity range
% based on trade quantity type input
numTradeQuantity = length(tqRange);
switch lower(tradeQuantity)
case 'dollarvalue'
% Trade quantity range is unchanged
case 'percentvalue'
tqRange = tqRange .* sum(portfolioData.Shares .* portfolioData.Price_Currency);
end
% Calculate stock and portfolio values in USD
stockValue_USD = portfolioData.Shares .* portfolioData.Price_Currency;
portfolioValue_USD = sum(stockValue_USD);
% Determine length of trade strategy input
numStrategy = length(tsRange);
% Preallocate temporary variables
tmpSize = NaN(numTradeQuantity*numStrategy,1);
tmpShares = tmpSize;
tmpTradeDollars = tmpSize;
tmpAbsTradeDollars = tmpSize;
tmpPOV = tmpSize;
tmpTradeTime = tmpSize;
tmpCostBp = tmpSize;
tmpCostDollarsPerShare = tmpSize;
tmpCostDollars = tmpSize;
% Iterate through combinations for trade quantity and trade strategy inputs
for i = 1:numTradeQuantity
for j = 1:numStrategy
% Calculate vector index counter
pccCounter = i*numStrategy - numStrategy + j;
% Iterate through trade quantity
toTradeValue = tqRange(i);
% Calculate size and absolute value traded shares
Size = abs(toTradeValue ./ portfolioValue_USD .* stockValue_USD ./ portfolioData.Price_Currency ./ portfolioData.ADV);
absTradeShares = abs(toTradeValue ./ portfolioValue_USD .* stockValue_USD ./ portfolioData.Price_Currency);
% Iterate through trade strategy, calculate POV and trade time based on
% trade strategy type input
switch lower(tradeStrategy)
case 'pov'
POV = tsRange(j) * ones(numSymbols,1);
TradeTime = krg.pov2tradetime(POV,Size);
case 'tradetime'
TradeTime = tsRange(j) * ones(numSymbols,1);
POV = krg.tradetime2pov(TradeTime,Size);
end
% Calculate stock trade value and weight
stockTradeValue = toTradeValue ./ portfolioValue_USD .* stockValue_USD;
absStockTradeValue = abs(stockTradeValue);
absTradeWeight = absStockTradeValue ./ sum(absStockTradeValue);
% Calculate market impact
calcStruct.POV = POV;
calcStruct.Volatility = portfolioData.Volatility;
calcStruct.Size = Size;
calcStruct.Price = portfolioData.Price_Local;
mi = marketImpact(k,calcStruct);
miUSD = mi/10000 .* absStockTradeValue;
% Create temporary arrays of portfolio cost curve results
tmpSize(pccCounter)=absTradeWeight'*Size;
tmpShares(pccCounter)=sum(absTradeShares);
tmpTradeDollars(pccCounter)=sum(stockTradeValue);
tmpAbsTradeDollars(pccCounter)=sum(absStockTradeValue);
tmpPOV(pccCounter)=absTradeWeight'*POV;
tmpTradeTime(pccCounter)=absTradeWeight'*TradeTime;
tmpCostDollars(pccCounter)=sum(miUSD);
tmpCostDollarsPerShare(pccCounter)=sum(miUSD)/sum(absTradeShares);
tmpCostBp(pccCounter)=sum(miUSD)/toTradeValue*10000;
end
end
% Return table or structure based on input data type
if istable(portfolioData)
pcc = table(tmpSize,tmpShares,tmpTradeDollars,tmpAbsTradeDollars,tmpPOV,tmpTradeTime,tmpCostBp,tmpCostDollarsPerShare,tmpCostDollars,'VariableNames',{'Size','Shares','TradeValue','AbsTradeValue','POV','TradeTime','Cost_bp','Cost_DollarsPerShare','Cost_Dollars'});
else
pcc.Size = tmpSize;
pcc.Shares = tmpShares;
pcc.TradeValue = tmpTradeDollars;
pcc.AbsTradeValue = tmpAbsTradeDollars;
pcc.POV = tmpPOV;
pcc.TradeTime = tmpTradeTime;
pcc.Cost_bp = tmpCostBp;
pcc.Cost_DollarsPerShare = tmpCostDollarsPerShare;
pcc.Cost_Dollars = tmpCostDollars;
end