Download and organize historical market data from multiple sources like Yahoo (< https://finance.yahoo.com>), Google (< https://www.google.com/finance>), Finam (< https://www.finam.ru/profile/moex-akcii/sberbank/export/>), MOEX (< https://www.moex.com/en/derivatives/contracts.aspx>) and IQFeed (< https://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup>). Code your trading algorithms in modern C++11 with powerful event driven tick processing API including trading costs and exchange communication latency and transform detailed data seamlessly into R. In just few lines of code you will be able to visualize every step of your trading model from tick data to multi dimensional heat maps.
daysunits support added.
dayperiod support added.
Processormark to market caclulation fixed. Draw down calculation changed to difference between maximum market value and current market value.
store_moex_datato initialize local storage with
get_moex_options_datato get data from storage.
Processor.GetSummary()method now returns
GetOnDayClosePerformanceHistory()methods added to
Processornow operates in the same time zone as input ticks. Ticks
tzoneattribute must be specified.
to_ticksfunction added. As it is easier to get one minute bars than ticks for time span of several years
to_ticksprovides convinient way to convert these bars to ticks. Note that back test results on approximated ticks will be less realistic but may be acceptable for some strategies.
QuantTools:::.get_iqfeed_markets_info()retrieves markets info.
QuantTools:::.get_iqfeed_trade_conditions_info()retrieves trade conditions info.
round_POSIXctchanged to generic version.