Enhanced Quantitative Trading Modelling

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.


News

  • round_POSIXct days units support added.
  • IQFeed local storage 1min to day period support added.
  • Processor mark to market caclulation fixed. Draw down calculation changed to difference between maximum market value and current market value.
  • Added MOEX futures and options trades data support. Use store_moex_data to initialize local storage with moex_storage, moex_data_url, moex_storage_from settings. Use get_moex_futures_data, get_moex_continuous_futures_data, get_moex_options_data to get data from storage.
  • Processor.GetSummary() method now returns sharpe, sortino, r_squared, avg_dd.
  • GetOnCandleMarketValueHistory(), GetOnCandleDrawDownHistory(), GetOnDayClosePerformanceHistory() methods added to Processor.
  • Processor now operates in the same time zone as input ticks. Ticks tzone attribute must be specified.
  • to_ticks function added. As it is easier to get one minute bars than ticks for time span of several years to_ticks provides 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.
  • IQFeed documentation updated and some hidden functionality added.
    • QuantTools:::.get_iqfeed_markets_info() retrieves markets info.
    • QuantTools:::.get_iqfeed_trade_conditions_info() retrieves trade conditions info.
  • get_finam_data fixed.
  • round_POSIXct changed to generic version.
  • Initial Release.

Reference manual

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install.packages("QuantTools")

0.5.4 by Stanislav Kovalevsky, a month ago


https://quanttools.bitbucket.io


Report a bug at https://bitbucket.org/quanttools/quanttools/issues


Browse source code at https://github.com/cran/QuantTools


Authors: Stanislav Kovalevsky


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-3 license


Imports methods, fasttime, RCurl, readxl, Rcpp

Depends on data.table

Linking to Rcpp

System requirements: C++11


See at CRAN