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

v0.5.6:

  • Processor multiple options support added. You can set execution type, price step and act on time intervals. See help ?Processor for details.
    • use intervals to set intervals and onIntervalOpen() and onIntervalClose() to act on interval open and close.
    • use price_step to automatically round order price to this value before placing orders.
    • use execution_type to choose between bbo and trade (default) execution types.
  • Processor mtm and mtm_rel mark to market values added to trades and updated on every tick.
  • Processor Bollinger Bands Market Maker example added. See examples in ?Processor.
  • Order GetExecutionTime(), GetProcessedTime(), GetState() methods added.
  • multi_heatmap unsorted input values support added.
  • get_finam_data local storage error fixed.
  • get_iqfeed_data irrelevant warnings fixed.
  • bw closed interval fixed for Dates.
  • plot_dts single value plotting fixed.
  • back_test side fixed.

v0.5.5:

  • na_locf became smarter. Added support for data.table, data.frame and non numeric vector.
  • dof function updated and dofc added. Apply function to data.table excluding first column ( e.g. if first column is date or time ) column-wise or to the rest columns as to single data.table.
  • bw functionality updated. Now / can be used instead of c( from, to ). See ?bw for examples.
  • plot_dts chainable plot_ts successor added. A little buggy but much more configurable than plot_ts. See examples in ?Processor.
  • Processor.GetCandle() method added to retrieve current candle.
  • Processor.AllowLimitToHitMarket() method added to allow limit orders to be executed as market if placed at price worse than current market price.
  • Processor onMarketClose event now executed before onMarketOpen.
  • Processor Bollinger Bands example added and SMA Crossover example updated.
  • get_yahoo_data and get_finam_data fixed.

v0.5.4:

  • Processor multiple options support added. You can set trading hours, latency, portfolio value stop loss and stop draw down, trading start time.
    • use SetTradingHours( double start, double end ) method to set trading hours and onMarketOpen(), onMarketClose() events to act on trading hours start and end. Use IsTradingHoursSet() method to check if trading hours are set.
    • use SetLatency( double x ), SetLatencySend( double x ), SetLatencyReceive( double x ) to set latency.
    • use SetStop( Rcpp::List stop ) to set stop on portfolio negative market value and/or on portfolio draw down thresholds. StopTrading() method can be used to stop trading. Use CanTrade() to check if trading stopped.
    • use SetStartTradingTime( double t ) method to prevent order placing until time t.
    • use SetOptions( Rcpp::List options ) to set any of above options using single list. ?Processor 'Options' section for details.
  • Processor trade cost and R Squared calculation fixed.
  • GetOnDayClosePerformanceHistory() also returns average trade P&L ( avg_pnl ) and number of trades ( n_per_day ) per date. return first value set to pnl.
  • to_UTC function added to convert time zone to 'UTC' without changing time value.
  • bw function now selects time with 1e-6 precision and selects all if interval set to NULL
  • multi_heatmap user axes support added.
  • plot_table completely rewritten. See help for details.
  • IQFeed hidden functionality added.
    • QuantTools:::.get_iqfeed_security_types_info()
    • QuantTools:::.get_iqfeed_symbol_info( symbol, type_ids )
  • get_iqfeed_data current date check omited.
  • to_ticks minimum volume set to 1.
  • ListBuilder completely rewritten due to random errors and crashes. Should be used only with Rcpp::List class. AsDataTable() and AsDataFrame() methods should be used to tell R that created list is data.table and data.frame correspondingly.
  • IntToDate return type set to Rcpp::IntegerVector.
  • Alarm C++ class added.

v0.5.3:

  • 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.

v0.5.1:

  • 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.

v0.5.0:

  • Initial Release.

Reference manual

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install.packages("QuantTools")

0.5.7 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, R6

Depends on data.table

Linking to Rcpp

System requirements: C++11


See at CRAN