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QuantTools (version 0.5.2)

Enhanced Quantitative Trading Modelling

Description

Download and organize historical market data from multiple sources like Yahoo (), Google (), Finam (), MOEX () and IQFeed (). 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.

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Version

Install

install.packages('QuantTools')

Monthly Downloads

107

Version

0.5.2

License

GPL-3

Maintainer

Stanislav Kovalevsky

Last Published

December 8th, 2016

Functions in QuantTools (0.5.2)

c++ Candle class

Exponential Moving Average

c++ Order class

c++ Processor class

RollVolumeProfile

c++ Rolling Volume Profile class

c++ Rolling Range / Quantile class

c++ Rolling Standard Deviation class

RollPercentRank

c++ Rolling Percent Rank class

c++ Indicator Base class

c++ Rolling Linear Regression class

Relative Strength Index

Plot empty plot

distinct_colors

Distinct colors vector

Do calculation on data.table excluding first column

Simple Moving Average

gen_futures_codes

Generate futures contract codes and schedule between dates

get_market_data

Download historical market data

Merge list of data.frames into data.table by key column

lines_stacked_hist

Add stacked histogram to active time series plot

lapply which returns named list

Round numbers to specified interval

Add candles to active time series plot

Plot histogram of data.table by columns

Multi Dimensional Heat Map

Last Observation Carried Forward

Plot data.frame as table with histogram in background

Rolling Standard Deviation

QuantTools settings

roll_volume_profile

Rolling Volume Profile

store_market_data

Store historical market data

Round POSIXct timestamps

Example intraday tick data

calc_decimal_resolution

Calculate decimal resolution

Check if values in vector are between specified range

Combine multiple futures market data into continuous contract

Rolling Linear Regression

c++ Bollinger Bands class

Generic back test function

add_last_values

Add last values marks to the right of active time series plot

Add legend to active time series plot

c++ Trading Commissions class

roll_percent_rank

Rolling Percent Rank

Convert ticks to candles

Convert candles to ticks

Select values in one vector not present in another

Plot time series

Calculate returns