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QuantTools (version 0.5.3)

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

0.5.3

License

GPL-3

Maintainer

Stanislav Kovalevsky

Last Published

December 9th, 2016

Functions in QuantTools (0.5.3)

Crossover

Crossover
Cost

c++ Trading Commissions class
back_test

Generic back test function
bw

Check if values in vector are between specified range
add_legend

Add legend to active time series plot
BBands

c++ Bollinger Bands class
add_last_values

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

c++ Candle class
calc_decimal_resolution

Calculate decimal resolution
Rsi

Relative Strength Index
RollVolumeProfile

c++ Rolling Volume Profile class
RollSd

c++ Rolling Standard Deviation class
Ema

Exponential Moving Average
RollLinReg

c++ Rolling Linear Regression class
Indicator

c++ Indicator Base class
RollPercentRank

c++ Rolling Percent Rank class
Order

c++ Order class
RollRange

c++ Rolling Range / Quantile class
Processor

c++ Processor class
Tick

c++ Tick class
distinct_colors

Distinct colors vector
dof

Do calculation on data.table excluding first column
Sma

Simple Moving Average
Stochastic

Stochastic
get_market_data

Download historical market data
gen_futures_codes

Generate futures contract codes and schedule between dates
empty_plot

Plot empty plot
plot_table

Plot data.frame as table with histogram in background
multi_heatmap

Multi Dimensional Heat Map
lines_ohlc

Add candles to active time series plot
lines_stacked_hist

Add stacked histogram to active time series plot
na_locf

Last Observation Carried Forward
lapply_named

lapply which returns named list
iqfeed

IQFeed
lmerge

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

Rolling Filter
roll_sd

Rolling Standard Deviation
iround

Round numbers to specified interval
roll_futures

Combine multiple futures market data into continuous contract
hist_dt

Plot histogram of data.table by columns
roll_volume_profile

Rolling Volume Profile
plot_ts

Plot time series
returns

Calculate returns
roll_percent_rank

Rolling Percent Rank
roll_range

Rolling Range
round_POSIXct

Round POSIXct timestamps
roll_lm

Rolling Linear Regression
store_market_data

Store historical market data
ticks

Example intraday tick data
settings

QuantTools settings
to_ticks

Convert candles to ticks
to_candles

Convert ticks to candles
wo

Select values in one vector not present in another