PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect
Version 1.8

R interface to PortfolioEffect cloud service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory). Constructed portfolios could use client-side market data or access HF intraday price history for all major US Equities. See for more information on the PortfolioEffect high frequency portfolio analytics platform.

AuthorAndrey Kostin [aut, cre], Aleksey Zemnitskiy [aut], Oleg Nechaev [aut], Craig Otis and others [ctb, cph] (OpenFAST library), Daniel Lemire, Muraoka Taro and others [ctb, cph] (JavaFastPFOR library), Joe Walnes, Jorg Schaible and others [ctb, cph] (XStream library), Dain Sundstrom [ctb, cph] (Snappy library), Extreme! Lab, Indiana University [ctb, cph] (XPP3 library), The Apache Software Foundation [ctb, cph] (Apache Log4j and Commons Lang libraries), Google, Inc. [ctb, cph] (GSON library), Free Software Foundation [ctb, cph] (GNU Trove and GNU Crypto libraries)
Date of publication2017-03-24 19:54:25 UTC
MaintainerAndrey Kostin <andrey.kostin@portfolioeffect.com>
LicenseGPL-3
Version1.8
URL https://www.portfolioeffect.com/
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("PortfolioEffectHFT")

Popular man pages

compute: Compute Metrics
dist_density: Probability Density Function of Portfolio Returns
fractal_dimension: Fractal Dimension
optimization_goal: Porfolio Optimization - Set Optimization Goal
rachev_ratio: Rachev Ratio
sortino_ratio: Sortina Ratio
starr_ratio: STARR Ratio
See all...

All man pages Function index File listing

Man pages

aapl.data: Sample Price Data
alpha_exante: Alpha
alpha_jensens: Jensen's Alpha
beta: Beta
calmar_ratio: Calmar Ratio
compute: Compute Metrics
correlation: Correlation
covariance: Covariance
create_metric: Create metric class
cumulant: N-th Cumulant
dist_density: Probability Density Function of Portfolio Returns
down_capture_ratio: Down Capture Ratio
down_number_ratio: Down Number Ratio
down_percentage_ratio: Down Percentage Ratio
downside_variance: Downside Variance
expected_downside_return: Expected Downside Return
expected_return: Expected Return
expected_shortfall: Expected Shortfall
expected_upside_return: Expected Upside Return
forecast_apply: Forecast Apply
forecast_builder: Forecast builder
forecast-class: Class '"forecast"'
forecast_input: Forecast Input
fractal_dimension: Fractal Dimension
gain_loss_variance_ratio: Gain Loss Variance Ratio
gain_variance: Gain Variance
hurst_exponent: Hurst Exponent
information_ratio: Information Ratio
kurtosis: Kurtosis
log_return: Returns
loss_variance: Loss Variance
max_drawdown: Max Drawdown
metric-class: Class '"metric"'
mod_sharpe_ratio: Modified Sharpe Ratio
moment: N-th Order Central Moment
omega_ratio: Omega Ratio
optimization_constraint: Portfolio Optimization Constraint
optimization_forecast: Porfolio Optimization - Set Optimization Forecast
optimization_goal: Porfolio Optimization - Set Optimization Goal
optimization_info: Porfolio Optimization - Print Optimization Details
optimization_run: Portfolio Optimization - Runs Optimization Algorithm
optimizer-class: Class '"optimizer"'
portfolio_availableSymbols: Get All Symbol List
portfolio-class: Class '"portfolio"'
portfolio_create: Creates new portfolio
portfolio_defaultSettings: Portfolio Default Settings
portfolio_getPosition: Get position from portfolio
portfolio_getSettings: Get Portfolio Settings
portfolioPlot-class: Class '"portfolioPlot"'
portfolio_settings: Portfolio Settings
position_add: Add position in portfolio
position-class: Class '"position"'
position_list: Portfolio Symbols
position_remove: Remove position from portfolio
price: Price
profit: Profit
quantity: Quantity
rachev_ratio: Rachev Ratio
return_autocovariance: Return Autocovariance
return_jump_size: Return Jump Size
set_quantity: Set Position Quantity
sharpe_ratio: Sharpe Ratio
skewness: Skewness
sortino_ratio: Sortina Ratio
starr_ratio: STARR Ratio
treynor_ratio: Treynor Ratio
txn_costs: Transactional Costs
up_capture_ratio: Up Capture Ratio
up_number_ratio: Up Number Ratio
up_percentage_ratio: Up Percentage Ratio
upside_downside_variance_ratio: Upside/Downside Variance Ratio
upside_variance: Upside Variance
util_cleanCredentials: Clean API Credentials
util_colorScheme: Color scheme for charts
util_dateToPOSIXTime: Date To POSIX Time
util_fillScheme: Fill scheme for charts
util_getComputeTime: Remaining compute time
util_ggplot: Converter of portfolioPlot to ggplot2
util_line2d: Adds line chart to existing plot
util_multiplot: Multiple ggplot2 charts on one page
util_plot2d: Line plot of portfolio metric (for a time series)
util_plot2df: Line plot of portfolio metric (for a dataframe)
util_plotDensity: Line plot of probability density
util_plotTheme: Plot style settings for PortfolioEffect theme
util_POSIXTimeToDate: POSIX Time To Date
util_setCredentials: Set API Credentials
value: Value
value_at_risk: Value-at-Risk
variance: Variance
weight: Weight
weight_transform: Weight Transform

Functions

*,metric,metric-method Man page
*,metric,numeric-method Man page
+,metric,metric-method Man page
+,metric,numeric-method Man page
+,portfolioPlot,portfolioPlot-method Man page
-,metric,metric-method Man page
-,metric,numeric-method Man page
/,metric,metric-method Man page
/,metric,numeric-method Man page
aapl.data Man page
alpha_exante Man page
alpha_exante,portfolio-method Man page
alpha_exante,position-method Man page
alpha_jensens Man page
alpha_jensens,portfolio-method Man page
alpha_jensens,position-method Man page
beta Man page
beta,portfolio-method Man page
beta,position-method Man page
calmar_ratio Man page
calmar_ratio,portfolio-method Man page
calmar_ratio,position-method Man page
compute Man page Source code
correlation Man page
correlation,portfolio,missing-method Man page
correlation,position,position-method Man page
covariance Man page
covariance,portfolio,missing-method Man page
covariance,position,position-method Man page
create_metric Man page Source code
create_metric,matrix,character-method Man page
create_metric,xts,character-method Man page
cumulant Man page
cumulant,portfolio-method Man page
cumulant,position-method Man page
dist_density Man page
dist_density,portfolio-method Man page
dist_density,position-method Man page
down_capture_ratio Man page
down_capture_ratio,portfolio-method Man page
down_capture_ratio,position-method Man page
down_number_ratio Man page
down_number_ratio,portfolio-method Man page
down_number_ratio,position-method Man page
down_percentage_ratio Man page
down_percentage_ratio,portfolio-method Man page
down_percentage_ratio,position-method Man page
downside_variance Man page
downside_variance,portfolio-method Man page
downside_variance,position-method Man page
expected_downside_return Man page
expected_downside_return,portfolio-method Man page
expected_downside_return,position-method Man page
expected_return Man page
expected_return,portfolio-method Man page
expected_return,position-method Man page
expected_shortfall Man page
expected_shortfall,portfolio-method Man page
expected_shortfall,position-method Man page
expected_upside_return Man page
expected_upside_return,portfolio-method Man page
expected_upside_return,position-method Man page
forecast-class Man page
forecast_apply Man page Source code
forecast_builder Man page Source code
forecast_input Man page Source code
fractal_dimension Man page
fractal_dimension,portfolio-method Man page
fractal_dimension,position-method Man page
gain_loss_variance_ratio Man page
gain_loss_variance_ratio,portfolio-method Man page
gain_loss_variance_ratio,position-method Man page
gain_variance Man page
gain_variance,portfolio-method Man page
gain_variance,position-method Man page
getErrorMessage Source code
getErrorStatus Source code
getResult Source code
getResultValuesDouble2DArray Source code
getResultValuesDoubleArray Source code
getResultValuesDoubleArrayWithTime Source code
getResultValuesLong Source code
getResultValuesPortfolio Source code
getTimeMilliSec Source code
goog.data Man page
hurst_exponent Man page
hurst_exponent,portfolio-method Man page
hurst_exponent,position-method Man page
infoMessage Source code
information_ratio Man page
information_ratio,portfolio-method Man page
information_ratio,position-method Man page
kurtosis Man page
kurtosis,portfolio-method Man page
kurtosis,position-method Man page
log_return Man page
log_return,portfolio-method Man page
log_return,position-method Man page
loss_variance Man page
loss_variance,portfolio-method Man page
loss_variance,position-method Man page
max_drawdown Man page
max_drawdown,portfolio-method Man page
max_drawdown,position-method Man page
metric-class Man page
mod_sharpe_ratio Man page
mod_sharpe_ratio,portfolio-method Man page
mod_sharpe_ratio,position-method Man page
moment Man page
moment,portfolio-method Man page
moment,position-method Man page
omega_ratio Man page
omega_ratio,portfolio-method Man page
omega_ratio,position-method Man page
onLoad Source code
optimization_constraint Man page Source code
optimization_forecast Man page Source code
optimization_goal Man page Source code
optimization_info Man page Source code
optimization_run Man page Source code
optimizer-class Man page
per_for Source code
plot,metric,ANY-method Man page
plot,metric,missing-method Man page
plot,portfolio,ANY-method Man page
plot,portfolio,missing-method Man page
plot,portfolioPlot,missing-method Man page
plot,position,ANY-method Man page
plot,position,missing-method Man page
plotPlot2d Source code
plotPlot2df Source code
portfolio-class Man page
portfolioPlot-class Man page
portfolio_availableSymbols Man page Source code
portfolio_create Man page Source code
portfolio_create,portfolio,missing,missing,missing-method Man page
portfolio_defaultSettings Man page Source code
portfolio_getPosition Man page Source code
portfolio_getSettings Man page Source code
portfolio_pal Source code
portfolio_settings Man page Source code
portfolio_settingsRiskMetrics Source code
position-class Man page
position_add Man page Source code
position_add,portfolio,character,ANY,ANY,matrix-method Man page
position_add,portfolio,character,ANY,ANY,missing-method Man page
position_add,portfolio,character,ANY,missing,matrix-method Man page
position_add,portfolio,character,ANY,missing,missing-method Man page
position_list Man page Source code
position_metric Source code
position_remove Man page
position_remove,portfolio,character-method Man page
position_remove,position,missing-method Man page
price Man page
price,position-method Man page
printStatus Source code
profit Man page
profit,portfolio-method Man page
profit,position-method Man page
quantity Man page
quantity,position-method Man page
rachev_ratio Man page
rachev_ratio,portfolio-method Man page
rachev_ratio,position-method Man page
return_autocovariance Man page
return_autocovariance,position-method Man page
return_jump_size Man page
return_jump_size,position-method Man page
set_quantity Man page
set_quantity,position,integer-method Man page
set_quantity,position,numeric-method Man page
sharpe_ratio Man page
sharpe_ratio,portfolio-method Man page
sharpe_ratio,position-method Man page
show,metric-method Man page
show,portfolio-method Man page
show,portfolioPlot-method Man page
show,position-method Man page
skewness Man page
skewness,portfolio-method Man page
skewness,position-method Man page
sortino_ratio Man page
sortino_ratio,portfolio-method Man page
sortino_ratio,position-method Man page
spy.data Man page
starr_ratio Man page
starr_ratio,portfolio-method Man page
starr_ratio,position-method Man page
stopMessage Source code
toJSONpe Source code
treynor_ratio Man page
treynor_ratio,portfolio-method Man page
treynor_ratio,position-method Man page
txn_costs Man page
txn_costs,portfolio-method Man page
txn_costs,position-method Man page
up_capture_ratio Man page
up_capture_ratio,portfolio-method Man page
up_capture_ratio,position-method Man page
up_number_ratio Man page
up_number_ratio,portfolio-method Man page
up_number_ratio,position-method Man page
up_percentage_ratio Man page
up_percentage_ratio,portfolio-method Man page
up_percentage_ratio,position-method Man page
upside_downside_variance_ratio Man page
upside_downside_variance_ratio,portfolio-method Man page
upside_downside_variance_ratio,position-method Man page
upside_variance Man page
upside_variance,portfolio-method Man page
upside_variance,position-method Man page
util_POSIXTimeToDate Man page Source code
util_checkErrors Source code
util_cleanCredentials Man page Source code
util_colorScheme Man page Source code
util_dateToPOSIXTime Man page Source code
util_fillScheme Man page Source code
util_getComputeTime Man page Source code
util_ggplot Man page Source code
util_line2d Man page Source code
util_metricPlot Source code
util_multiplot Man page Source code
util_parseFormula Source code
util_plot2d Man page Source code
util_plot2df Man page Source code
util_plotDensity Man page Source code
util_plotTheme Man page Source code
util_screenshot Source code
util_setCredentials Man page Source code
util_summary Source code
util_summaryPlot Source code
util_summaryPosition Source code
util_validate Source code
value Man page
value,portfolio-method Man page
value,position-method Man page
value_at_risk Man page
value_at_risk,portfolio-method Man page
value_at_risk,position-method Man page
variance Man page
variance,portfolio-method Man page
variance,position-method Man page
weight Man page
weight,portfolio-method Man page
weight,position-method Man page
weight_transform Man page Source code

Files

inst
inst/java
inst/java/gson-2.2.4.jar
inst/java/trove4j-3.0.3.jar
inst/java/gnu-crypto-2.0.1.jar
inst/java/log4j-1.2.16.jar
inst/java/snappy-0.3.jar
inst/java/xpp3_min-1.1.4c.jar
inst/java/openfast-1.2.0.jar
inst/java/commons-lang-2.4.jar
inst/java/xstream-1.3.jar
inst/java/JavaFastPFOR-0.1.1.jar
inst/java/portfolioeffect-quant-client-1.0.jar
inst/COPYRIGHTS
inst/doc
inst/doc/PortfolioEffectHFT.pdf
inst/doc/PortfolioEffectHFT.Rnw
tests
tests/testthat.R
tests/testthat
tests/testthat/test-util.r
tests/testthat/test-time.r
tests/testthat/test-metric.r
NAMESPACE
demo
demo/portfolio_metrics_demo.R
demo/txnCosts_demo.R
demo/lf_hf_strategy_demo.R
demo/00Index
demo/portfolio_optimization_demo.R
demo/efficient_frontier_demo.R
demo/holding_period_risks_demo.R
demo/alpha_decay_demo.R
NEWS
data
data/goog.data.RData
data/aapl.data.RData
data/spy.data.RData
R
R/onLoad.R
R/plot.R
R/portfolio.R
R/metric.R
R/optimization.R
R/forecast.R
R/message.R
R/util.R
R/position.R
vignettes
vignettes/PortfolioEffectHFT.Rnw
MD5
java
java/README
build
build/vignette.rds
DESCRIPTION
man
man/util_dateToPOSIXTime.Rd
man/gain_variance.Rd
man/down_percentage_ratio.Rd
man/portfolio_defaultSettings.Rd
man/value.Rd
man/optimization_goal.Rd
man/optimization_forecast.Rd
man/upside_variance.Rd
man/value_at_risk.Rd
man/dist_density.Rd
man/treynor_ratio.Rd
man/calmar_ratio.Rd
man/omega_ratio.Rd
man/portfolioPlot-class.Rd
man/weight.Rd
man/mod_sharpe_ratio.Rd
man/util_plot2df.Rd
man/variance.Rd
man/portfolio_settings.Rd
man/util_plotDensity.Rd
man/alpha_jensens.Rd
man/skewness.Rd
man/upside_downside_variance_ratio.Rd
man/util_ggplot.Rd
man/position_remove.Rd
man/portfolio_availableSymbols.Rd
man/correlation.Rd
man/position-class.Rd
man/optimization_constraint.Rd
man/util_fillScheme.Rd
man/up_percentage_ratio.Rd
man/position_list.Rd
man/util_plotTheme.Rd
man/util_plot2d.Rd
man/expected_upside_return.Rd
man/forecast_input.Rd
man/downside_variance.Rd
man/weight_transform.Rd
man/util_cleanCredentials.Rd
man/log_return.Rd
man/forecast_apply.Rd
man/up_number_ratio.Rd
man/util_setCredentials.Rd
man/profit.Rd
man/expected_shortfall.Rd
man/portfolio_getSettings.Rd
man/moment.Rd
man/compute.Rd
man/quantity.Rd
man/kurtosis.Rd
man/metric-class.Rd
man/loss_variance.Rd
man/covariance.Rd
man/starr_ratio.Rd
man/sharpe_ratio.Rd
man/down_capture_ratio.Rd
man/aapl.data.Rd
man/sortino_ratio.Rd
man/gain_loss_variance_ratio.Rd
man/return_jump_size.Rd
man/util_POSIXTimeToDate.Rd
man/portfolio-class.Rd
man/fractal_dimension.Rd
man/create_metric.Rd
man/optimization_run.Rd
man/util_colorScheme.Rd
man/txn_costs.Rd
man/price.Rd
man/portfolio_getPosition.Rd
man/beta.Rd
man/optimizer-class.Rd
man/cumulant.Rd
man/forecast-class.Rd
man/rachev_ratio.Rd
man/max_drawdown.Rd
man/down_number_ratio.Rd
man/forecast_builder.Rd
man/optimization_info.Rd
man/up_capture_ratio.Rd
man/position_add.Rd
man/set_quantity.Rd
man/expected_downside_return.Rd
man/return_autocovariance.Rd
man/util_multiplot.Rd
man/portfolio_create.Rd
man/information_ratio.Rd
man/hurst_exponent.Rd
man/alpha_exante.Rd
man/util_line2d.Rd
man/expected_return.Rd
man/util_getComputeTime.Rd
PortfolioEffectHFT documentation built on May 20, 2017, 12:56 a.m.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.