PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

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 <https://www.portfolioeffect.com/> for more information on the PortfolioEffect high frequency portfolio analytics platform.

Install the latest version of this package by entering the following in R:
install.packages("PortfolioEffectHFT")
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
https://www.portfolioeffect.com/

View on CRAN

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

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
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
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_apply Man page
forecast_builder Man page
forecast-class Man page
forecast_input Man page
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
goog.data Man page
hurst_exponent Man page
hurst_exponent,portfolio-method Man page
hurst_exponent,position-method Man page
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
-,metric,metric-method Man page
/,metric,metric-method Man page
*,metric,metric-method Man page
+,metric,metric-method Man page
-,metric,numeric-method Man page
/,metric,numeric-method Man page
*,metric,numeric-method Man page
+,metric,numeric-method 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
optimization_constraint Man page
optimization_forecast Man page
optimization_goal Man page
optimization_info Man page
optimization_run Man page
optimizer-class Man page
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
portfolio_availableSymbols Man page
portfolio-class Man page
portfolio_create Man page
portfolio_create,portfolio,missing,missing,missing-method Man page
portfolio_defaultSettings Man page
portfolio_getPosition Man page
portfolio_getSettings Man page
portfolioPlot-class Man page
+,portfolioPlot,portfolioPlot-method Man page
portfolio_settings Man page
position_add Man page
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-class Man page
position_list Man page
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
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
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_cleanCredentials Man page
util_colorScheme Man page
util_dateToPOSIXTime Man page
util_fillScheme Man page
util_getComputeTime Man page
util_ggplot Man page
util_line2d Man page
util_multiplot Man page
util_plot2d Man page
util_plot2df Man page
util_plotDensity Man page
util_plotTheme Man page
util_POSIXTimeToDate Man page
util_setCredentials Man page
value Man page
value_at_risk Man page
value_at_risk,portfolio-method Man page
value_at_risk,position-method Man page
value,portfolio-method Man page
value,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

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

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

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