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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.
Getting started
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Package details |
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| Author | Andrey 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) |
| Maintainer | Andrey Kostin <andrey.kostin@portfolioeffect.com> |
| License | GPL-3 |
| Version | 1.8 |
| URL | https://www.portfolioeffect.com/ |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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