QuantTools: Enhanced Quantitative Trading Modelling

Download and organize historical market data from multiple sources like Yahoo (<https://finance.yahoo.com>), Google (<https://www.google.com/finance>), Finam (<https://www.finam.ru/profile/moex-akcii/sberbank/export/>), MOEX (<https://www.moex.com/en/derivatives/contracts.aspx>) and IQFeed (<https://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup>). 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.

AuthorStanislav Kovalevsky
Date of publication2016-12-09 21:29:42
MaintainerStanislav Kovalevsky <so.kovalevsky@gmail.com>
LicenseGPL-3
Version0.5.3
https://quanttools.bitbucket.io

View on CRAN

Man pages

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

add_legend: Add legend to active time series plot

back_test: Generic back test function

bbands: Bollinger Bands

bw: Check if values in vector are between specified range

calc_decimal_resolution: Calculate decimal resolution

cpp_BBands: c++ Bollinger Bands class

cpp_Candle: c++ Candle class

cpp_Cost: c++ Trading Commissions class

cpp_Crossover: c++ Crossover class

cpp_Ema: c++ Exponential Moving Average class

cpp_Indicator: c++ Indicator Base class

cpp_Order: c++ Order class

cpp_Processor: c++ Processor class

cpp_RollLinReg: c++ Rolling Linear Regression class

cpp_RollPercentRank: c++ Rolling Percent Rank class

cpp_RollRange: c++ Rolling Range / Quantile class

cpp_RollSd: c++ Rolling Standard Deviation class

cpp_RollVolumeProfile: c++ Rolling Volume Profile class

cpp_Rsi: c++ Relative Strength Index class

cpp_Sma: c++ Simple Moving Average class

cpp_Stochastic: c++ Stochastic class

cpp_Tick: c++ Tick class

crossover: Crossover

distinct_colors: Distinct colors vector

dof: Do calculation on data.table excluding first column

ema: Exponential Moving Average

empty_plot: Plot empty plot

gen_futures_codes: Generate futures contract codes and schedule between dates

get_market_data: Download historical market data

hist_dt: Plot histogram of data.table by columns

iqfeed: IQFeed

iround: Round numbers to specified interval

lapply_named: lapply which returns named list

lines_ohlc: Add candles to active time series plot

lines_stacked_hist: Add stacked histogram to active time series plot

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

multi_heatmap: Multi Dimensional Heat Map

na_locf: Last Observation Carried Forward

plot_table: Plot data.frame as table with histogram in background

plot_ts: Plot time series

returns: Calculate returns

roll_futures: Combine multiple futures market data into continuous contract

roll_lm: Rolling Linear Regression

roll_percent_rank: Rolling Percent Rank

roll_range: Rolling Range

roll_sd: Rolling Standard Deviation

roll_sd_filter: Rolling Filter

roll_volume_profile: Rolling Volume Profile

round_POSIXct: Round POSIXct timestamps

rsi: Relative Strength Index

settings: QuantTools settings

sma: Simple Moving Average

stochastic: Stochastic

store_market_data: Store historical market data

ticks: Example intraday tick data

to_candles: Convert ticks to candles

to_ticks: Convert candles to ticks

wo: Select values in one vector not present in another

Files in this package

QuantTools
QuantTools/inst
QuantTools/inst/include
QuantTools/inst/include/ListBuilder.h
QuantTools/inst/include/BackTest
QuantTools/inst/include/BackTest/Trade.h
QuantTools/inst/include/BackTest/Candle.h
QuantTools/inst/include/BackTest/Processor.h
QuantTools/inst/include/BackTest/Statistics.h
QuantTools/inst/include/BackTest/Order.h
QuantTools/inst/include/BackTest/Tick.h
QuantTools/inst/include/BackTest/Cost.h
QuantTools/inst/include/NPeriods.h
QuantTools/inst/include/Indicators.h
QuantTools/inst/include/Indicators
QuantTools/inst/include/Indicators/RollPercentRank.h
QuantTools/inst/include/Indicators/Crossover.h
QuantTools/inst/include/Indicators/BBands.h
QuantTools/inst/include/Indicators/Rsi.h
QuantTools/inst/include/Indicators/Indicator.h
QuantTools/inst/include/Indicators/RollRange.h
QuantTools/inst/include/Indicators/RollVolumeProfile.h
QuantTools/inst/include/Indicators/Ema.h
QuantTools/inst/include/Indicators/Stochastic.h
QuantTools/inst/include/Indicators/Sma.h
QuantTools/inst/include/Indicators/RollSd.h
QuantTools/inst/include/Indicators/RollLinReg.h
QuantTools/inst/include/setDT.h
QuantTools/inst/include/CppToR.h
QuantTools/inst/include/BackTest.h
QuantTools/src
QuantTools/src/run_tests.cpp
QuantTools/src/roll_range.cpp
QuantTools/src/na_locf.cpp
QuantTools/src/to_candles.cpp
QuantTools/src/roll_sd.cpp
QuantTools/src/crossover.cpp
QuantTools/src/roll_volume_profile.cpp
QuantTools/src/roll_sd_filter.cpp
QuantTools/src/roll_percent_rank.cpp
QuantTools/src/stochastic.cpp
QuantTools/src/back_test.cpp
QuantTools/src/sma.cpp
QuantTools/src/roll_lm.cpp
QuantTools/src/RcppExports.cpp
QuantTools/src/rsi.cpp
QuantTools/src/ema.cpp
QuantTools/src/bbands.cpp
QuantTools/NAMESPACE
QuantTools/NEWS.md
QuantTools/data
QuantTools/data/ticks.RData
QuantTools/data/datalist
QuantTools/R
QuantTools/R/lapply_named.R QuantTools/R/doc_Stochastic.R QuantTools/R/lines_stacked_hist.R QuantTools/R/dof.R QuantTools/R/iqfeed.R QuantTools/R/gen_futures_codes.R QuantTools/R/onLoad.R QuantTools/R/doc_Processor.R QuantTools/R/multi_heatmap.R QuantTools/R/doc_Cost.R QuantTools/R/doc_RollSd.R QuantTools/R/iround.R QuantTools/R/add_legend.R QuantTools/R/doc_RollVolumeProfile.R QuantTools/R/returns.R QuantTools/R/doc_Tick.R QuantTools/R/doc_RollPercentRank.R QuantTools/R/doc_Ema.R QuantTools/R/data_ticks.R QuantTools/R/onUnload.R QuantTools/R/doc_RollLinReg.R QuantTools/R/lines_ohlc.R QuantTools/R/doc_Crossover.R QuantTools/R/round_POSIXct.R QuantTools/R/doc_Sma.R QuantTools/R/store_market_data.R QuantTools/R/get_market_data.R QuantTools/R/doc_Candle.R QuantTools/R/empty_plot.R QuantTools/R/settings.R QuantTools/R/RcppExports.R QuantTools/R/roll_futures.R QuantTools/R/add_last_values.R QuantTools/R/hist_dt.R QuantTools/R/plot_ts.R QuantTools/R/doc.R QuantTools/R/plot_table.R QuantTools/R/to_ticks.R QuantTools/R/doc_RollRange.R QuantTools/R/doc_Indicator.R QuantTools/R/distinct_colors.R QuantTools/R/doc_BBands.R QuantTools/R/doc_Order.R QuantTools/R/lmerge.R QuantTools/R/calc_decimal_resolution.R QuantTools/R/doc_Rsi.R QuantTools/R/bw.R QuantTools/R/wo.R
QuantTools/MD5
QuantTools/DESCRIPTION
QuantTools/man
QuantTools/man/wo.Rd QuantTools/man/lapply_named.Rd QuantTools/man/cpp_Stochastic.Rd QuantTools/man/ema.Rd QuantTools/man/to_ticks.Rd QuantTools/man/iqfeed.Rd QuantTools/man/lmerge.Rd QuantTools/man/to_candles.Rd QuantTools/man/roll_percent_rank.Rd QuantTools/man/gen_futures_codes.Rd QuantTools/man/cpp_RollVolumeProfile.Rd QuantTools/man/plot_table.Rd QuantTools/man/bw.Rd QuantTools/man/cpp_Rsi.Rd QuantTools/man/cpp_BBands.Rd QuantTools/man/cpp_Indicator.Rd QuantTools/man/cpp_Candle.Rd QuantTools/man/cpp_Processor.Rd QuantTools/man/stochastic.Rd QuantTools/man/roll_lm.Rd QuantTools/man/lines_ohlc.Rd QuantTools/man/iround.Rd QuantTools/man/dof.Rd QuantTools/man/plot_ts.Rd QuantTools/man/roll_volume_profile.Rd QuantTools/man/cpp_RollRange.Rd QuantTools/man/distinct_colors.Rd QuantTools/man/cpp_Crossover.Rd QuantTools/man/cpp_Sma.Rd QuantTools/man/multi_heatmap.Rd QuantTools/man/cpp_RollLinReg.Rd QuantTools/man/get_market_data.Rd QuantTools/man/roll_sd.Rd QuantTools/man/cpp_Cost.Rd QuantTools/man/calc_decimal_resolution.Rd QuantTools/man/back_test.Rd QuantTools/man/add_legend.Rd QuantTools/man/sma.Rd QuantTools/man/round_POSIXct.Rd QuantTools/man/cpp_Order.Rd QuantTools/man/roll_futures.Rd QuantTools/man/store_market_data.Rd QuantTools/man/cpp_Ema.Rd QuantTools/man/cpp_Tick.Rd QuantTools/man/hist_dt.Rd QuantTools/man/settings.Rd QuantTools/man/rsi.Rd QuantTools/man/returns.Rd QuantTools/man/na_locf.Rd QuantTools/man/roll_sd_filter.Rd QuantTools/man/empty_plot.Rd QuantTools/man/crossover.Rd QuantTools/man/add_last_values.Rd QuantTools/man/roll_range.Rd QuantTools/man/cpp_RollSd.Rd QuantTools/man/cpp_RollPercentRank.Rd QuantTools/man/bbands.Rd QuantTools/man/ticks.Rd QuantTools/man/lines_stacked_hist.Rd

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

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

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