QuantTools: Enhanced Quantitative Trading Modelling
Version 0.5.5

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.

Browse man pages Browse package API and functions Browse package files

AuthorStanislav Kovalevsky
Date of publication2017-05-19 21:31:57 UTC
MaintainerStanislav Kovalevsky <so.kovalevsky@gmail.com>
LicenseGPL-3
Version0.5.5
URL https://quanttools.bitbucket.io
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("QuantTools")

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 are between specified interval
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_dts: Plot data.table time series
plot_table: Plot data.table as table
plot_ts: Plot time series !PLEASE USE plot_dts!
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
to_UTC: Convert time zone to 'UTC' without changing value
wo: Select values in one vector not present in another

Functions

BBands Man page
Candle Man page
Cost Man page
Crossover Man page
Ema Man page
Indicator Man page
Order Man page
Processor Man page
QuantTools_settings Man page Source code
QuantTools_settings_defaults Man page Source code
RollLinReg Man page
RollPercentRank Man page
RollRange Man page
RollSd Man page
RollVolumeProfile Man page
Rsi Man page
Sma Man page
Stochastic Man page
Tick Man page
\%bw\% Man page
\%dof\% Man page
\%dofc\% Man page
\%w/o\% Man page
add_last_values Man page Source code
add_legend Man page Source code
back_test Man page Source code
bbands Man page Source code
bw Man page Man page Source code
calc_decimal_resolution Man page Source code
ceiling_POSIXct Man page Source code
crossover Man page Source code
distinct_colors Man page
dof Man page Source code
dofc Man page Source code
ema Man page Source code
empty_plot Man page Source code
extract_date_parts Source code
gen_futures_codes Man page Source code
get_finam_data Man page Source code
get_google_data Man page Source code
get_iqfeed Source code
get_iqfeed_candles Source code
get_iqfeed_daily_candles Source code
get_iqfeed_data Man page Source code
get_iqfeed_markets_info Source code
get_iqfeed_recent_daily_candles Source code
get_iqfeed_security_types_info Source code
get_iqfeed_symbol_info Source code
get_iqfeed_ticks Source code
get_iqfeed_trade_conditions_info Source code
get_local_data Source code
get_market_data Man page
get_moex_continuous_futures_data Man page Source code
get_moex_data Source code
get_moex_futures_data Man page Source code
get_moex_options_data Man page Source code
get_yahoo_curl Source code
get_yahoo_data Man page Source code Source code
get_yahoo_splits_and_dividends Man page Source code
hist_dt Man page Source code
iqfeed Man page
iround Man page Source code
lapply_named Man page Source code
lines_ohlc Man page Source code
lines_stacked_hist Man page Source code
lmerge Man page Source code
match_between Source code
multi_heatmap Man page Source code
na_locf Man page Source code
na_locf_list Source code
na_locf_nonnumeric Source code
na_locf_numeric Source code
na_locf_vector Source code
onLoad Source code
onUnload Source code
plot.PlotTs Source code
plot_dts Man page Source code
plot_table Man page Source code
plot_table_old Source code
plot_ts Man page Man page Source code
plot_ts_basis Source code
plot_ts_frame Source code
returns Man page Source code
roll_correlation Man page Source code
roll_futures Man page Source code
roll_lm Man page Source code
roll_max Man page Source code
roll_min Man page Source code
roll_percent_rank Man page Source code
roll_quantile Man page Source code
roll_range Man page Source code
roll_sd Man page Source code
roll_sd_filter Man page Source code
roll_volume_profile Man page Source code
round_POSIXct Man page Source code
rsi Man page Source code
run_tests Source code
settings Man page
sma Man page Source code
stochastic Man page Source code
store_finam_data Man page Source code
store_iqfeed_data Man page Source code
store_iqfeed_data_mins Source code
store_iqfeed_data_ticks Source code
store_market_data Man page
store_moex_data Man page Source code
t_to_x Man page Source code
text_time_to_seconds Source code
text_to_time_interval Source code
ticks Man page
to_UTC Man page Source code
to_candles Man page Source code
to_ticks Man page Source code
trunc_POSIXct Man page Source code
wo Man page
x_to_t Source code

Files

inst
inst/examples
inst/examples/sma_crossover.cpp
inst/examples/bbands.R
inst/examples/bbands.cpp
inst/examples/sma_crossover.R
inst/include
inst/include/ListBuilder.h
inst/include/Alarm.h
inst/include/BackTest
inst/include/BackTest/Trade.h
inst/include/BackTest/Candle.h
inst/include/BackTest/Processor.h
inst/include/BackTest/Statistics.h
inst/include/BackTest/Order.h
inst/include/BackTest/Tick.h
inst/include/BackTest/Cost.h
inst/include/NPeriods.h
inst/include/Indicators.h
inst/include/Indicators
inst/include/Indicators/RollPercentRank.h
inst/include/Indicators/Crossover.h
inst/include/Indicators/BBands.h
inst/include/Indicators/Rsi.h
inst/include/Indicators/Indicator.h
inst/include/Indicators/RollRange.h
inst/include/Indicators/RollVolumeProfile.h
inst/include/Indicators/Ema.h
inst/include/Indicators/Stochastic.h
inst/include/Indicators/Sma.h
inst/include/Indicators/RollSd.h
inst/include/Indicators/RollLinReg.h
inst/include/setDT.h
inst/include/CppToR.h
inst/include/BackTest.h
src
src/run_tests.cpp
src/roll_range.cpp
src/na_locf_numeric.cpp
src/to_candles.cpp
src/roll_sd.cpp
src/crossover.cpp
src/roll_volume_profile.cpp
src/roll_sd_filter.cpp
src/roll_percent_rank.cpp
src/stochastic.cpp
src/back_test.cpp
src/sma.cpp
src/roll_lm.cpp
src/init.c
src/RcppExports.cpp
src/rsi.cpp
src/ema.cpp
src/bbands.cpp
NAMESPACE
NEWS.md
data
data/ticks.RData
data/datalist
R
R/lapply_named.R
R/doc_Stochastic.R
R/lines_stacked_hist.R
R/dof.R
R/iqfeed.R
R/gen_futures_codes.R
R/to_UTC.R
R/onLoad.R
R/doc_Processor.R
R/multi_heatmap.R
R/na_locf.R
R/doc_Cost.R
R/doc_RollSd.R
R/plot_dts.R
R/iround.R
R/add_legend.R
R/doc_RollVolumeProfile.R
R/returns.R
R/doc_Tick.R
R/doc_RollPercentRank.R
R/doc_Ema.R
R/data_ticks.R
R/onUnload.R
R/doc_RollLinReg.R
R/lines_ohlc.R
R/doc_Crossover.R
R/round_POSIXct.R
R/doc_Sma.R
R/store_market_data.R
R/get_market_data.R
R/doc_Candle.R
R/empty_plot.R
R/settings.R
R/RcppExports.R
R/roll_futures.R
R/add_last_values.R
R/hist_dt.R
R/plot_ts.R
R/doc.R
R/plot_table.R
R/to_ticks.R
R/doc_RollRange.R
R/doc_Indicator.R
R/distinct_colors.R
R/doc_BBands.R
R/doc_Order.R
R/lmerge.R
R/calc_decimal_resolution.R
R/doc_Rsi.R
R/bw.R
R/wo.R
README.md
MD5
DESCRIPTION
man
man/wo.Rd
man/lapply_named.Rd
man/cpp_Stochastic.Rd
man/ema.Rd
man/to_ticks.Rd
man/iqfeed.Rd
man/lmerge.Rd
man/to_candles.Rd
man/roll_percent_rank.Rd
man/gen_futures_codes.Rd
man/cpp_RollVolumeProfile.Rd
man/plot_table.Rd
man/bw.Rd
man/cpp_Rsi.Rd
man/cpp_BBands.Rd
man/cpp_Indicator.Rd
man/cpp_Candle.Rd
man/cpp_Processor.Rd
man/stochastic.Rd
man/roll_lm.Rd
man/lines_ohlc.Rd
man/iround.Rd
man/dof.Rd
man/plot_ts.Rd
man/roll_volume_profile.Rd
man/cpp_RollRange.Rd
man/distinct_colors.Rd
man/cpp_Crossover.Rd
man/cpp_Sma.Rd
man/multi_heatmap.Rd
man/cpp_RollLinReg.Rd
man/get_market_data.Rd
man/roll_sd.Rd
man/cpp_Cost.Rd
man/calc_decimal_resolution.Rd
man/back_test.Rd
man/add_legend.Rd
man/sma.Rd
man/round_POSIXct.Rd
man/cpp_Order.Rd
man/roll_futures.Rd
man/store_market_data.Rd
man/cpp_Ema.Rd
man/plot_dts.Rd
man/cpp_Tick.Rd
man/hist_dt.Rd
man/to_UTC.Rd
man/settings.Rd
man/rsi.Rd
man/returns.Rd
man/na_locf.Rd
man/roll_sd_filter.Rd
man/empty_plot.Rd
man/crossover.Rd
man/add_last_values.Rd
man/roll_range.Rd
man/cpp_RollSd.Rd
man/cpp_RollPercentRank.Rd
man/bbands.Rd
man/ticks.Rd
man/lines_stacked_hist.Rd
QuantTools documentation built on May 23, 2017, 9:09 a.m.