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/>) 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.

Author
Stanislav Kovalevsky
Date of publication
2016-11-13 23:13:27
Maintainer
Stanislav Kovalevsky <so.kovalevsky@gmail.com>
License
GPL-3
Version
0.5.1
URLs

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 names 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/Order.h
QuantTools/inst/include/BackTest/Tick.h
QuantTools/inst/include/BackTest/Cost.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/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/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