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 publication2017-02-26 00:21:24
MaintainerStanislav Kovalevsky <so.kovalevsky@gmail.com>
LicenseGPL-3
Version0.5.4
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 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_table: Plot data.table as table

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

to_UTC: Convert time zone to 'UTC' without changing value

wo: Select values in one vector not present in another

Functions

add_last_values Man page
add_legend Man page
back_test Man page
bbands Man page
BBands Man page
bw Man page
bw Man page
\%bw\% Man page
calc_decimal_resolution Man page
Candle Man page
ceiling_POSIXct Man page
Cost Man page
crossover Man page
Crossover Man page
distinct_colors Man page
dof Man page
\%dof\% Man page
ema Man page
Ema Man page
empty_plot Man page
gen_futures_codes Man page
get_finam_data Man page
get_google_data Man page
get_iqfeed_data Man page
get_market_data Man page
get_moex_continuous_futures_data Man page
get_moex_futures_data Man page
get_moex_options_data Man page
get_yahoo_data Man page
get_yahoo_splits_and_dividends Man page
hist_dt Man page
Indicator Man page
iqfeed Man page
iround Man page
lapply_named Man page
lines_ohlc Man page
lines_stacked_hist Man page
lmerge Man page
multi_heatmap Man page
na_locf Man page
Order Man page
plot_table Man page
plot_ts Man page
plot_ts Man page
Processor Man page
QuantTools_settings Man page
QuantTools_settings_defaults Man page
returns Man page
roll_correlation Man page
roll_futures Man page
RollLinReg Man page
roll_lm Man page
roll_max Man page
roll_min Man page
roll_percent_rank Man page
RollPercentRank Man page
roll_quantile Man page
roll_range Man page
RollRange Man page
roll_sd Man page
RollSd Man page
roll_sd_filter Man page
roll_volume_profile Man page
RollVolumeProfile Man page
round_POSIXct Man page
rsi Man page
Rsi Man page
settings Man page
sma Man page
Sma Man page
stochastic Man page
Stochastic Man page
store_finam_data Man page
store_iqfeed_data Man page
store_market_data Man page
store_moex_data Man page
Tick Man page
ticks Man page
to_candles Man page
to_ticks Man page
to_UTC Man page
trunc_POSIXct Man page
t_to_x Man page
wo Man page
\%w/o\% Man page

Files

QuantTools
QuantTools/inst
QuantTools/inst/examples
QuantTools/inst/examples/sma_crossover.cpp
QuantTools/inst/examples/sma_crossover.R
QuantTools/inst/include
QuantTools/inst/include/ListBuilder.h
QuantTools/inst/include/Alarm.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/init.c
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/to_UTC.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/to_UTC.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

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