Nothing
Processor
allow_exact_stop
option added.ProcessorMulti
class added for backtesting single strategy on multiple symbols.Order
stop and trail types added.Alarm.GetTime()
method added.Crossover
initial pair value set to NAN
.get_finam_data
local storage fixed.get_iqfeed_data
retries to download if no message received.get_iqfeed_data
from
and to
timestamp support added.get_yahoo_data
dividend adjustment added and yahoo's split bug workaround added.roll_lm
x
and y
inconsistency with lm
fixed.bw
to
is included for Date
s.plot_dts
segments support added.ListBuilder
possible protection stack imbalance fixed.Processor
multiple options support added. You can set execution type, price step and act on time intervals. See help ?Processor
for details.intervals
to set intervals and onIntervalOpen()
and onIntervalClose()
to act on interval open and close. price_step
to automatically round order price to this value before placing orders. execution_type
to choose between bbo
and trade
(default) execution types.Processor
mtm
and mtm_rel
mark to market values added to trades and updated on every tick.Processor
Bollinger Bands Market Maker example added. See examples in ?Processor
.Order
GetExecutionTime()
, GetProcessedTime()
, GetState()
methods added.multi_heatmap
unsorted input values support added.get_finam_data
local storage error fixed.get_iqfeed_data
irrelevant warnings fixed.bw
closed interval fixed for Date
s.plot_dts
single value plotting fixed.back_test
side
fixed.na_locf
became smarter. Added support for data.table
, data.frame
and non numeric vector
.dof
function updated and dofc
added. Apply function to data.table
excluding first column ( e.g. if first column is date or time ) column-wise or to the rest columns as to single data.table
.bw
functionality updated. Now /
can be used instead of c( from, to )
. See ?bw
for examples.plot_dts
chainable plot_ts
successor added. A little buggy but much more configurable than plot_ts
. See examples in ?Processor
.Processor.GetCandle()
method added to retrieve current candle.Processor.AllowLimitToHitMarket()
method added to allow limit orders to be executed as market if placed at price worse than current market price.Processor
onMarketClose
event now executed before onMarketOpen
.Processor
Bollinger Bands example added and SMA Crossover example updated.get_yahoo_data
and get_finam_data
fixed.Processor
multiple options support added. You can set trading hours, latency, portfolio value stop loss and stop draw down, trading start time.SetTradingHours( double start, double end )
method to set trading hours and onMarketOpen()
, onMarketClose()
events to act on trading hours start
and end
. Use IsTradingHoursSet()
method to check if trading hours are set.SetLatency( double x )
, SetLatencySend( double x )
, SetLatencyReceive( double x )
to set latency.SetStop( Rcpp::List stop )
to set stop on portfolio negative market value and/or on portfolio draw down thresholds. StopTrading()
method can be used to stop trading. Use CanTrade()
to check if trading stopped. SetStartTradingTime( double t )
method to prevent order placing until time t
.SetOptions( Rcpp::List options )
to set any of above options using single list. ?Processor
'Options' section for details.Processor
trade cost and R Squared calculation fixed.GetOnDayClosePerformanceHistory()
also returns average trade P&L ( avg_pnl
) and number of trades ( n_per_day
) per date. return
first value set to pnl
.to_UTC
function added to convert time zone to 'UTC' without changing time value.bw
function now selects time with 1e-6
precision and selects all if interval set to NULL
multi_heatmap
user axes support added.plot_table
completely rewritten. See help for details.QuantTools:::.get_iqfeed_security_types_info()
QuantTools:::.get_iqfeed_symbol_info( symbol, type_ids )
get_iqfeed_data
current date check omited.to_ticks
minimum volume set to 1.ListBuilder
completely rewritten due to random errors and crashes. Should be used only with Rcpp::List
class. AsDataTable()
and AsDataFrame()
methods should be used to tell R that created list is data.table
and data.frame
correspondingly.IntToDate
return type set to Rcpp::IntegerVector
.Alarm
C++ class added.round_POSIXct
days
units support added.1min
to day
period support added.Processor
mark to market caclulation fixed. Draw down calculation changed to difference between maximum market value and current market value.store_moex_data
to initialize local storage with moex_storage
, moex_data_url
, moex_storage_from
settings. Use get_moex_futures_data
, get_moex_continuous_futures_data
, get_moex_options_data
to get data from storage.Processor.GetSummary()
method now returns sharpe
, sortino
, r_squared
, avg_dd
.GetOnCandleMarketValueHistory()
, GetOnCandleDrawDownHistory()
, GetOnDayClosePerformanceHistory()
methods added to Processor
.Processor
now operates in the same time zone as input ticks. Ticks tzone
attribute must be specified.to_ticks
function added. As it is easier to get one minute bars than ticks for time span of several years to_ticks
provides convinient way to convert these bars to ticks. Note that back test results on approximated ticks will be less realistic but may be acceptable for some strategies.QuantTools:::.get_iqfeed_markets_info()
retrieves markets info.QuantTools:::.get_iqfeed_trade_conditions_info()
retrieves trade conditions info.get_finam_data
fixed.round_POSIXct
changed to generic version.Any scripts or data that you put into this service are public.
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