cpp_Processor: C++ Processor class
In QuantTools: Enhanced Quantitative Trading Modelling
Description
Arguments
Usage
Public Members and Methods
Execution Model
Ticks
Candles
Orders
Trades
Summary
Daily Performance
Options
See Also
Examples
Description
C++ class documentation
Arguments
timeFrame
candle timeframe in seconds
latencySend, latencyReceive
latency in seconds
Usage
Processor( int timeFrame, double latencySend, double latencyReceive )
Public Members and Methods
Name Return Type Description
onCandle( Candle candle ) std::function called on new candle event
onTick( Tick tick ) std::function called on new tick event
onMarketOpen() std::function called on trading hours start
onMarketClose() std::function called on trading hours end
onIntervalOpen() std::function called on intervals start
onIntervalClose() std::function called on intervals end
Feed( Tick tick ) void process by individual tick
Feed( Rcpp::DataFrame ticks ) void batch process, see 'Ticks' section
SendOrder( Order* order ) void send order to exchange
SetCost( Cost cost ) void set trading costs
SetCost( Rcpp::List cost ) void see 'cost' in 'Options' section
SetStop( Rcpp::List stop ) void see 'stop' in 'Options' section
SetStartTradingTime( double t ) void see 'trade_start' in 'Options' section
SetLatencyReceive( double x ) void see 'latency_receive' in 'Options' section
SetLatencySend( double x ) void see 'latency_send' in 'Options' section
SetLatency( double x ) void see 'latency' in 'Options' section
SetTradingHours( double start, double end )
void see 'trading_hours' in 'Options' section
SetPriceStep( double priceStep ) void see 'price_step' in 'Options' section
SetExecutionType( ExecutionType executionType )
void see 'execution_type' in 'Options' section
SetExecutionType( std::string executionType )
void see 'execution_type' in 'Options' section
SetIntervals( std::vector<double> starts, std::vector<double> ends )
void see 'intervals' in 'Options' section
AllowLimitToHitMarket() void see 'allow_limit_to_hit_market' in 'Options' section
AllowExactStop() void see 'allow_exact_stop' in 'Options' section
SetOptions( Rcpp::List options ) void see 'Options' section
StopTrading() void if called trading stop triggered. See 'stop' in 'Options' section
CanTrade() bool check if trading not stopped
IsTradingHoursSet() bool check if trading hours set
CancelOrders() void cancel active orders
GetCandle() Candle get current candle
GetPosition() int total executed position, positive means long, negative means short
GetPositionPlanned() int total number of orders processing ( not executed or cancelled yet )
GetMarketValue() double total portfolio percent value ( initial value is 0 )
GetCandles() Rcpp::List candles history, see 'Candles' section
GetOrders() Rcpp::List orders history, see 'Orders' section
GetTrades() Rcpp::List trades history, see 'Trades' section
GetSummary() Rcpp::List trades summary, see 'Summary' section
GetOnCandleMarketValueHistory() std::vector<double> vector of portfolio value history recalculated on candle complete
GetOnCandleDrawDownHistory() std::vector<double> vector of portfolio drawdown history recalculated on candle complete
GetOnDayClosePerformanceHistory() Rcpp::List daily performance history, see 'Daily Performance' section
Reset() void resets to initial state
Execution Model
System sends new order and after latencySend seconds it reaches exchange.
System receives confirmation of order placement latencyReceive seconds later.
When execution conditions met on exchange - order is executed and system receives
execution confirmation latencyReceive seconds later.
When system sends cancel request to exchange and after latencySend seconds
when exchange receives cancel request if order is not executed yet it is cancelled and
cancellation confirmation is received by system after latencyReceive seconds.
Two execution types supported trade(default) and bbo.
trade type processes orders using tick prices and bbo processes orders using preceding tick bid and ask values.
Market orders in bbo mode executed at worst price: at bid for sells and at ask for buys, in trade mode at current tick price.
Buy limit orders executed when ask goes under order price and sell orders executed when bid goes above order price.
In case limit order is placed in the market it is executed as market order if allow_limit_to_hit_market set to TRUE (default is FALSE).
Ticks
Ticks must be a data.frame/data.table with at least the following columns:
Name Description
time time
price price
volume volume
tick id is ticks row number.
Candles
Candles returned as data.table with the following columns:
Name Description
time time when formed
open first tick price
high maximum tick price
low minimum tick price
close last tick price
volume total volume traded
id tick id when formed ( first tick after time formed )
Orders
Orders returned as data.table with the following columns:
Name Description
id_trade trade id
id_sent tick id when order was sent to exchange
id_processed tick id when enter order execution or cancelled confirmation was received ( first tick after time_processed )
time_sent time when order was sent to exchange
time_processed time when order execution or cancelled confirmation was received
price_init initial price
price_exec execution price
side buy/sell
type limit/market/stop/trail
state new/registered/executed/cancelling/cancelled
comment comment
Trades
Two orders are combined into trade by trade id. The first and the second orders are called enter and exit respectively.
Trade side is long if enter order is buy and short if enter order is sell.
Orders must be buy and sell only. Two buys or two sells not allowed. Trade can be
-
new when order to open trade is just placed
-
opened when trade is not closed yet
-
closed when trade is flat.
Trades returned as data.table with the following columns:
Name Description
id_trade trade id
id_sent tick id when enter order was sent to exchange
id_enter tick id when enter order execution confirmation was received ( first tick after enter time_executed )
id_exit tick id when exit order execution confirmation was received ( first tick after exit time_executed )
time_sent time when enter order sent to exchange
time_enter time when enter order execution confirmation was received
time_exit time when exit order execution confirmation was received
side side long/short
price_enter enter order execution price
price_exit exit order execution price
pnl trade pnl net
mtm mark-to-market
mtm_min min mark-to-market
mtm_max max mark-to-market
cost absolute trading cost
pnl_rel trade pnl net in basis points
mtm_rel mark-to-market in basis points
mtm_min_rel min mark-to-market in basis points
mtm_max_rel max mark-to-market in basis points
cost_rel relative trading cost in basis points
state new/opened/closed
Summary
Back test summary statistics:
Name Description
from first tick time
to last tick time
days_tested number of trading days tested
days_traded number of trading days traded ( at least one order was executed )
n_per_day number of trades per day
n number of trades
n_long number of long trades
n_short number of short trades
n_win number of winning trades
n_loss number of loosing trades
pct_win percent of winning trades
pct_loss percent of loosing trades
avg_win average winning trade in basis points
avg_loss average loosing trade in basis points
avg_pnl average trade pnl in basis points
win total won in percent
loss total lost in percent
pnl total pnl in percent
max_dd maximum drawdown in percent
max_dd_start time the maximum drawdown started
max_dd_end time the maximum drawdown recovered
max_dd_length number of calendar days in the maximum drawdown period
sharpe annualized Sharpe ratio calulated on daily returns
sortino annualized Sortino ratio calulated on daily returns
r_squared R Squared calulated on daily PnL values
avg_dd average drawdown calulated on daily drawdown history
Daily Performance
Back test daily performance history:
Name Description
date date
return return
pnl cumulative pnl
drawdown drawdown
n_per_day number of closed trades
avg_pnl average trade pnl
Options
List of following elements. All options are optional.
- cost
-
list or data.table with items identical to Cost C++ class.
E.g. if set to data.table( tradeAbs = -0.01, shortRel = -0.05 / 360 ) means you pay -$0.01 per executed
order and -5% p.a. overnight short.
- stop
-
list or data.table with at least one item:
- drawdown
-
Trading stops when drawdown exceeds set value. E.g. if set to -0.02 then when drawdown exceeds 2% trading stops.
- loss
-
Trading stops when market value (P&L) is lower set value. E.g. if set to -0.05 then when market value (P&L) is lower than -5% trading stops.
If stop rule triggered no orders sent to exchange and opened trades closed by market orders.
- trade_start
-
POSIXct timestamp. All orders ignored until specified time. Useful to 'warm-up' strategy.
- latency_send, latency_receive, latency
-
numeric value. Latency can be set by send/receive or overall. 'latency' sets send and receive latency as x / 2. See 'Execution Model' section.
- trading_hours
-
numeric vector of length two. Sets trading hours start and end according to formula:
hours + minutes / 60 + seconds / 3600.
If set onMarketOpen, onMarketClose events are executed at corresponding times.
E.g. if set to c( 10.25, 17.5 ) means onMarketOpen event called every day at '10:15' and onMarketClose event called every day at '17:30'.
For convenience IsTradingHoursSet() method can be used to check wether trading hours are set.
- allow_limit_to_hit_market
-
if TRUE, limit order execution price set to market price if executed on same tick as registered.
- allow_exact_stop
-
if TRUE, stop order executed at set price.
- price_step
-
if positive, limit order init price rounded to price_step down for buy orders and up for sell orders before placement.
if negative, limit order init price rounded to price_step up for buy orders and down for sell orders before placement.
- execution_type
-
trade or bbo.
- intervals
-
sorted multi row data.table with POSIXct timestamps columns start, end. Represents time intervals. At time start onIntervalOpen called and at time end onIntervalClose called.
See Also
Other backtesting classes: Candle,
Cost, Indicator,
Order, Tick
Other C++ classes: BBands,
Candle, Cost,
Crossover, Ema,
Indicator, Order,
RollLinReg, RollPercentRank,
RollRange, RollSd,
RollVolumeProfile, Rsi,
Sma, Stochastic,
Tick
Examples
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######################################
## Simple Moving Averages Crossover ##
######################################
# load tick data
data( 'ticks' )
# define strategy
strategy_source = system.file( package = 'QuantTools', 'examples/sma_crossover.cpp' )
# compile strategy
Rcpp::sourceCpp( strategy_source )
# set strategy parameters
parameters = data.table(
period_fast = 50,
period_slow = 30,
timeframe = 60
)
# set options, see 'Options' section
options = list(
cost = list( tradeAbs = -0.01 ),
latency = 0.1 # 100 milliseconds
)
# run test
test_summary = sma_crossover( ticks, parameters, options, fast = TRUE )
print( test_summary )
# run test
test = sma_crossover( ticks, parameters, options, fast = FALSE )
# plot result
indicators = plot_dts(
test$indicators,
test$orders[ side == 'buy' , .( time_processed, buy = price_exec ) ],
test$orders[ side == 'sell', .( time_processed, sell = price_exec ) ] )$
lines( c( 'sma_fast', 'sma_slow' ) )$
lines( c( 'buy', 'sell' ), type = 'p', pch = c( 24, 25 ), col = c( 'blue', 'red' ) )
performance = plot_dts( test$indicators[, .( time, pnl = pnl * 100, drawdown = drawdown * 100 ) ] )$
lines( c( 'pnl', 'drawdown' ), c( '% pnl', '% drawdown' ), col = c( 'darkolivegreen', 'darkred' ) )
interval = '2016-01-19 12/13'
par( mfrow = c( 2, 1 ), oma = c( 5, 4, 2, 4 ) + 0.1, mar = c( 0, 0, 0, 0 ) )
indicators $limits( tlim = interval )$style( time = list( visible = FALSE ) )
performance$limits( tlim = interval )
title( 'Simple Moving Averages Crossover', outer = TRUE )
par( mfrow = c( 1, 1 ), oma = c( 0, 0, 0, 0 ), mar = c( 5, 4, 4, 2 ) + 0.1 )
#####################
## Bollinger Bands ##
#####################
# load tick data
data( 'ticks' )
# define strategy
strategy_source = system.file( package = 'QuantTools', 'examples/bbands.cpp' )
# compile strategy
Rcpp::sourceCpp( strategy_source )
# set strategy parameters
parameters = data.table(
n = 100,
k = 0.5,
timeframe = 60
)
# set options, see 'Options' section
options = list(
cost = list( tradeAbs = -0.01 ),
latency = 0.1 # 100 milliseconds
)
# run test
test_summary = bbands( ticks, parameters, options, fast = TRUE )
print( test_summary )
# run test
test = bbands( ticks, parameters, options, fast = FALSE )
# plot result
indicators = plot_dts(
test$indicators,
test$orders[ side == 'buy' , .( time_processed, buy = price_exec ) ],
test$orders[ side == 'sell', .( time_processed, sell = price_exec ) ] )$
lines( c( 'lower', 'sma', 'upper' ) )$
lines( c( 'buy', 'sell' ), type = 'p', pch = c( 24, 25 ), col = c( 'blue', 'red' ) )
performance = plot_dts( test$indicators[, .( time, pnl = pnl * 100, drawdown = drawdown * 100 ) ] )$
lines( c( 'pnl', 'drawdown' ), c( '% pnl', '% drawdown' ), col = c( 'darkolivegreen', 'darkred' ) )
interval = '2016-01-19 12/13'
par( mfrow = c( 2, 1 ), oma = c( 5, 4, 2, 4 ) + 0.1, mar = c( 0, 0, 0, 0 ) )
indicators $limits( tlim = interval )$style( time = list( visible = FALSE ) )
performance$limits( tlim = interval )
title( 'Bollinger Bands', outer = TRUE )
par( mfrow = c( 1, 1 ), oma = c( 0, 0, 0, 0 ), mar = c( 5, 4, 4, 2 ) + 0.1 )
##################################
## Bollinger Bands Market Maker ##
##################################
# load tick data
data( 'ticks' )
# define strategy
strategy_source = system.file( package = 'QuantTools', 'examples/bbands_market_maker.cpp' )
# compile strategy
Rcpp::sourceCpp( strategy_source )
# set strategy parameters
parameters = data.table(
n = 100,
k = 0.5,
timeframe = 60
)
# set options, see 'Options' section
options = list(
cost = list( tradeAbs = -0.01 ),
latency = 0.1, # 100 milliseconds
allow_limit_to_hit_market = TRUE
)
# run test
test_summary = bbands_market_maker( ticks, parameters, options, fast = TRUE )
print( test_summary )
# run test
test = bbands_market_maker( ticks, parameters, options, fast = FALSE )
# plot result
indicators = plot_dts(
test$indicators,
test$orders[ side == 'buy' , .( time_processed, buy = price_exec ) ],
test$orders[ side == 'sell', .( time_processed, sell = price_exec ) ] )$
lines( c( 'lower', 'sma', 'upper' ) )$
lines( c( 'buy', 'sell' ), type = 'p', pch = c( 24, 25 ), col = c( 'blue', 'red' ) )
performance = plot_dts( test$indicators[, .( time, pnl = pnl * 100, drawdown = drawdown * 100 ) ] )$
lines( c( 'pnl', 'drawdown' ), c( '% pnl', '% drawdown' ), col = c( 'darkolivegreen', 'darkred' ) )
interval = '2016-01-19 12/13'
par( mfrow = c( 2, 1 ), oma = c( 5, 4, 2, 4 ) + 0.1, mar = c( 0, 0, 0, 0 ) )
indicators $limits( tlim = interval )$style( time = list( visible = FALSE ) )
performance$limits( tlim = interval )
title( 'Bollinger Bands On Limit Orders', outer = TRUE )
par( mfrow = c( 1, 1 ), oma = c( 0, 0, 0, 0 ), mar = c( 5, 4, 4, 2 ) + 0.1 )
QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.
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Description Arguments Usage Public Members and Methods Execution Model Ticks Candles Orders Trades Summary Daily Performance Options See Also Examples
Description
C++ class documentation
Arguments
timeFrame |
candle timeframe in seconds |
latencySend, latencyReceive |
latency in seconds |
Usage
Processor( int timeFrame, double latencySend, double latencyReceive )
Public Members and Methods
| Name | Return Type | Description |
onCandle( Candle candle ) | std::function | called on new candle event |
onTick( Tick tick ) | std::function | called on new tick event |
onMarketOpen() | std::function | called on trading hours start |
onMarketClose() | std::function | called on trading hours end |
onIntervalOpen() | std::function | called on intervals start |
onIntervalClose() | std::function | called on intervals end |
Feed( Tick tick ) | void | process by individual tick |
Feed( Rcpp::DataFrame ticks ) | void | batch process, see 'Ticks' section |
SendOrder( Order* order ) | void | send order to exchange |
SetCost( Cost cost ) | void | set trading costs |
SetCost( Rcpp::List cost ) | void | see 'cost' in 'Options' section |
SetStop( Rcpp::List stop ) | void | see 'stop' in 'Options' section |
SetStartTradingTime( double t ) | void | see 'trade_start' in 'Options' section |
SetLatencyReceive( double x ) | void | see 'latency_receive' in 'Options' section |
SetLatencySend( double x ) | void | see 'latency_send' in 'Options' section |
SetLatency( double x ) | void | see 'latency' in 'Options' section |
SetTradingHours( double start, double end )
| void | see 'trading_hours' in 'Options' section |
SetPriceStep( double priceStep ) | void | see 'price_step' in 'Options' section |
SetExecutionType( ExecutionType executionType )
| void | see 'execution_type' in 'Options' section |
SetExecutionType( std::string executionType )
| void | see 'execution_type' in 'Options' section |
SetIntervals( std::vector<double> starts, std::vector<double> ends )
| void | see 'intervals' in 'Options' section |
AllowLimitToHitMarket() | void | see 'allow_limit_to_hit_market' in 'Options' section |
AllowExactStop() | void | see 'allow_exact_stop' in 'Options' section |
SetOptions( Rcpp::List options ) | void | see 'Options' section |
StopTrading() | void | if called trading stop triggered. See 'stop' in 'Options' section |
CanTrade() | bool | check if trading not stopped |
IsTradingHoursSet() | bool | check if trading hours set |
CancelOrders() | void | cancel active orders |
GetCandle() | Candle | get current candle |
GetPosition() | int | total executed position, positive means long, negative means short |
GetPositionPlanned() | int | total number of orders processing ( not executed or cancelled yet ) |
GetMarketValue() | double | total portfolio percent value ( initial value is 0 ) |
GetCandles() | Rcpp::List | candles history, see 'Candles' section |
GetOrders() | Rcpp::List | orders history, see 'Orders' section |
GetTrades() | Rcpp::List | trades history, see 'Trades' section |
GetSummary() | Rcpp::List | trades summary, see 'Summary' section |
GetOnCandleMarketValueHistory() | std::vector<double> | vector of portfolio value history recalculated on candle complete |
GetOnCandleDrawDownHistory() | std::vector<double> | vector of portfolio drawdown history recalculated on candle complete |
GetOnDayClosePerformanceHistory() | Rcpp::List | daily performance history, see 'Daily Performance' section |
Reset() | void | resets to initial state |
Execution Model
System sends new order and after latencySend seconds it reaches exchange.
System receives confirmation of order placement latencyReceive seconds later.
When execution conditions met on exchange - order is executed and system receives
execution confirmation latencyReceive seconds later.
When system sends cancel request to exchange and after latencySend seconds
when exchange receives cancel request if order is not executed yet it is cancelled and
cancellation confirmation is received by system after latencyReceive seconds.
Two execution types supported trade(default) and bbo.
trade type processes orders using tick prices and bbo processes orders using preceding tick bid and ask values.
Market orders in bbo mode executed at worst price: at bid for sells and at ask for buys, in trade mode at current tick price.
Buy limit orders executed when ask goes under order price and sell orders executed when bid goes above order price.
In case limit order is placed in the market it is executed as market order if allow_limit_to_hit_market set to TRUE (default is FALSE).
Ticks
Ticks must be a data.frame/data.table with at least the following columns:
| Name | Description |
| time | time |
| price | price |
| volume | volume |
tick id is ticks row number.
Candles
Candles returned as data.table with the following columns:
| Name | Description |
| time | time when formed |
| open | first tick price |
| high | maximum tick price |
| low | minimum tick price |
| close | last tick price |
| volume | total volume traded |
| id | tick id when formed ( first tick after time formed ) |
Orders
Orders returned as data.table with the following columns:
| Name | Description |
| id_trade | trade id |
| id_sent | tick id when order was sent to exchange |
| id_processed | tick id when enter order execution or cancelled confirmation was received ( first tick after time_processed ) |
| time_sent | time when order was sent to exchange |
| time_processed | time when order execution or cancelled confirmation was received |
| price_init | initial price |
| price_exec | execution price |
| side | buy/sell |
| type | limit/market/stop/trail |
| state | new/registered/executed/cancelling/cancelled |
| comment | comment |
Trades
Two orders are combined into trade by trade id. The first and the second orders are called enter and exit respectively.
Trade side is long if enter order is buy and short if enter order is sell.
Orders must be buy and sell only. Two buys or two sells not allowed. Trade can be
-
newwhen order to open trade is just placed -
openedwhen trade is not closed yet -
closedwhen trade is flat.
Trades returned as data.table with the following columns:
| Name | Description |
| id_trade | trade id |
| id_sent | tick id when enter order was sent to exchange |
| id_enter | tick id when enter order execution confirmation was received ( first tick after enter time_executed ) |
| id_exit | tick id when exit order execution confirmation was received ( first tick after exit time_executed ) |
| time_sent | time when enter order sent to exchange |
| time_enter | time when enter order execution confirmation was received |
| time_exit | time when exit order execution confirmation was received |
| side | side long/short |
| price_enter | enter order execution price |
| price_exit | exit order execution price |
| pnl | trade pnl net |
| mtm | mark-to-market |
| mtm_min | min mark-to-market |
| mtm_max | max mark-to-market |
| cost | absolute trading cost |
| pnl_rel | trade pnl net in basis points |
| mtm_rel | mark-to-market in basis points |
| mtm_min_rel | min mark-to-market in basis points |
| mtm_max_rel | max mark-to-market in basis points |
| cost_rel | relative trading cost in basis points |
| state | new/opened/closed
|
Summary
Back test summary statistics:
| Name | Description |
| from | first tick time |
| to | last tick time |
| days_tested | number of trading days tested |
| days_traded | number of trading days traded ( at least one order was executed ) |
| n_per_day | number of trades per day |
| n | number of trades |
| n_long | number of long trades |
| n_short | number of short trades |
| n_win | number of winning trades |
| n_loss | number of loosing trades |
| pct_win | percent of winning trades |
| pct_loss | percent of loosing trades |
| avg_win | average winning trade in basis points |
| avg_loss | average loosing trade in basis points |
| avg_pnl | average trade pnl in basis points |
| win | total won in percent |
| loss | total lost in percent |
| pnl | total pnl in percent |
| max_dd | maximum drawdown in percent |
| max_dd_start | time the maximum drawdown started |
| max_dd_end | time the maximum drawdown recovered |
| max_dd_length | number of calendar days in the maximum drawdown period |
| sharpe | annualized Sharpe ratio calulated on daily returns |
| sortino | annualized Sortino ratio calulated on daily returns |
| r_squared | R Squared calulated on daily PnL values |
| avg_dd | average drawdown calulated on daily drawdown history |
Daily Performance
Back test daily performance history:
| Name | Description |
| date | date |
| return | return |
| pnl | cumulative pnl |
| drawdown | drawdown |
| n_per_day | number of closed trades |
| avg_pnl | average trade pnl |
Options
List of following elements. All options are optional.
- cost
-
list or data.table with items identical to Cost C++ class.
E.g. if set todata.table( tradeAbs = -0.01, shortRel = -0.05 / 360 )means you pay -$0.01 per executed order and -5% p.a. overnight short. - stop
-
list or data.table with at least one item:
- drawdown
-
Trading stops when drawdown exceeds set value. E.g. if set to -0.02 then when drawdown exceeds 2% trading stops.
- loss
-
Trading stops when market value (P&L) is lower set value. E.g. if set to -0.05 then when market value (P&L) is lower than -5% trading stops.
If stop rule triggered no orders sent to exchange and opened trades closed by market orders.
- trade_start
-
POSIXct timestamp. All orders ignored until specified time. Useful to 'warm-up' strategy.
- latency_send, latency_receive, latency
-
numeric value. Latency can be set by send/receive or overall. 'latency' sets send and receive latency as
x / 2. See 'Execution Model' section. - trading_hours
-
numeric vector of length two. Sets trading hours start and end according to formula:
hours + minutes / 60 + seconds / 3600.
If setonMarketOpen,onMarketCloseevents are executed at corresponding times.
E.g. if set toc( 10.25, 17.5 )meansonMarketOpenevent called every day at '10:15' andonMarketCloseevent called every day at '17:30'.
For convenienceIsTradingHoursSet()method can be used to check wether trading hours are set. - allow_limit_to_hit_market
-
if TRUE, limit order execution price set to market price if executed on same tick as registered.
- allow_exact_stop
-
if TRUE, stop order executed at set price.
- price_step
-
if positive, limit order init price rounded to
price_stepdown for buy orders and up for sell orders before placement. if negative, limit order init price rounded toprice_stepup for buy orders and down for sell orders before placement. - execution_type
-
tradeorbbo. - intervals
-
sorted multi row data.table with POSIXct timestamps columns
start, end. Represents time intervals. At time startonIntervalOpencalled and at time endonIntervalClosecalled.
See Also
Other backtesting classes: Candle,
Cost, Indicator,
Order, Tick
Other C++ classes: BBands,
Candle, Cost,
Crossover, Ema,
Indicator, Order,
RollLinReg, RollPercentRank,
RollRange, RollSd,
RollVolumeProfile, Rsi,
Sma, Stochastic,
Tick
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 | ######################################
## Simple Moving Averages Crossover ##
######################################
# load tick data
data( 'ticks' )
# define strategy
strategy_source = system.file( package = 'QuantTools', 'examples/sma_crossover.cpp' )
# compile strategy
Rcpp::sourceCpp( strategy_source )
# set strategy parameters
parameters = data.table(
period_fast = 50,
period_slow = 30,
timeframe = 60
)
# set options, see 'Options' section
options = list(
cost = list( tradeAbs = -0.01 ),
latency = 0.1 # 100 milliseconds
)
# run test
test_summary = sma_crossover( ticks, parameters, options, fast = TRUE )
print( test_summary )
# run test
test = sma_crossover( ticks, parameters, options, fast = FALSE )
# plot result
indicators = plot_dts(
test$indicators,
test$orders[ side == 'buy' , .( time_processed, buy = price_exec ) ],
test$orders[ side == 'sell', .( time_processed, sell = price_exec ) ] )$
lines( c( 'sma_fast', 'sma_slow' ) )$
lines( c( 'buy', 'sell' ), type = 'p', pch = c( 24, 25 ), col = c( 'blue', 'red' ) )
performance = plot_dts( test$indicators[, .( time, pnl = pnl * 100, drawdown = drawdown * 100 ) ] )$
lines( c( 'pnl', 'drawdown' ), c( '% pnl', '% drawdown' ), col = c( 'darkolivegreen', 'darkred' ) )
interval = '2016-01-19 12/13'
par( mfrow = c( 2, 1 ), oma = c( 5, 4, 2, 4 ) + 0.1, mar = c( 0, 0, 0, 0 ) )
indicators $limits( tlim = interval )$style( time = list( visible = FALSE ) )
performance$limits( tlim = interval )
title( 'Simple Moving Averages Crossover', outer = TRUE )
par( mfrow = c( 1, 1 ), oma = c( 0, 0, 0, 0 ), mar = c( 5, 4, 4, 2 ) + 0.1 )
#####################
## Bollinger Bands ##
#####################
# load tick data
data( 'ticks' )
# define strategy
strategy_source = system.file( package = 'QuantTools', 'examples/bbands.cpp' )
# compile strategy
Rcpp::sourceCpp( strategy_source )
# set strategy parameters
parameters = data.table(
n = 100,
k = 0.5,
timeframe = 60
)
# set options, see 'Options' section
options = list(
cost = list( tradeAbs = -0.01 ),
latency = 0.1 # 100 milliseconds
)
# run test
test_summary = bbands( ticks, parameters, options, fast = TRUE )
print( test_summary )
# run test
test = bbands( ticks, parameters, options, fast = FALSE )
# plot result
indicators = plot_dts(
test$indicators,
test$orders[ side == 'buy' , .( time_processed, buy = price_exec ) ],
test$orders[ side == 'sell', .( time_processed, sell = price_exec ) ] )$
lines( c( 'lower', 'sma', 'upper' ) )$
lines( c( 'buy', 'sell' ), type = 'p', pch = c( 24, 25 ), col = c( 'blue', 'red' ) )
performance = plot_dts( test$indicators[, .( time, pnl = pnl * 100, drawdown = drawdown * 100 ) ] )$
lines( c( 'pnl', 'drawdown' ), c( '% pnl', '% drawdown' ), col = c( 'darkolivegreen', 'darkred' ) )
interval = '2016-01-19 12/13'
par( mfrow = c( 2, 1 ), oma = c( 5, 4, 2, 4 ) + 0.1, mar = c( 0, 0, 0, 0 ) )
indicators $limits( tlim = interval )$style( time = list( visible = FALSE ) )
performance$limits( tlim = interval )
title( 'Bollinger Bands', outer = TRUE )
par( mfrow = c( 1, 1 ), oma = c( 0, 0, 0, 0 ), mar = c( 5, 4, 4, 2 ) + 0.1 )
##################################
## Bollinger Bands Market Maker ##
##################################
# load tick data
data( 'ticks' )
# define strategy
strategy_source = system.file( package = 'QuantTools', 'examples/bbands_market_maker.cpp' )
# compile strategy
Rcpp::sourceCpp( strategy_source )
# set strategy parameters
parameters = data.table(
n = 100,
k = 0.5,
timeframe = 60
)
# set options, see 'Options' section
options = list(
cost = list( tradeAbs = -0.01 ),
latency = 0.1, # 100 milliseconds
allow_limit_to_hit_market = TRUE
)
# run test
test_summary = bbands_market_maker( ticks, parameters, options, fast = TRUE )
print( test_summary )
# run test
test = bbands_market_maker( ticks, parameters, options, fast = FALSE )
# plot result
indicators = plot_dts(
test$indicators,
test$orders[ side == 'buy' , .( time_processed, buy = price_exec ) ],
test$orders[ side == 'sell', .( time_processed, sell = price_exec ) ] )$
lines( c( 'lower', 'sma', 'upper' ) )$
lines( c( 'buy', 'sell' ), type = 'p', pch = c( 24, 25 ), col = c( 'blue', 'red' ) )
performance = plot_dts( test$indicators[, .( time, pnl = pnl * 100, drawdown = drawdown * 100 ) ] )$
lines( c( 'pnl', 'drawdown' ), c( '% pnl', '% drawdown' ), col = c( 'darkolivegreen', 'darkred' ) )
interval = '2016-01-19 12/13'
par( mfrow = c( 2, 1 ), oma = c( 5, 4, 2, 4 ) + 0.1, mar = c( 0, 0, 0, 0 ) )
indicators $limits( tlim = interval )$style( time = list( visible = FALSE ) )
performance$limits( tlim = interval )
title( 'Bollinger Bands On Limit Orders', outer = TRUE )
par( mfrow = c( 1, 1 ), oma = c( 0, 0, 0, 0 ), mar = c( 5, 4, 4, 2 ) + 0.1 )
|
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