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R/doc_Processor.R
In QuantTools: Enhanced Quantitative Trading Modelling
# Copyright (C) 2016-2018 Stanislav Kovalevsky
#
# This file is part of QuantTools.
#
# QuantTools is free software: you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 2 of the License, or
# (at your option) any later version.
#
# QuantTools is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with QuantTools. If not, see <http://www.gnu.org/licenses/>.
#' @title C++ Processor class
#' @description C++ class documentation
#' @section Usage: \code{Processor( int timeFrame, double latencySend, double latencyReceive )}
#' @param timeFrame candle timeframe in seconds
#' @param latencySend,latencyReceive latency in seconds
#' @family backtesting classes
#' @family C++ classes
#'
#' @section Public Members and Methods:
#' \tabular{lll}{
#' \strong{Name} \tab \strong{Return Type} \tab \strong{Description} \cr
#' \code{onCandle( \link{Candle} candle )} \tab \code{std::function} \tab called on new candle event \cr
#' \code{onTick( \link{Tick} tick )} \tab \code{std::function} \tab called on new tick event \cr
#' \code{onMarketOpen()} \tab \code{std::function} \tab called on trading hours start \cr
#' \code{onMarketClose()} \tab \code{std::function} \tab called on trading hours end \cr
#' \code{onIntervalOpen()} \tab \code{std::function} \tab called on intervals start \cr
#' \code{onIntervalClose()} \tab \code{std::function} \tab called on intervals end \cr
#' \code{Feed( \link{Tick} tick )} \tab \code{void} \tab process by individual tick \cr
#' \code{Feed( Rcpp::DataFrame ticks )} \tab \code{void} \tab batch process, see 'Ticks' section \cr
#' \code{SendOrder( \link{Order}* order )} \tab \code{void} \tab send order to exchange \cr
#'
#' \code{SetCost( \link{Cost} cost )} \tab \code{void} \tab set trading costs \cr
#' \code{SetCost( Rcpp::List cost )} \tab \code{void} \tab see 'cost' in 'Options' section \cr
#' \code{SetStop( Rcpp::List stop )} \tab \code{void} \tab see 'stop' in 'Options' section \cr
#' \code{SetStartTradingTime( double t )} \tab \code{void} \tab see 'trade_start' in 'Options' section \cr
#' \code{SetLatencyReceive( double x )} \tab \code{void} \tab see 'latency_receive' in 'Options' section \cr
#' \code{SetLatencySend( double x )} \tab \code{void} \tab see 'latency_send' in 'Options' section \cr
#' \code{SetLatency( double x )} \tab \code{void} \tab see 'latency' in 'Options' section \cr
#' \code{SetTradingHours( double start, double end )}
#' \tab \code{void} \tab see 'trading_hours' in 'Options' section \cr
#' \code{SetPriceStep( double priceStep )} \tab \code{void} \tab see 'price_step' in 'Options' section \cr
#' \code{SetExecutionType( ExecutionType executionType )}
#' \tab \code{void} \tab see 'execution_type' in 'Options' section \cr
#' \code{SetExecutionType( std::string executionType )}
#' \tab \code{void} \tab see 'execution_type' in 'Options' section \cr
#' \code{SetIntervals( std::vector<double> starts, std::vector<double> ends )}
#' \tab \code{void} \tab see 'intervals' in 'Options' section \cr
#' \code{AllowLimitToHitMarket()} \tab \code{void} \tab see 'allow_limit_to_hit_market' in 'Options' section \cr
#' \code{AllowExactStop()} \tab \code{void} \tab see 'allow_exact_stop' in 'Options' section \cr
#' \code{SetOptions( Rcpp::List options )} \tab \code{void} \tab see 'Options' section \cr
#' \code{StopTrading()} \tab \code{void} \tab if called trading stop triggered. See 'stop' in 'Options' section \cr
#' \code{CanTrade()} \tab \code{bool} \tab check if trading not stopped \cr
#' \code{IsTradingHoursSet()} \tab \code{bool} \tab check if trading hours set \cr
#' \code{CancelOrders()} \tab \code{void} \tab cancel active orders \cr
#' \code{GetCandle()} \tab \code{Candle} \tab get current candle \cr
#' \code{GetPosition()} \tab \code{int} \tab total executed position, positive means long, negative means short \cr
#' \code{GetPositionPlanned()} \tab \code{int} \tab total number of orders processing ( not executed or cancelled yet ) \cr
#' \code{GetMarketValue()} \tab \code{double} \tab total portfolio percent value ( initial value is 0 ) \cr
#' \code{GetCandles()} \tab \code{Rcpp::List} \tab candles history, see 'Candles' section \cr
#' \code{GetOrders()} \tab \code{Rcpp::List} \tab orders history, see 'Orders' section \cr
#' \code{GetTrades()} \tab \code{Rcpp::List} \tab trades history, see 'Trades' section \cr
#' \code{GetSummary()} \tab \code{Rcpp::List} \tab trades summary, see 'Summary' section \cr
#' \code{GetOnCandleMarketValueHistory()} \tab \code{std::vector<double>} \tab vector of portfolio value history recalculated on candle complete \cr
#' \code{GetOnCandleDrawDownHistory()} \tab \code{std::vector<double>} \tab vector of portfolio drawdown history recalculated on candle complete\cr
#' \code{GetOnDayClosePerformanceHistory()}\tab \code{Rcpp::List} \tab daily performance history, see 'Daily Performance' section \cr
#' \code{Reset()} \tab \code{void} \tab resets to initial state
#' }
#' @example /inst/examples/sma_crossover.R
#' @example /inst/examples/bbands.R
#' @example /inst/examples/bbands_market_maker.R
#' @section Execution Model:
#' System sends new order and after \code{latencySend} seconds it reaches exchange.
#' System receives confirmation of order placement \code{latencyReceive} seconds later.
#' When execution conditions met on exchange - order is executed and system receives
#' execution confirmation \code{latencyReceive} seconds later.\cr
#' When system sends cancel request to exchange and after \code{latencySend} seconds
#' when exchange receives cancel request if order is not executed yet it is cancelled and
#' cancellation confirmation is received by system after \code{latencyReceive} seconds.\cr
#' Two execution types supported \code{trade}(default) and \code{bbo}.
#' \code{trade} type processes orders using tick \code{price}s and \code{bbo} processes orders using preceding tick \code{bid} and \code{ask} values.
#' Market orders in \code{bbo} mode executed at worst price: at \code{bid} for sells and at \code{ask} for buys, in \code{trade} mode at current tick \code{price}.
#' Buy limit orders executed when \code{ask} goes under order price and sell orders executed when \code{bid} goes above order price.
#' In case limit order is placed in the market it is executed as market order if \code{allow_limit_to_hit_market} set to \code{TRUE} (default is \code{FALSE}).\cr
#'
#' @section Ticks:
#' Ticks must be a data.frame/data.table with at least the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' time \tab time \cr
#' price \tab price \cr
#' volume \tab volume
#' }
#' tick id is ticks row number.
#' @section Candles:
#' Candles returned as data.table with the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' time \tab time when formed \cr
#' open \tab first tick price \cr
#' high \tab maximum tick price \cr
#' low \tab minimum tick price \cr
#' close \tab last tick price \cr
#' volume \tab total volume traded \cr
#' id \tab tick id when formed ( first tick after time formed )
#' }
#' @section Orders:
#' Orders returned as data.table with the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' id_trade \tab trade id \cr
#' id_sent \tab tick id when order was sent to exchange \cr
#' id_processed \tab tick id when enter order execution or cancelled confirmation was received ( first tick after \code{time_processed} ) \cr
#' time_sent \tab time when order was sent to exchange \cr
#' time_processed \tab time when order execution or cancelled confirmation was received \cr
#' price_init \tab initial price \cr
#' price_exec \tab execution price \cr
#' side \tab \code{buy}/\code{sell} \cr
#' type \tab \code{limit}/\code{market}/\code{stop}/\code{trail} \cr
#' state \tab \code{new}/\code{registered}/\code{executed}/\code{cancelling}/\code{cancelled} \cr
#' comment \tab comment
#' }
#' @section Trades:
#' Two orders are combined into trade by trade id. The first and the second orders are called enter and exit respectively. \cr
#' Trade side is long if enter order is buy and short if enter order is sell. \cr
#' Orders must be buy and sell only. Two buys or two sells not allowed. Trade can be \cr
#' \itemize{
#' \item \code{new} when order to open trade is just placed
#' \item \code{opened} when trade is not closed yet
#' \item \code{closed} when trade is flat. \cr
#' }
#' Trades returned as data.table with the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' id_trade \tab trade id \cr
#' id_sent \tab tick id when enter order was sent to exchange \cr
#' id_enter \tab tick id when enter order execution confirmation was received ( first tick after enter \code{time_executed} ) \cr
#' id_exit \tab tick id when exit order execution confirmation was received ( first tick after exit \code{time_executed} ) \cr
#' time_sent \tab time when enter order sent to exchange \cr
#' time_enter \tab time when enter order execution confirmation was received \cr
#' time_exit \tab time when exit order execution confirmation was received \cr
#' side \tab side \code{long}/\code{short} \cr
#' price_enter \tab enter order execution price \cr
#' price_exit \tab exit order execution price \cr
#' pnl \tab trade pnl net \cr
#' mtm \tab mark-to-market \cr
#' mtm_min \tab min mark-to-market \cr
#' mtm_max \tab max mark-to-market \cr
#' cost \tab absolute trading cost \cr
#' pnl_rel \tab trade pnl net in basis points \cr
#' mtm_rel \tab mark-to-market in basis points \cr
#' mtm_min_rel \tab min mark-to-market in basis points \cr
#' mtm_max_rel \tab max mark-to-market in basis points \cr
#' cost_rel \tab relative trading cost in basis points \cr
#' state \tab \code{new}/\code{opened}/\code{closed}
#' }
#' @section Summary:
#' Back test summary statistics:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' from \tab first tick time \cr
#' to \tab last tick time \cr
#' days_tested \tab number of trading days tested \cr
#' days_traded \tab number of trading days traded ( at least one order was executed ) \cr
#' n_per_day \tab number of trades per day \cr
#' n \tab number of trades \cr
#' n_long \tab number of long trades \cr
#' n_short \tab number of short trades \cr
#' n_win \tab number of winning trades \cr
#' n_loss \tab number of loosing trades \cr
#' pct_win \tab percent of winning trades \cr
#' pct_loss \tab percent of loosing trades \cr
#' avg_win \tab average winning trade in basis points \cr
#' avg_loss \tab average loosing trade in basis points \cr
#' avg_pnl \tab average trade pnl in basis points \cr
#' win \tab total won in percent \cr
#' loss \tab total lost in percent \cr
#' pnl \tab total pnl in percent \cr
#' max_dd \tab maximum drawdown in percent \cr
#' max_dd_start \tab time the maximum drawdown started \cr
#' max_dd_end \tab time the maximum drawdown recovered \cr
#' max_dd_length \tab number of calendar days in the maximum drawdown period \cr
#' sharpe \tab annualized Sharpe ratio calulated on daily returns \cr
#' sortino \tab annualized Sortino ratio calulated on daily returns \cr
#' r_squared \tab R Squared calulated on daily PnL values \cr
#' avg_dd \tab average drawdown calulated on daily drawdown history
#' }
#'
#' @section Daily Performance:
#' Back test daily performance history:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' date \tab date \cr
#' return \tab return \cr
#' pnl \tab cumulative pnl \cr
#' drawdown \tab drawdown \cr
#' n_per_day \tab number of closed trades \cr
#' avg_pnl \tab average trade pnl
#' }
#'
#' @section Options:
#' List of following elements. All options are optional.
#' \describe{
#' \item{\strong{cost}}{
#' list or data.table with items identical to \link{Cost} C++ class.
#' \cr E.g. if set to \code{ data.table( tradeAbs = -0.01, shortRel = -0.05 / 360 ) } means you pay -$0.01 per executed
#' order and -5\% p.a. overnight short.
#' }
#' \item{\strong{stop}}{
#' list or data.table with at least one item:
#' \describe{
#' \item{drawdown}{
#' Trading stops when drawdown exceeds set value. E.g. if set to -0.02 then when drawdown exceeds 2\% trading stops.
#' }
#' \item{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.
#' }
#' }
#' \item{\strong{trade_start}}{
#' POSIXct timestamp. All orders ignored until specified time. Useful to 'warm-up' strategy.
#' }
#' \item{\strong{latency_send, latency_receive, latency}}{
#' numeric value. Latency can be set by send/receive or overall. 'latency' sets send and receive latency as \code{x / 2}. See 'Execution Model' section.
#' }
#' \item{\strong{trading_hours}}{
#' numeric vector of length two. Sets trading hours start and end according to formula:\cr \code{hours + minutes / 60 + seconds / 3600}. \cr If set \code{onMarketOpen}, \code{onMarketClose} events are executed at corresponding times.
#' \cr E.g. if set to \code{c( 10.25, 17.5 )} means \code{onMarketOpen} event called every day at '10:15' and \code{onMarketClose} event called every day at '17:30'.
#' \cr For convenience \code{IsTradingHoursSet()} method can be used to check wether trading hours are set.
#'
#' }
#' \item{\strong{allow_limit_to_hit_market}}{
#' if TRUE, limit order execution price set to market price if executed on same tick as registered.
#' }
#' \item{\strong{allow_exact_stop}}{
#' if TRUE, stop order executed at set price.
#' }
#' \item{\strong{price_step}}{
#' if positive, limit order init price rounded to \code{price_step} down for buy orders and up for sell orders before placement.
#' if negative, limit order init price rounded to \code{price_step} up for buy orders and down for sell orders before placement.
#' }
#' \item{\strong{execution_type}}{
#' \code{trade} or \code{bbo}.
#' }
#' \item{\strong{intervals}}{
#' sorted multi row data.table with POSIXct timestamps columns \code{start, end}. Represents time intervals. At time start \code{onIntervalOpen} called and at time end \code{onIntervalClose} called.
#' }
#'
#' }
#' @name Processor
#' @rdname cpp_Processor
NULL
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# Copyright (C) 2016-2018 Stanislav Kovalevsky
#
# This file is part of QuantTools.
#
# QuantTools is free software: you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 2 of the License, or
# (at your option) any later version.
#
# QuantTools is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with QuantTools. If not, see <http://www.gnu.org/licenses/>.
#' @title C++ Processor class
#' @description C++ class documentation
#' @section Usage: \code{Processor( int timeFrame, double latencySend, double latencyReceive )}
#' @param timeFrame candle timeframe in seconds
#' @param latencySend,latencyReceive latency in seconds
#' @family backtesting classes
#' @family C++ classes
#'
#' @section Public Members and Methods:
#' \tabular{lll}{
#' \strong{Name} \tab \strong{Return Type} \tab \strong{Description} \cr
#' \code{onCandle( \link{Candle} candle )} \tab \code{std::function} \tab called on new candle event \cr
#' \code{onTick( \link{Tick} tick )} \tab \code{std::function} \tab called on new tick event \cr
#' \code{onMarketOpen()} \tab \code{std::function} \tab called on trading hours start \cr
#' \code{onMarketClose()} \tab \code{std::function} \tab called on trading hours end \cr
#' \code{onIntervalOpen()} \tab \code{std::function} \tab called on intervals start \cr
#' \code{onIntervalClose()} \tab \code{std::function} \tab called on intervals end \cr
#' \code{Feed( \link{Tick} tick )} \tab \code{void} \tab process by individual tick \cr
#' \code{Feed( Rcpp::DataFrame ticks )} \tab \code{void} \tab batch process, see 'Ticks' section \cr
#' \code{SendOrder( \link{Order}* order )} \tab \code{void} \tab send order to exchange \cr
#'
#' \code{SetCost( \link{Cost} cost )} \tab \code{void} \tab set trading costs \cr
#' \code{SetCost( Rcpp::List cost )} \tab \code{void} \tab see 'cost' in 'Options' section \cr
#' \code{SetStop( Rcpp::List stop )} \tab \code{void} \tab see 'stop' in 'Options' section \cr
#' \code{SetStartTradingTime( double t )} \tab \code{void} \tab see 'trade_start' in 'Options' section \cr
#' \code{SetLatencyReceive( double x )} \tab \code{void} \tab see 'latency_receive' in 'Options' section \cr
#' \code{SetLatencySend( double x )} \tab \code{void} \tab see 'latency_send' in 'Options' section \cr
#' \code{SetLatency( double x )} \tab \code{void} \tab see 'latency' in 'Options' section \cr
#' \code{SetTradingHours( double start, double end )}
#' \tab \code{void} \tab see 'trading_hours' in 'Options' section \cr
#' \code{SetPriceStep( double priceStep )} \tab \code{void} \tab see 'price_step' in 'Options' section \cr
#' \code{SetExecutionType( ExecutionType executionType )}
#' \tab \code{void} \tab see 'execution_type' in 'Options' section \cr
#' \code{SetExecutionType( std::string executionType )}
#' \tab \code{void} \tab see 'execution_type' in 'Options' section \cr
#' \code{SetIntervals( std::vector<double> starts, std::vector<double> ends )}
#' \tab \code{void} \tab see 'intervals' in 'Options' section \cr
#' \code{AllowLimitToHitMarket()} \tab \code{void} \tab see 'allow_limit_to_hit_market' in 'Options' section \cr
#' \code{AllowExactStop()} \tab \code{void} \tab see 'allow_exact_stop' in 'Options' section \cr
#' \code{SetOptions( Rcpp::List options )} \tab \code{void} \tab see 'Options' section \cr
#' \code{StopTrading()} \tab \code{void} \tab if called trading stop triggered. See 'stop' in 'Options' section \cr
#' \code{CanTrade()} \tab \code{bool} \tab check if trading not stopped \cr
#' \code{IsTradingHoursSet()} \tab \code{bool} \tab check if trading hours set \cr
#' \code{CancelOrders()} \tab \code{void} \tab cancel active orders \cr
#' \code{GetCandle()} \tab \code{Candle} \tab get current candle \cr
#' \code{GetPosition()} \tab \code{int} \tab total executed position, positive means long, negative means short \cr
#' \code{GetPositionPlanned()} \tab \code{int} \tab total number of orders processing ( not executed or cancelled yet ) \cr
#' \code{GetMarketValue()} \tab \code{double} \tab total portfolio percent value ( initial value is 0 ) \cr
#' \code{GetCandles()} \tab \code{Rcpp::List} \tab candles history, see 'Candles' section \cr
#' \code{GetOrders()} \tab \code{Rcpp::List} \tab orders history, see 'Orders' section \cr
#' \code{GetTrades()} \tab \code{Rcpp::List} \tab trades history, see 'Trades' section \cr
#' \code{GetSummary()} \tab \code{Rcpp::List} \tab trades summary, see 'Summary' section \cr
#' \code{GetOnCandleMarketValueHistory()} \tab \code{std::vector<double>} \tab vector of portfolio value history recalculated on candle complete \cr
#' \code{GetOnCandleDrawDownHistory()} \tab \code{std::vector<double>} \tab vector of portfolio drawdown history recalculated on candle complete\cr
#' \code{GetOnDayClosePerformanceHistory()}\tab \code{Rcpp::List} \tab daily performance history, see 'Daily Performance' section \cr
#' \code{Reset()} \tab \code{void} \tab resets to initial state
#' }
#' @example /inst/examples/sma_crossover.R
#' @example /inst/examples/bbands.R
#' @example /inst/examples/bbands_market_maker.R
#' @section Execution Model:
#' System sends new order and after \code{latencySend} seconds it reaches exchange.
#' System receives confirmation of order placement \code{latencyReceive} seconds later.
#' When execution conditions met on exchange - order is executed and system receives
#' execution confirmation \code{latencyReceive} seconds later.\cr
#' When system sends cancel request to exchange and after \code{latencySend} seconds
#' when exchange receives cancel request if order is not executed yet it is cancelled and
#' cancellation confirmation is received by system after \code{latencyReceive} seconds.\cr
#' Two execution types supported \code{trade}(default) and \code{bbo}.
#' \code{trade} type processes orders using tick \code{price}s and \code{bbo} processes orders using preceding tick \code{bid} and \code{ask} values.
#' Market orders in \code{bbo} mode executed at worst price: at \code{bid} for sells and at \code{ask} for buys, in \code{trade} mode at current tick \code{price}.
#' Buy limit orders executed when \code{ask} goes under order price and sell orders executed when \code{bid} goes above order price.
#' In case limit order is placed in the market it is executed as market order if \code{allow_limit_to_hit_market} set to \code{TRUE} (default is \code{FALSE}).\cr
#'
#' @section Ticks:
#' Ticks must be a data.frame/data.table with at least the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' time \tab time \cr
#' price \tab price \cr
#' volume \tab volume
#' }
#' tick id is ticks row number.
#' @section Candles:
#' Candles returned as data.table with the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' time \tab time when formed \cr
#' open \tab first tick price \cr
#' high \tab maximum tick price \cr
#' low \tab minimum tick price \cr
#' close \tab last tick price \cr
#' volume \tab total volume traded \cr
#' id \tab tick id when formed ( first tick after time formed )
#' }
#' @section Orders:
#' Orders returned as data.table with the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' id_trade \tab trade id \cr
#' id_sent \tab tick id when order was sent to exchange \cr
#' id_processed \tab tick id when enter order execution or cancelled confirmation was received ( first tick after \code{time_processed} ) \cr
#' time_sent \tab time when order was sent to exchange \cr
#' time_processed \tab time when order execution or cancelled confirmation was received \cr
#' price_init \tab initial price \cr
#' price_exec \tab execution price \cr
#' side \tab \code{buy}/\code{sell} \cr
#' type \tab \code{limit}/\code{market}/\code{stop}/\code{trail} \cr
#' state \tab \code{new}/\code{registered}/\code{executed}/\code{cancelling}/\code{cancelled} \cr
#' comment \tab comment
#' }
#' @section Trades:
#' Two orders are combined into trade by trade id. The first and the second orders are called enter and exit respectively. \cr
#' Trade side is long if enter order is buy and short if enter order is sell. \cr
#' Orders must be buy and sell only. Two buys or two sells not allowed. Trade can be \cr
#' \itemize{
#' \item \code{new} when order to open trade is just placed
#' \item \code{opened} when trade is not closed yet
#' \item \code{closed} when trade is flat. \cr
#' }
#' Trades returned as data.table with the following columns:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' id_trade \tab trade id \cr
#' id_sent \tab tick id when enter order was sent to exchange \cr
#' id_enter \tab tick id when enter order execution confirmation was received ( first tick after enter \code{time_executed} ) \cr
#' id_exit \tab tick id when exit order execution confirmation was received ( first tick after exit \code{time_executed} ) \cr
#' time_sent \tab time when enter order sent to exchange \cr
#' time_enter \tab time when enter order execution confirmation was received \cr
#' time_exit \tab time when exit order execution confirmation was received \cr
#' side \tab side \code{long}/\code{short} \cr
#' price_enter \tab enter order execution price \cr
#' price_exit \tab exit order execution price \cr
#' pnl \tab trade pnl net \cr
#' mtm \tab mark-to-market \cr
#' mtm_min \tab min mark-to-market \cr
#' mtm_max \tab max mark-to-market \cr
#' cost \tab absolute trading cost \cr
#' pnl_rel \tab trade pnl net in basis points \cr
#' mtm_rel \tab mark-to-market in basis points \cr
#' mtm_min_rel \tab min mark-to-market in basis points \cr
#' mtm_max_rel \tab max mark-to-market in basis points \cr
#' cost_rel \tab relative trading cost in basis points \cr
#' state \tab \code{new}/\code{opened}/\code{closed}
#' }
#' @section Summary:
#' Back test summary statistics:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' from \tab first tick time \cr
#' to \tab last tick time \cr
#' days_tested \tab number of trading days tested \cr
#' days_traded \tab number of trading days traded ( at least one order was executed ) \cr
#' n_per_day \tab number of trades per day \cr
#' n \tab number of trades \cr
#' n_long \tab number of long trades \cr
#' n_short \tab number of short trades \cr
#' n_win \tab number of winning trades \cr
#' n_loss \tab number of loosing trades \cr
#' pct_win \tab percent of winning trades \cr
#' pct_loss \tab percent of loosing trades \cr
#' avg_win \tab average winning trade in basis points \cr
#' avg_loss \tab average loosing trade in basis points \cr
#' avg_pnl \tab average trade pnl in basis points \cr
#' win \tab total won in percent \cr
#' loss \tab total lost in percent \cr
#' pnl \tab total pnl in percent \cr
#' max_dd \tab maximum drawdown in percent \cr
#' max_dd_start \tab time the maximum drawdown started \cr
#' max_dd_end \tab time the maximum drawdown recovered \cr
#' max_dd_length \tab number of calendar days in the maximum drawdown period \cr
#' sharpe \tab annualized Sharpe ratio calulated on daily returns \cr
#' sortino \tab annualized Sortino ratio calulated on daily returns \cr
#' r_squared \tab R Squared calulated on daily PnL values \cr
#' avg_dd \tab average drawdown calulated on daily drawdown history
#' }
#'
#' @section Daily Performance:
#' Back test daily performance history:
#' \tabular{ll}{
#' \strong{Name} \tab \strong{Description} \cr
#' date \tab date \cr
#' return \tab return \cr
#' pnl \tab cumulative pnl \cr
#' drawdown \tab drawdown \cr
#' n_per_day \tab number of closed trades \cr
#' avg_pnl \tab average trade pnl
#' }
#'
#' @section Options:
#' List of following elements. All options are optional.
#' \describe{
#' \item{\strong{cost}}{
#' list or data.table with items identical to \link{Cost} C++ class.
#' \cr E.g. if set to \code{ data.table( tradeAbs = -0.01, shortRel = -0.05 / 360 ) } means you pay -$0.01 per executed
#' order and -5\% p.a. overnight short.
#' }
#' \item{\strong{stop}}{
#' list or data.table with at least one item:
#' \describe{
#' \item{drawdown}{
#' Trading stops when drawdown exceeds set value. E.g. if set to -0.02 then when drawdown exceeds 2\% trading stops.
#' }
#' \item{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.
#' }
#' }
#' \item{\strong{trade_start}}{
#' POSIXct timestamp. All orders ignored until specified time. Useful to 'warm-up' strategy.
#' }
#' \item{\strong{latency_send, latency_receive, latency}}{
#' numeric value. Latency can be set by send/receive or overall. 'latency' sets send and receive latency as \code{x / 2}. See 'Execution Model' section.
#' }
#' \item{\strong{trading_hours}}{
#' numeric vector of length two. Sets trading hours start and end according to formula:\cr \code{hours + minutes / 60 + seconds / 3600}. \cr If set \code{onMarketOpen}, \code{onMarketClose} events are executed at corresponding times.
#' \cr E.g. if set to \code{c( 10.25, 17.5 )} means \code{onMarketOpen} event called every day at '10:15' and \code{onMarketClose} event called every day at '17:30'.
#' \cr For convenience \code{IsTradingHoursSet()} method can be used to check wether trading hours are set.
#'
#' }
#' \item{\strong{allow_limit_to_hit_market}}{
#' if TRUE, limit order execution price set to market price if executed on same tick as registered.
#' }
#' \item{\strong{allow_exact_stop}}{
#' if TRUE, stop order executed at set price.
#' }
#' \item{\strong{price_step}}{
#' if positive, limit order init price rounded to \code{price_step} down for buy orders and up for sell orders before placement.
#' if negative, limit order init price rounded to \code{price_step} up for buy orders and down for sell orders before placement.
#' }
#' \item{\strong{execution_type}}{
#' \code{trade} or \code{bbo}.
#' }
#' \item{\strong{intervals}}{
#' sorted multi row data.table with POSIXct timestamps columns \code{start, end}. Represents time intervals. At time start \code{onIntervalOpen} called and at time end \code{onIntervalClose} called.
#' }
#'
#' }
#' @name Processor
#' @rdname cpp_Processor
NULL
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