TickExec: Execution Functions for Tick Data Back Test

Functions to execute orders in backtesting using tick data. A testing platform was established by the four major execution functions, namely 'LimitBuy', 'LimitSell', 'MarketBuy' and 'MarketSell', which enclosed all tedious aspects (such as queueing for order executions and calculate actual executed volumes) for order execution using tick data. Such that one can focus on the logic of strategies, rather than its execution.

Install the latest version of this package by entering the following in R:
install.packages("TickExec")
AuthorHKUST
Date of publication2015-05-20 07:54:30
MaintainerSONG Yang <ysongad@connect.ust.hk>
LicenseGPL-3
Version1.1

View on CRAN

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