TickExec: Execution Functions for Tick Data Back Test
Version 1.1

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.

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

Popular man pages

DrawDown: Calculate Maximum Draw Down of Series
GetLastPrice: Retrieve Last Trade Price of Given Instrument
LoadTickData: Locate and Load Tick Data of Given Instrument at Given Date
LoadTickDataSHSZ: Load Tick Data for SHSZ Stock Market
PerformanceReport: Summarize Back Test Performance
SecondsToTime: Calculate Timestamp
TimeAdd: Calculate Endpoint Timestamp
See all...

All man pages Function index File listing

Man pages

DataSlice: Truncate Given Dataframe According to Given Time Window
DrawDown: Calculate Maximum Draw Down of Series
GetLastPrice: Retrieve Last Trade Price of Given Instrument
GetQueueLength: Retrieve Length of Quening Orders at Given Price
InitLogEntry: Initialize Log for Each Trade
LimitBuy: Execute Limit Buy Order
LimitSell: Execute Limit Sell Order
LoadTickData: Locate and Load Tick Data of Given Instrument at Given Date
LoadTickDataHK: Load Tick Data for Hong Kong Stock Market
LoadTickDataSHSZ: Load Tick Data for SHSZ Stock Market
MarketBuy: Execute Market Buy Order
MarketSell: Execute Market Sell Order
PerformanceReport: Summarize Back Test Performance
PortfolioWorth: Evaluate Market Worth of Given Protfolio
PriceToNA: Set 0 In Price To NA
SecondsToTime: Calculate Timestamp
SimpleReturn: Calculate Simple Price to Price Return
tickexec-package: Execution Functions for Tick Data Back Test
TimeAdd: Calculate Endpoint Timestamp
TimeDiff: Find Difference Between Timestamps
TotalPnL: Calculate Total PnL for Given Protfolio
VolumeToZero: Set NA in Volume to 0

Functions

.LoadTickDataHK Man page
.LoadTickDataSHSZ Man page
DataSlice Man page Source code
DrawDown Man page Source code
GetLastPrice Man page Source code
GetQueueLength Man page Source code
InitLogEntry Man page Source code
LimitBuy Man page Source code
LimitSell Man page Source code
LoadTickData Man page Source code
MarketBuy Man page Source code
MarketSell Man page Source code
PerformanceReport Man page Source code
PortfolioWorth Man page Source code
PriceToNA Man page Source code
SecondsToTime Man page Source code
SimpleReturn Man page Source code
TickExec Man page
TickExec-package Man page
TimeAdd Man page Source code
TimeDiff Man page Source code
TotalPnL Man page Source code
VolumeToZero Man page Source code
oadTickDataHK Source code
oadTickDataSHSZ Source code

Files

inst
inst/extdata
inst/extdata/000001
inst/extdata/000001/20141013.csv
inst/extdata/000001/20141010.csv
inst/extdata/000001/20141014.csv
inst/extdata/000001/20141016.csv
inst/extdata/000001/20141017.csv
inst/extdata/000001/20141015.csv
NAMESPACE
R
R/LoadTickData.R
R/LimitSell.R
R/DataSlice.R
R/MarketBuy.R
R/SecondsToTime.R
R/DrawDown.R
R/SimpleReturn.R
R/PerformanceReport.R
R/LoadTickDataSHSZ.R
R/PriceToNA.R
R/InitLogEntry.R
R/LimitBuy.R
R/GetQueueLength.R
R/TimeAdd.R
R/TimeDiff.R
R/LoadTickDataHK.R
R/PortfolioWorth.R
R/TotalPnL.R
R/VolumeToZero.R
R/MarketSell.R
R/GetLastPrice.R
MD5
DESCRIPTION
man
man/LoadTickDataSHSZ.Rd
man/LimitBuy.Rd
man/GetQueueLength.Rd
man/PortfolioWorth.Rd
man/MarketSell.Rd
man/PriceToNA.Rd
man/DataSlice.Rd
man/SimpleReturn.Rd
man/DrawDown.Rd
man/MarketBuy.Rd
man/InitLogEntry.Rd
man/TimeAdd.Rd
man/VolumeToZero.Rd
man/TotalPnL.Rd
man/LoadTickData.Rd
man/GetLastPrice.Rd
man/tickexec-package.rd
man/TimeDiff.Rd
man/PerformanceReport.Rd
man/SecondsToTime.Rd
man/LimitSell.Rd
man/LoadTickDataHK.Rd
TickExec documentation built on May 19, 2017, 11:32 p.m.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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