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.

AuthorHKUST
Date of publication2015-05-20 07:54:30
MaintainerSONG Yang <ysongad@connect.ust.hk>
LicenseGPL-3
Version1.1

View on CRAN

Files in this package

TickExec
TickExec/inst
TickExec/inst/extdata
TickExec/inst/extdata/000001
TickExec/inst/extdata/000001/20141013.csv
TickExec/inst/extdata/000001/20141010.csv
TickExec/inst/extdata/000001/20141014.csv
TickExec/inst/extdata/000001/20141016.csv
TickExec/inst/extdata/000001/20141017.csv
TickExec/inst/extdata/000001/20141015.csv
TickExec/NAMESPACE
TickExec/R
TickExec/R/LoadTickData.R TickExec/R/LimitSell.R TickExec/R/DataSlice.R TickExec/R/MarketBuy.R TickExec/R/SecondsToTime.R TickExec/R/DrawDown.R TickExec/R/SimpleReturn.R TickExec/R/PerformanceReport.R TickExec/R/LoadTickDataSHSZ.R TickExec/R/PriceToNA.R TickExec/R/InitLogEntry.R TickExec/R/LimitBuy.R TickExec/R/GetQueueLength.R TickExec/R/TimeAdd.R TickExec/R/TimeDiff.R TickExec/R/LoadTickDataHK.R TickExec/R/PortfolioWorth.R TickExec/R/TotalPnL.R TickExec/R/VolumeToZero.R TickExec/R/MarketSell.R TickExec/R/GetLastPrice.R
TickExec/MD5
TickExec/DESCRIPTION
TickExec/man
TickExec/man/LoadTickDataSHSZ.Rd TickExec/man/LimitBuy.Rd TickExec/man/GetQueueLength.Rd TickExec/man/PortfolioWorth.Rd TickExec/man/MarketSell.Rd TickExec/man/PriceToNA.Rd TickExec/man/DataSlice.Rd TickExec/man/SimpleReturn.Rd TickExec/man/DrawDown.Rd TickExec/man/MarketBuy.Rd TickExec/man/InitLogEntry.Rd TickExec/man/TimeAdd.Rd TickExec/man/VolumeToZero.Rd TickExec/man/TotalPnL.Rd TickExec/man/LoadTickData.Rd TickExec/man/GetLastPrice.Rd
TickExec/man/tickexec-package.rd
TickExec/man/TimeDiff.Rd TickExec/man/PerformanceReport.Rd TickExec/man/SecondsToTime.Rd TickExec/man/LimitSell.Rd TickExec/man/LoadTickDataHK.Rd

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