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.

Getting started

Package details

Date of publication2015-05-20 07:54:30
MaintainerSONG Yang <ysongad@connect.ust.hk>
Package repositoryView on CRAN
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TickExec documentation built on May 30, 2017, 1:21 a.m.