aqr: Interface methods to use with an ActiveQuant Master Server

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This R extension provides methods to use a standalone ActiveQuant Master Server from within R. Currently available features include fetching and storing historical data, receiving and sending live data. Several utility methods for simple data transformations are included, too. For support requests, please join the mailing list at https://r-forge.r-project.org/mail/?group_id=1518

Author
Ulrich Staudinger, ActiveQuant GmbH
Date of publication
2014-03-01 18:18:11
Maintainer
Ulrich Staudinger <ustaudinger@activequant.com>
License
GPL (>= 2)
Version
0.4
URLs

View on CRAN

Man pages

approximateSLTP
Approximates StopLoss/TakeProfit for a given PNL series and...
aqdataready
Is data ready?
aqDayOfWeekStat
applies a function to all values per weekday.
aqdisabledebug
Disable debug messages
aqdrophour
removes all data that belongs to a specific hour from an...
aqdrophours
Drops data of several hours, delegates on to aqDropHour
aqenabledebug
Enable debug messages
aqfilterohlcsd
Removes outliers based on standard deviation filters....
aqhourindex
Returns for an XTS input list the hour index per element.
aqHourlyStat
applies a function across hour slots. Internally, it iterates...
aqinit
This method builds an object that carries necessary...
aqinitmessaging
Initializes the messaging layer
aqloadohlc
Loads OHLC from an AQ Master Server
aqloadseriesfield
Loads one series field from an AQ Master Server
aqLoadXtsFromCsv
Loads a XTS object from CSV, to be used with our...
aqLoadYahooEOD
Loads EOD data from Yahoo and returns an XTS object.
aqpoll
Poll data from the messaging bridge
aqr-package
Package level introduction
aqSaveXtsToCsv
Saves an XTS object to csv file.
aqsend
Send data to a messaging channel
aqstorematrix
stores a matrix onto an AQ Master Server
aqstoreseriesfield
Stores one series field to an AQ Master Server, typicall...
aqsubscribechannel
Subscribe to a messaging channel
aqunsubscribechannel
Unsubscribe from a messaging channel
aqwaitfordata
Wait for data at the bridge
atestcalltodynlib
Test function
buildarchiveurl
Builds an archive URL, based on connection parameters,...
generatePnlCurve
method to generate a pnl curve from a running position. bids,...
oneMonthAgo
returns the date one month (30 days) ago as date8
today
returns today as date8.

Files in this package

aqr
aqr/src
aqr/src/Makevars
aqr/src/generatePnlSeries.c
aqr/src/am.c
aqr/src/Makevars.win
aqr/NAMESPACE
aqr/R
aqr/R/hist_data.R
aqr/R/messaging.R
aqr/R/utils.R
aqr/R/aq_config.R
aqr/MD5
aqr/DESCRIPTION
aqr/man
aqr/man/aqdrophour.Rd
aqr/man/aqsubscribechannel.Rd
aqr/man/figures
aqr/man/figures/logo.jpg
aqr/man/figures/3.png
aqr/man/figures/2.png
aqr/man/figures/1.png
aqr/man/figures/4.png
aqr/man/approximateSLTP.Rd
aqr/man/aqdisabledebug.Rd
aqr/man/aqloadohlc.Rd
aqr/man/aqstorematrix.Rd
aqr/man/aqdataready.Rd
aqr/man/aqfilterohlcsd.Rd
aqr/man/aqinit.Rd
aqr/man/aqHourlyStat.Rd
aqr/man/oneMonthAgo.Rd
aqr/man/aqstoreseriesfield.Rd
aqr/man/aqunsubscribechannel.Rd
aqr/man/aqenabledebug.Rd
aqr/man/aqDayOfWeekStat.Rd
aqr/man/aqloadseriesfield.Rd
aqr/man/aqinitmessaging.Rd
aqr/man/buildarchiveurl.Rd
aqr/man/atestcalltodynlib.Rd
aqr/man/aqLoadYahooEOD.Rd
aqr/man/today.Rd
aqr/man/generatePnlCurve.Rd
aqr/man/aqhourindex.Rd
aqr/man/aqsend.Rd
aqr/man/aqLoadXtsFromCsv.Rd
aqr/man/aqwaitfordata.Rd
aqr/man/aqSaveXtsToCsv.Rd
aqr/man/aqpoll.Rd
aqr/man/aqr-package.Rd
aqr/man/aqdrophours.Rd