R interface to PortfolioEffect cloud service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory). Constructed portfolios could use client-side market data or access HF intraday price history for all major US Equities. See for more information on the PortfolioEffect high frequency portfolio analytics platform.

Documentation

Manual: PortfolioEffectHFT.pdf
Vignette: PorfolioEffectHFT package

Maintainer: Andrey Kostin <andrey.kostin at portfolioeffect.com>

Author(s): Andrey Kostin*, Aleksey Zemnitskiy*, Oleg Nechaev*, Craig Otis and others* (OpenFAST library), Daniel Lemire, Muraoka Taro and others* (JavaFastPFOR library), Joe Walnes, Jorg Schaible and others* (XStream library), Dain Sundstrom* (Snappy library), Extreme! Lab, Indiana University* (XPP3 library), The Apache Software Foundation* (Apache Log4j and Commons Lang libraries), Google, Inc.* (GSON library), Free Software Foundation* (GNU Trove and GNU Crypto libraries)

Install package and any missing dependencies by running this line in your R console:

install.packages("PortfolioEffectHFT")

Depends R (>= 2.13.2), ggplot2(>=2.2.0)
Imports methods, rJava, grid, zoo
Suggests testthat
Enhances
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depends
PortfolioEffectEstim
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Package PortfolioEffectHFT
Materials
URL https://www.portfolioeffect.com/
Task Views Finance
Version 1.8
Published 2017-03-24
License GPL-3
BugReports
SystemRequirements Java (>= 1.7)
NeedsCompilation no
Citation
CRAN checks PortfolioEffectHFT check results
Package source PortfolioEffectHFT_1.8.tar.gz