RollRange

Download and organize historical market data from multiple sources like Yahoo (<https://finance.yahoo.com>), Google (<https://www.google.com/finance>), Finam (<https://www.finam.ru/profile/moex-akcii/sberbank/export/>), MOEX (<https://www.moex.com/en/derivatives/contracts.aspx>) and IQFeed (<https://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup>). Code your trading algorithms in modern C++11 with powerful event driven tick processing API including trading costs and exchange communication latency and transform detailed data seamlessly into R. In just few lines of code you will be able to visualize every step of your trading model from tick data to multi dimensional heat maps.

Stanislav Kovalevsky

QuantTools

Enhanced Quantitative Trading Modelling

RollRange function

<code>RollRange( int n, double p = 0.5 )</code>

Usage

 <table><tr><td>
</td>
<td> <strong>Name</strong>                 </td>
</tr><tr><td> <strong>Return Type</strong>        </td>
<td> <strong>Description</strong>
</td>
</tr><tr><td> <code>Add( InputType value )</code> </td>
<td> <code>void</code>                 </td>
</tr><tr><td> update indicator
</td>
<td> <code>Reset()</code>                </td>
</tr><tr><td> <code>void</code>                 </td>
<td> reset to initial state
</td>
</tr><tr><td> <code>IsFormed()</code>             </td>
<td> <code>bool</code>                 </td>
</tr><tr><td> is indicator value valid?
</td>
<td> <code>GetValue()</code>             </td>
</tr><tr><td> <code>Range</code>                </td>
<td> has members <code>double min, max, quantile</code>
</td>
</tr><tr><td> <code>GetMinHistory()</code>        </td>
<td> <code>std::vector< double ></code></td>
</tr><tr><td> return min history
</td>
<td> <code>GetMaxHistory()</code>        </td>
</tr><tr><td> <code>std::vector< double ></code></td>
<td> return max history
</td>
</tr><tr><td> <code>GetQuantileHistory()</code>   </td>
<td> <code>std::vector< double ></code></td>
</tr><tr><td> return quantile history
</td>
<td>
</td>
</tr></table>

	Name
Return Type	Description
`Add( InputType value )`	`void`
update indicator	`Reset()`
`void`	reset to initial state
`IsFormed()`	`bool`
is indicator value valid?	`GetValue()`
`Range`	has members `double min, max, quantile`
`GetMinHistory()`	`std::vector< double >`
return min history	`GetMaxHistory()`
`std::vector< double >`	return max history
`GetQuantileHistory()`	`std::vector< double >`
return quantile history

RollRange: c++ Rolling Range / Quantile class

Description

Arguments

Usage

Public Members and Methods

Details

See Also