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TickExec (version 1.1)

Execution Functions for Tick Data Back Test

Description

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.

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Version

Install

install.packages('TickExec')

Monthly Downloads

17

Version

1.1

License

GPL-3

Maintainer

SONG Yang

Last Published

May 20th, 2015

Functions in TickExec (1.1)

MarketBuy

Execute Market Buy Order
InitLogEntry

Initialize Log for Each Trade
PerformanceReport

Summarize Back Test Performance
DrawDown

Calculate Maximum Draw Down of Series
LimitSell

Execute Limit Sell Order
.LoadTickDataHK

Load Tick Data for Hong Kong Stock Market
DataSlice

Truncate Given Dataframe According to Given Time Window
PortfolioWorth

Evaluate Market Worth of Given Protfolio
TimeDiff

Find Difference Between Timestamps
PriceToNA

Set 0 In Price To NA
GetQueueLength

Retrieve Length of Quening Orders at Given Price
LimitBuy

Execute Limit Buy Order
GetLastPrice

Retrieve Last Trade Price of Given Instrument
TimeAdd

Calculate Endpoint Timestamp
SimpleReturn

Calculate Simple Price to Price Return
TotalPnL

Calculate Total PnL for Given Protfolio
SecondsToTime

Calculate Timestamp
MarketSell

Execute Market Sell Order
.LoadTickDataSHSZ

Load Tick Data for SHSZ Stock Market
VolumeToZero

Set NA in Volume to 0
LoadTickData

Locate and Load Tick Data of Given Instrument at Given Date