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aqr (version 0.4)

Interface methods to use with an ActiveQuant Master Server

Description

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

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Version

Install

install.packages('aqr')

Monthly Downloads

9

Version

0.4

License

GPL (>= 2)

Maintainer

Ulrich Staudinger

Last Published

March 1st, 2014

Functions in aqr (0.4)

Poll data from the messaging bridge

Saves an XTS object to csv file.

Loads EOD data from Yahoo and returns an XTS object.

returns today as date8.

aqStoreSeriesField

Stores one series field to an AQ Master Server, typicall called from aqStoreSeries. This function assumes that data is either a zoo object, or that is a matrix with two columns where the first column contains a time series index in NANOSECONDS(!!!)

returns the date one month (30 days) ago as date8

applies a function across hour slots. Internally, it iterates over 0:23 and selects all rows which fit into this hour.

aqTestCallToDynLib

Send data to a messaging channel

Loads OHLC from an AQ Master Server

aqLoadXtsFromCsv

Loads a XTS object from CSV, to be used with our aqSaveXtsToCsv function. This method assumes that the fie's first column contains an interpretable timestmap.

aqSubscribeChannel

Subscribe to a messaging channel

aqDisableDebugMessages

Disable debug messages

Returns for an XTS input list the hour index per element.

buildArchiveURL

Builds an archive URL, based on connection parameters, seriesId, field, frequency and start and end date.

aqLoadSeriesField

Loads one series field from an AQ Master Server

aqUnsubscribeChannel

Unsubscribe from a messaging channel

Removes outliers based on standard deviation filters. Overwrites these with the open value.

Package level introduction

removes all data that belongs to a specific hour from an input data set.

stores a matrix onto an AQ Master Server

Drops data of several hours, delegates on to aqDropHour

approximateSLTP

Approximates StopLoss/TakeProfit for a given PNL series and an HLC series.

generatePnlCurve

method to generate a pnl curve from a running position. bids, asks and running position must have the same length. Can compute the pnl from one price to the other, but only for one asset! Does not take time into account - if you need signal delays, lag all input data on your own.

aqDayOfWeekStat

applies a function to all values per weekday.

aqEnableDebugMessages

Enable debug messages

aqInitMessaging

Initializes the messaging layer

Wait for data at the bridge

This method builds an object that carries necessary configuration values. The resulting object is a list, which you can modify outside of this function. Currently contains tsHost, tsPort, openField,closeField, highField, lowField and volField.