High Frequency Portfolio Analytics

Use high frequency data pipeline for intraday backtesting,
portfolio risk management and optimization at every price tick.

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Market Data

Use our historical and real-time data to construct porfolios & strategies from stocks, indices & ETFs traded on BATS, CBOE, CSE, Direct Edge, NASDAQ, NYSE.



Portfolio Metrics

Compute portfolio risk and performance metrics based on modern/post-modern portfolio theory: VaR, ETL, alpha, beta, Sharpe ratio, Omega ratio, etc.



Portfolio Optimization

Perform intraday portfolio optimization with arbitrary number of optimization constraints using our global multi-start optimization algorithm.



Update Frequency

Get metric updates for every market price move for high-resolution charting, detailed market impact analysis, flash crush monitoring and other applications.

R Matlab Python Java
  • Intraday prices since 2013
  • 8,000+ stocks, ETFs & indices
  • Client-provided datasets
  • 40+ portfolio metrics
  • High Frequency model pipeline
  • Intraday portfolio optimization
Product Datasheet (.pdf)

PortfolioEffect Service

Portfolio management, backtesting and optimization service for R, Matlab, Java & Python that employes High Frequency microstructure model pipeline, cloud computing and server-side market data to enable classic portfolio analysis at intraday horizons.
Tutorials Manuals