Python Tools

Connect to PortfolioEffect from Python

PortfolioEffect HFT

Portfolio Analytics Using High Frequency Market Data for Python

Python interface to PortfolioEffect service for backtesting high frequency trading (HFT) and low frequency trading (LFT) strategies, intraday portfolio analysis, optimization and forecasting using high frequency market data. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory). Low and high frequency traders benefits from the use of high frequency market data.

Get @ Anaconda2

conda install -c portfolioeffect hft
Anaconda Page

Source Code

PortfolioEffectHFT for Python source code is publically available under the GPL v3 license.
View on Github

Latest Build

2016-11-30 21:21:52
User Manual
PortfolioEffectHFT_Python_Manual.pdf