Connect to PortfolioEffect from Python
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