R Tools

Connect to PortfolioEffect from R

PortfolioEffectHFT

High Frequency Portfolio Analytics for R

R interface to PortfolioEffect service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory).

Get @ CRAN

install.packages("PortfolioEffectHFT")
CRAN Page

Source Code

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

Latest Build

2016-10-04 13:02:38
API Reference
PortfolioEffectHFT_R_API_Reference.pdf
User Manual
PortfolioEffectHFT_R_Manual.pdf

PortfolioEffectEstim

High Frequency Price Estimators for R

R interface to PortfolioEffect service for estimating high frequency price variance, quarticity, microstructure noise variance, and other metrics (~20 models) in both aggregate and rolling window formats.

Get @ CRAN

install.packages("PortfolioEffectEstim")
CRAN Page

Source Code

PortfolioEffectEstim for R source code is publically available under the GPL v3 license.
View on Github