CRAN

TickExec 1.0

Execution Functions for Tick Data Back Test

Released Apr 22, 2015 by SONG Yang

Functions to execute orders in backtesting using tick data. A testing platform was established by the four major execution functions, namely 'LimitBuy', 'LimitSell', 'MarketSell' and 'MarketSell', which enclosed all tedious aspects (such as queueing for order executions and calculate actual executed volumes) for order execution using tick data. Such that one can focus on the logic of strategies, rather than its execution.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>TickExec</artifactId>
    <version>1.0-b241</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:TickExec')

Test Results

This package was last tested against Renjin 0.9.2644 on Jun 1, 2018.

• DrawDown-examples
• LimitBuy-examples
• LimitSell-examples
• MarketBuy-examples
• MarketSell-examples

Source

View GitHub Mirror

Release History

• 1.0