v0.5.7:

• Processor allow_exact_stop option added.
• ProcessorMulti class added for backtesting single strategy on multiple symbols.
• Order stop and trail types added.
• Alarm.GetTime() method added.
• Crossover initial pair value set to NAN.
• get_finam_data local storage fixed.
• get_iqfeed_data retries to download if no message received.
• get_iqfeed_data from and to timestamp support added.
• get_yahoo_data dividend adjustment added and yahoo’s split bug workaround added.
• roll_lm x and y inconsistency with lm fixed.
• bw to is included for Dates.
• plot_dts segments support added.
• ListBuilder possible protection stack imbalance fixed.
• fixed duplicated trades when orders cancelled after trade close.
• documentation layout updated for rdocumentation.com to be displayed correctly.

v0.5.6:

• Processor multiple options support added. You can set execution type, price step and act on time intervals. See help ?Processor for details.
  • use intervals to set intervals and onIntervalOpen() and onIntervalClose() to act on interval open and close.
  • use price_step to automatically round order price to this value before placing orders.
  • use execution_type to choose between bbo and trade (default) execution types.
• Processor mtm and mtm_rel mark to market values added to trades and updated on every tick.
• Processor Bollinger Bands Market Maker example added. See examples in ?Processor.
• Order GetExecutionTime(), GetProcessedTime(), GetState() methods added.
• multi_heatmap unsorted input values support added.
• get_finam_data local storage error fixed.
• get_iqfeed_data irrelevant warnings fixed.
• bw closed interval fixed for Dates.
• plot_dts single value plotting fixed.
• back_test side fixed.

v0.5.5:

• na_locf became smarter. Added support for data.table, data.frame and non numeric vector.
• dof function updated and dofc added. Apply function to data.table excluding first column ( e.g. if first column is date or time ) column-wise or to the rest columns as to single data.table.
• bw functionality updated. Now / can be used instead of c( from, to ). See ?bw for examples.
• plot_dts chainable plot_ts successor added. A little buggy but much more configurable than plot_ts. See examples in ?Processor.
• Processor.GetCandle() method added to retrieve current candle.
• Processor.AllowLimitToHitMarket() method added to allow limit orders to be executed as market if placed at price worse than current market price.
• Processor onMarketClose event now executed before onMarketOpen.
• Processor Bollinger Bands example added and SMA Crossover example updated.
• get_yahoo_data and get_finam_data fixed.

v0.5.4:

• Processor multiple options support added. You can set trading hours, latency, portfolio value stop loss and stop draw down, trading start time.
  • use SetTradingHours( double start, double end ) method to set trading hours and onMarketOpen(), onMarketClose() events to act on trading hours start and end. Use IsTradingHoursSet() method to check if trading hours are set.
  • use SetLatency( double x ), SetLatencySend( double x ), SetLatencyReceive( double x ) to set latency.
  • use SetStop( Rcpp::List stop ) to set stop on portfolio negative market value and/or on portfolio draw down thresholds. StopTrading() method can be used to stop trading. Use CanTrade() to check if trading stopped.
  • use SetStartTradingTime( double t ) method to prevent order placing until time t.
  • use SetOptions( Rcpp::List options ) to set any of above options using single list. ?Processor ‘Options’ section for details.
• Processor trade cost and R Squared calculation fixed.
• GetOnDayClosePerformanceHistory() also returns average trade P&L ( avg_pnl ) and number of trades ( n_per_day ) per date. return first value set to pnl.
• to_UTC function added to convert time zone to ‘UTC’ without changing time value.
• bw function now selects time with 1e-6 precision and selects all if interval set to NULL
• multi_heatmap user axes support added.
• plot_table completely rewritten. See help for details.
• IQFeed hidden functionality added.
  • QuantTools:::.get_iqfeed_security_types_info()
  • QuantTools:::.get_iqfeed_symbol_info( symbol, type_ids )
• get_iqfeed_data current date check omited.
• to_ticks minimum volume set to 1.
• ListBuilder completely rewritten due to random errors and crashes. Should be used only with Rcpp::List class. AsDataTable() and AsDataFrame() methods should be used to tell R that created list is data.table and data.frame correspondingly.
• IntToDate return type set to Rcpp::IntegerVector.
• Alarm C++ class added.

v0.5.3:

• round_POSIXct days units support added.
• IQFeed local storage 1min to day period support added.
• Processor mark to market caclulation fixed. Draw down calculation changed to difference between maximum market value and current market value.
• Added MOEX futures and options trades data support. Use store_moex_data to initialize local storage with moex_storage, moex_data_url, moex_storage_from settings. Use get_moex_futures_data, get_moex_continuous_futures_data, get_moex_options_data to get data from storage.
• Processor.GetSummary() method now returns sharpe, sortino, r_squared, avg_dd.
• GetOnCandleMarketValueHistory(), GetOnCandleDrawDownHistory(), GetOnDayClosePerformanceHistory() methods added to Processor.

v0.5.1:

• Processor now operates in the same time zone as input ticks. Ticks tzone attribute must be specified.
• to_ticks function added. As it is easier to get one minute bars than ticks for time span of several years to_ticks provides convinient way to convert these bars to ticks. Note that back test results on approximated ticks will be less realistic but may be acceptable for some strategies.
• IQFeed documentation updated and some hidden functionality added.
  • QuantTools:::.get_iqfeed_markets_info() retrieves markets info.
  • QuantTools:::.get_iqfeed_trade_conditions_info() retrieves trade conditions info.
• get_finam_data fixed.
• round_POSIXct changed to generic version.

v0.5.0:

• Initial Release.