Advertisement

© 2016

Automated Trading with R

Quantitative Research and Platform Development

Book

Table of contents

  1. Front Matter
    Pages i-xxv
  2. Problem Scope

    1. Front Matter
      Pages 1-1
    2. Chris Conlan
      Pages 3-20
  3. Building the Platform

    1. Front Matter
      Pages 21-21
    2. Chris Conlan
      Pages 23-35
    3. Chris Conlan
      Pages 37-49
    4. Chris Conlan
      Pages 51-58
    5. Chris Conlan
      Pages 59-63
    6. Chris Conlan
      Pages 65-81
    7. Chris Conlan
      Pages 83-99
    8. Chris Conlan
      Pages 101-130
    9. Chris Conlan
      Pages 131-152
  4. Production Trading

    1. Front Matter
      Pages 153-153
    2. Chris Conlan
      Pages 155-160
    3. Chris Conlan
      Pages 161-165
    4. Chris Conlan
      Pages 167-194
    5. Chris Conlan
      Pages 195-201
  5. Back Matter
    Pages 203-205

About this book

Introduction

All the tools you need are provided in this book to trade algorithmically with your existing brokerage, from data management, to strategy optimization, to order execution, using free and publicly available data. Connect to your brokerage’s API, and the source code is plug-and-play.

Automated Trading with R explains the broad topic of automated trading, starting with its mathematics and moving to its computation and execution. Readers will gain a unique insight into the mechanics and computational considerations taken in building a back-tester, strategy optimizer, and fully functional trading platform.

The platform built in this book can serve as a complete replacement for commercially available platforms used by retail traders and small funds. Software components are strictly decoupled and easily scalable, providing opportunity to substitute any data source, trading algorithm, or brokerage. This book will:

  • Provide a flexible alternative to common strategy automation frameworks, like Tradestation, Metatrader, and CQG, to small funds and retail traders
  • Offer an understanding of the internal mechanisms of an automated trading system
  • Standardize discussion and notation of real-world strategy optimization problems

What You’ll Learn:

    To optimize strategies, generate real-time trading decisions, and minimize computation time while programming an automated strategy in R and using its package library
  • How to best simulate strategy performance in its specific use case to derive accurate performance estimates
  • Important optimization criteria for statistical validity in the context of a time series
  • An understanding of critical real-world variables pertaining to portfolio management and performance assessment, including latency, drawdowns, varying trade size, portfolio growth, and penalization of unused capital

Keywords

Automated trading R programming High-performance computing Algorithm science Data science Numerical optimization Quantitative finance Machine learning System administration Trading algorithms Data management

Authors and affiliations

  1. 1.BethesdaUSA

About the authors

Chris Conlan began his career as an independent data scientist specializing in trading algorithms. He attended the University of Virginia where he completed his undergraduate statistics coursework in three semesters. During his time at UVA, he secured initial fundraising for a privately held high-frequency forex group as president and chief trading strategist. He is currently managing the development of private technology companies in high-frequency forex, machine vision, and dynamic reporting.

Bibliographic information