Automated trading with R : quantitative research and platform development

Author(s)

    • Conlan, Chris

Bibliographic Information

Automated trading with R : quantitative research and platform development

Chris Conlan

(Books for professionals by professionals)

Apress, c2016

  • : pbk

Available at  / 2 libraries

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Note

Includes index

Description and Table of Contents

Description

Learn 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 automated trading, starting with its mathematics and moving to its computation and execution. You 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 Will Learn Understand machine-learning criteria for statistical validity in the context of time-series Optimize strategies, generate real-time trading decisions, and minimize computation time while programming an automated strategy in R and using its package library Best simulate strategy performance in its specific use case to derive accurate performance estimates Understand critical real-world variables pertaining to portfolio management and performance assessment, including latency, drawdowns, varying trade size, portfolio growth, and penalization of unused capital Who This Book Is For Traders/practitioners at the retail or small fund level with at least an undergraduate background in finance or computer science; graduate level finance or data science students

Table of Contents

Part 1: Problem Scope Chapter 1: Fundamentals of Automated Trading Chapter 2: Networking Part I: Fetching Data Part 2: Building the Platform Chapter 3: Data Preparation Chapter 4: Indicators Chapter 5: Rule Sets Chapter 6: High-Performance Computing Chapter 7: Simulation and Backtesting Chapter 8: Optimization Chapter 9: Networking Part II Chapter 10: Organizing and Automating Scripts Part 3: Production Trading Chapter 11: Looking Forward Chapter 12: Appendix A: Source Code Chapter 13: Appendix B: Scoping in Multicore R

by "Nielsen BookData"

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Details

  • NCID
    BB22486508
  • ISBN
    • 9781484221778
  • LCCN
    2016953336
  • Country Code
    us
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    [Berkeley]
  • Pages/Volumes
    xxv, 205 p.
  • Size
    26 cm
  • Subject Headings
  • Parent Bibliography ID
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