High Frequency Portfolio Analytics
Project description
# Portfolioeffect hft Package for Python
Python API to PortfolioEffect cloud 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). Constructed portfolios could use client-side market data or access HF intraday price history for all major US Equities.
## Package Installation
python setup.py install
## License
This package is released under the GPLv3 license. See the file LICENSE.
Usage of this package with PortfolioEffect services shall be subject to the [Terms of Service][PortfolioEffect Terms].
## Copyright
Copyright © 2015 PortfolioEffect
[PortfolioEffect Terms]: https://www.portfolioeffect.com/docs/terms
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
File details
Details for the file hft-1.0.8.tar.gz.
File metadata
- Download URL: hft-1.0.8.tar.gz
- Upload date:
- Size: 4.4 MB
- Tags: Source
- Uploaded using Trusted Publishing? No
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 | 4c1dd209823bccf00003d3173cfad702ee827ef33e51795ff1a52a7ac5b2938b |
|
| MD5 | 8cb164e54322324d30fc3671b3915f8e |
|
| BLAKE2b-256 | 55394f8d561432381e263dbe638bc98a89b760922e7afb3c3f766762800257d7 |
