ianmadlenya/pe-hft-matlab

MATLAB toolbox for high frequency portfolio analysis, intraday backtesting and optimization

PortfolioEffectHFT Toolbox for MATLAB

MATLAB Toolbox/API to PortfolioEffect Quant service for high frequency trading (HFT) strategy backtests, intraday portfolio analysis and portfolio optimization.

About PortfolioEffect

PortfolioEffect platform employes high frequency microstructure model pipeline, cloud computing and server-side market data to enable classic portfolio analysis at intraday horizons.

Toolbox Installation

After checkout add inner PortfolioEffectHFT folder to MATLAB's path using "Set Path" menu. Then call any method of the package in MATLAB editor to continue with the set-up:

+++++++++++++++++++++++++++++++++++++++++++++++++
Welcome to PortfolioEffect HFT Toolbox.
Setup will download required binary files (~5mb).
Please, wait...
SUCCESS. File downloaded to: 
/home/appadmin/.matlab/R2015a/portfolioeffect-quant-client-1.0-allinone.jar
Updating java class path file...
SUCCESS. Java class path updated.
	
Setup complete! Restart Matlab session now.
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Restart MATLAB to complete PortfolioEffect HFT toolbox set-up.

Account Credentials

Locate API Credentials

All portfolio computations are performed on PortfolioEffect cloud servers. To obtain a free non-professional account, you need to follow a quick sign-up process on our website

Please use a valid sign-up address - it will be used to email your account activation link to enable API access then log in to you account and locate your API credentials on the main page:

Set API Credentials

Run the following commands to set your account API credentials for the PortfolioEffect HFT MATLAB Toolbox.

util_setCredentials('API Username', 'API Password', 'API Key');

You will need to do it only once as your credentials are stored between sessions on your local machine to speed up future logons. You would need to repeat this procedure if you change your account password or install PortfolioEffect HFT toolbox on another computer.

You are now ready to call PortfolioEffect methods.

Portfolio Construction

User Data

Users may supply their own historical datasets for index and position entries. This external data could be one a OHLC bar column element (e.g. 1-second close prices) or a vector of actual transaction prices that contains non-equidistant data points. You might want to pre-pend at least N =(4 x windowLength) data points to the beginning of the interval of interest which would be used for initial calibration of portfolio metrics.

Create Portfolio

Method portfolio_create() takes a vector of index prices in the format (UTC timestamp, price) with UTC timestamp expressed in milliseconds from 1970-01-01 00:00:00 EST.

Time          Value
[1,] 1412256601000 99.30
[2,] 1412256602000 99.33
[3,] 1412256603000 99.30
[4,] 1412256604000 99.26
[5,] 1412256605000 99.36
[6,] 1412256606000 99.36
[7,] 1412256607000 99.36
[8,] 1412256608000 99.38
[9,] 1412256609000 99.40
[10,] 1412256610000 99.37

If index symbol is specified, it is silently ignored.

data_spy=importdata('data_spy.mat'); 

% Create portfolio
portfolio=portfolio_create('priceDataIx',data_spy);

Add Positions

Positions are added using portfolio_addPosition() with 'priceData' in the same format as index price.

data_goog=importdata('data_goog.mat');
data_aapl=importdata('data_aapl.mat');

% Single position without rebalancing
portfolio_addPosition(portfolio,'GOOG',100,'priceData',data_goog); 

% Single position with rebalancing
portfolio_addPosition(portfolio,'AAPL',[300,150],'time',[1412266600000,1412276600000],'priceData',data_aapl); 

Server Data

At PortfolioEffect we are capturing and storing 1-second intraday bar history for a all NASDAQ traded equites (see symbology).

This server-side dataset spans from January 2013 to the latest trading time minus five minutes. It could be used to construct asset portfolios and compute intraday portfolio metrics.

Create Portfolio

Method portfolio_create() creates new asset portfolio or overwrites an existing portfolio object with the same name.

When using server-side data, it only requires a time interval that would be treated as a default position holding period unless positions are added with rebalancing. Index symbol could be specified as well with a default value of "SPY" - SPDR S&P 500 ETF Trust.

Interval boundaries are passed in the following format:

• 'yyyy-MM-dd HH:MM:SS' (e.g. '2014-10-01 09:30:00')
• 'yyyy-MM-dd' (e.g. '2014-10-01')
• 't-N' (e.g. 't-5' is latest trading time minus 5 days)
• UTC timestamp in milliseconds (mills from '1970-01-01 00:00:00') in EST time zone

For example:

% Timestamp in "yyyy-MM-dd HH:MM:SS" format
portfolio=portfolio_create('fromTime','2014-10-01 09:30:00','toTime','2014-10-02 16:00:00');

% Timestamp in "yyyy-MM-dd" format
portfolio=portfolio_create('fromTime','2014-10-01','toTime','2014-10-02');
	
% Timestamp in "t-N" format
portfolio=portfolio_create('fromTime','t-5','toTime','t');

Add Positions

Positions are added by calling portfolio_addPosition() method on a portfolio object with a list of symbols and quantities. For positions that were rebalanced or had non-default holding periods a 'time' argument could be used to specify rebalancing timestamps.

% Single position without rebalancing
portfolio_addPosition(portfolio,'GOOG',200);
	
% Multiple positions without rebalancing
portfolio_addPosition(portfolio,{'C','GOOG'},[300,200]);
	
% Single position with rebalancing
portfolio_addPosition(portfolio,'AAPL',[300,150],'time',['2014-10-02 09:30:01';'2014-10-02 11:30:01']);

License

This toolbox is released under the BSD license. See the file LICENSE.

Usage of this toolbox with PortfolioEffect services shall be subject to the Terms of Service.

Copyright

Copyright © 2015 PortfolioEffect