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Python library for high frequency portfolio analysis, intraday backtesting and optimization

License: GNU General Public License v3.0

Python 100.00%

pe-hft-python's Introduction

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.

Copyright

Copyright © 2015 PortfolioEffect

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