Define Scope of new Trading/Finance package framework #1
Description
Currently, there exist no good trading framework for R. Existing ones are:
Chicago guys
- quantmod
- PerformanceAnalytics
- quantstrat
- PortfolioAnalytics
- TTR
- xts
Modern packages
- tidyquant (with tidyfinance book)
It would be great to have
a) A modern package framework/infrastructure to do trading/finance with R
b) A course on the quantargo platform teaching necessary skills.
Questions to answer are:
- does it pay off to create a new package ecosystem -> which parts?
- Which steps are necessary to build one, prioritize
In detail:
- Definition of data structures (which ts object), how does a portfolio object look like? orders? transactions? etc.
Support general workflow:
- Get Data/Symbols
- Define Strategy
- optional: optimize strategy paramters
- generate orders
- generate transactions
- Show performance
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