Download and organize historical market data from multiple sources like Yahoo (<https://finance.yahoo.com>), Google (<https://www.google.com/finance>), Finam (<https://www.finam.ru/profile/moex-akcii/sberbank/export/>), MOEX (<https://www.moex.com/en/derivatives/contracts.aspx>) and IQFeed (<https://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup>). Code your trading algorithms in modern C++11 with powerful event driven tick processing API including trading costs and exchange communication latency and transform detailed data seamlessly into R. In just few lines of code you will be able to visualize every step of your trading model from tick data to multi dimensional heat maps.

Enhanced Quantitative Trading Modelling

package-ubuntu-20.04-r-4.0.5#cran#QuantTools-0.5.7.1

<p>Combine multiple futures market data into continuous contract
</p>

roll_futures(prices_by_contract, days_before_expiry)

<table summary="R argblock">
<tr valign="top">
<td><code>prices_by_contract</code></td>
<td>
<p>list of data.tables with futures market data</p>
</td>
</tr>
<tr valign="top">
<td><code>days_before_expiry</code></td>
<td>
<p>number of dates before expiration to roll</p>
</td>
</tr>
</table>

package-ubuntu-20.04-r-4.0.5#cran#QuantTools-0.5.7.1#docs#roll_futures

roll_futures

Description

Usage

Arguments

QuantTools

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`prices_by_contract`	list of data.tables with futures market data
`days_before_expiry`	number of dates before expiration to roll