FinancialBlotter.jl

Trade and Portfolio Accounting in Julia
Popularity
10 Stars
Updated Last
12 Months Ago
Started In
February 2013

Build Status

Inspired by R's blotter and quantstrat packages.

julia> Pkg.clone("https://github.com/JuliaQuant/TradeBlotter.jl.git")

First phase

Portfolio and trade accounting framework in Julia that includes:

  • Blotter object that keeps track of filled transactions

Second phase

Path-dependent backtesting framework in Julia that includes:

  • Trading rules algorithm
  • OrderBook containing the constraints of the trading rule algorithm
  • Fill simulator that simulates real-world conditions to determine how and when orders are filled with a state machine

Additional functionality

  • methods that take a Blotter object to generate typical trading statistics are planned in the FinanceStats package