Tag Archives: simulation

Q&A Order book R package for ultimate historical backtesting simulation?

Q&A Order book R package for ultimate historical backtesting simulation?

This was from an R blog visitor  

Hi! Im trying to get access to the R package “orderbook” (which is not on CRAN), any idea how to get hold on this?

 

This is an old but look really good. I would refer to these helpful URLs:

http://limitob.r-forge.r-project.org/

https://stat.ethz.ch/pipermail/r-sig-finance/2010q2/006222.html

Older download links where you need to manually install the zip through your RStudio:

http://cran.r-project.org/src/contrib/Archive/orderbook/

 

I also found this which may help:

http://journal.r-project.org/archive/2011-1/RJournal_2011-1_Kane~et~al.pdf