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.
python setup.py installThis 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.
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