Good afternoon. Could you, please, recommend me packages in R (RStudio), which can help to create high - frequency trading strategies (or trading robots) on 1 - minute logarithmic returns data? I intend to include in the strategy:
- module, responsible for receiving data (from stock exchange, trading platform and so on);
- module, responsible for analyzing data and generating trading signals ("buy" or "sell");
- module, responsible for opening and closing trading positions (close "buy" by "sell" or close "sell" by "buy");
- module for performance analyzing (Sharpe ratio, Treynor ratio and so on);
Data array for testing the trading strategy is rather large and includes about 30000 values.
Thank you for your help.