High Frequency Portfolio Analytics

Use high frequency data pipeline for intraday backtesting,
portfolio risk management and optimization at every price tick.

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8k+

Symbols

Market Data

Use our historical and real-time data to construct porfolios & strategies from stocks, indices & ETFs traded on BATS, CBOE, CSE, Direct Edge, NASDAQ, NYSE.

40+

Metrics

Portfolio Metrics

Compute portfolio risk and performance metrics based on modern/post-modern portfolio theory: VaR, ETL, alpha, beta, Sharpe ratio, Omega ratio, etc.

10+

Goals

Portfolio Optimization

Perform intraday portfolio optimization with arbitrary number of optimization constraints using our global multi-start optimization algorithm.

1+

Tick

Update Frequency

Get metric updates for every market price move for high-resolution charting, detailed market impact analysis, flash crush monitoring and other applications.

R Matlab Python Java
  • Intraday prices since 2013
  • 8,000+ stocks, ETFs & indices
  • Client-provided datasets
  • 40+ portfolio metrics
  • High Frequency model pipeline
  • Intraday portfolio optimization
Product Datasheet (.pdf)

PortfolioEffect Service

Portfolio management, backtesting and optimization service for R, Matlab, Java & Python that employes High Frequency microstructure model pipeline, cloud computing and server-side market data to enable classic portfolio analysis at intraday horizons.
Tutorials Manuals
Tutorials
Introduction to Intraday Portfolio Metrics
High vs. Low Frequency Trading Strategy Risks
Holding Period Risks of Intraday Strategies
Portfolio Optimization with Multiple Constraints
Alpha Decay of Treynor-Black Portfolios
Efficient Frontiers for Intraday Asset Allocation