Changelog

Source: NEWS.md

techfactor 0.1.0

• Added a NEWS.md file to track changes to the package.
• Set up CI and code coverage.
• Implemented basic algo and quote classes.
• Ready to to implement the factor definitions.
• Added the documentation for exported functions.
• Renamed tf_factor() to tf_cal() to be not confusing with tf_registered_factors().
• Refactored the cpp file structure.
• delta() gains an additional param n.
• Renamed Quotes to Quote because we are going to introduce a new type => a vector of Quote which will be named as Quotes.
• Added Quotes and an R interface to process panel based indicators.
• Eliminated the need for numerous delay in alpha definition functions by introducing the proxy class.
• Added the Quotes.tsapply(), Panel, assert_valid(Panel) and Panel apply() functions.
• delta() returns a double value that equals to x[k] - x[0].
• Reimplemented rank() to allow NA (rather than return a NA vector even when there’s only one NA) because the function is mainly used for cross-sectional data, where NA is common. In other words, the implementation now equals to data.table::frank(x, ties.method = "min", na.last = "keep").
• Quote_raw() constructor now checks the validity of price, volume and dates so that we can be sure that there’s no zero or negative price, negative volume or NA date in the dataset.
• tf_qts_cal() now supports non-ASCII names => all the non-UTF8 names will be converted to UTF-8 in the cpp level and return with UTF-8 marked strings.
• Implemented the concurrency calculating.
• Implemented all the 191 alpha factors.
• Added near() to do the zero comparision.