[R] R and Forex

Joshua Ulrich josh.m.ulrich at gmail.com
Thu Oct 13 04:22:06 CEST 2011 

Yves and Michael,

R-devel is the place for programming questions that would be confusing
to most people who follow R-help.  Posting to R-devel would make sense
if you've written socket connections between applications in other
languages and are having trouble sorting out how to do it in R.

If you've never written a socket connection before, R-devel is not the
right place to post.  Skim the posts over the past few weeks to get a
feel for the level of discussion.  That should help you decide if your
question fits.  Stack Overflow is another good resource for that weird
middle-ground between R-help and R-devel.

Best,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Wed, Oct 12, 2011 at 9:05 PM, R. Michael Weylandt
<michael.weylandt at gmail.com> <michael.weylandt at gmail.com> wrote:
> To be honest, I don't frequently have occasion to wander over to R-devel and most of what goes on over there is over my level of easy-readability but I'd feel pretty confident that anything involving interface to another program on a socket or lower level is squarely their territory while file-reading and up is R-help, based on what I've seen. The moderators may wish to correct me.
>
> I'm happy to spitball ideas privately and you have my email, but I'm not qualified to make specific feasibility assessments on the record so I'll have to punt if you want official answers.
>
> Michael
>
> On Oct 12, 2011, at 9:49 PM, "Yves S. Garret" <yoursurrogategod at gmail.com> wrote:
>
>> I'm a little vague on what constitutes r-help and r-devel lists in terms of what questions to ask and where.  I read a little bit that this list was about design and what you could do in R, but coding should be in r-devel.  If I'm wrong, please clarify.
>>
>> On Wed, Oct 12, 2011 at 9:12 PM, R. Michael Weylandt <michael.weylandt at gmail.com> <michael.weylandt at gmail.com> wrote:
>> I suppose you could, contingent on the broker end's functionality, and R does provide some socket support (see ?make.socket and ?connections among others) but I suspect your question is entering the domain of the R-devel list where the experts on the nitty gritty could give you better answers than I can.
>>
>> Michael
>>
>>
>> On Oct 12, 2011, at 8:38 PM, "Yves S. Garret" <yoursurrogategod at gmail.com> wrote:
>>
>>> Don't see myself making 'real-time' trades.  Most likely a few times an hour.  Oh, can't you make a socket to another app in R?  That would be my first approach.
>>>
>>> On Wed, Oct 12, 2011 at 6:53 PM, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
>>> Just a comment on the lack of a direct R API for non-IBrokers
>>> brokerages: of course its possible to put something together using
>>> rJava or a direct C interface, but it's not the smoothest thing if
>>> you've never delved into the R internals and it's not quite the
>>> fastest thing in the world if you are doing particularly
>>> time-sensitive work. At lower frequencies, this becomes less of an
>>> issue and simple work-arounds like using a csv file as an intermediate
>>> can make everything much easier.
>>>
>>> On the other end of the trade process, once you start getting into
>>> more HF domains, there's also the inverse problem of real-time
>>> processing: I'm not particularly interested in the question so I
>>> haven't thought much about it, but I don't see a particularly R-ish
>>> way to deal with a live data feed, though it's been dealt with in the
>>> R-SIG-Finance archives a couple of times.
>>>
>>> Michael
>>>
>>> On Wed, Oct 12, 2011 at 5:56 PM, Yves S. Garret
>>> <yoursurrogategod at gmail.com> wrote:
>>> > Also, when you say to do the trading aspect is more difficult, what do you
>>> > mean exactly?  Are there performance issues with the code tasked to do the
>>> > trades?  Lack of API?  Or is it just a pain to put something coherent
>>> > together that will do the trades?
>>> >
>>> > On Wed, Oct 12, 2011 at 3:07 PM, R. Michael Weylandt
>>> > <michael.weylandt at gmail.com> wrote:
>>> >>
>>> >> As was pointed out to you before, this is really more of an
>>> >> R-SIG-Finance question, but I wouldn't expect too much explanation
>>> >> there either, just people pointing you to the standard R finance tools
>>> >> (quantmod, zoo/xts, TTR, RBloomberg, and the Rmetrics suite; there's
>>> >> also some fantastic tools in development but if you just picked up
>>> >> your first book on R, you probably aren't ready for those yet).
>>> >>
>>> >> You question isn't particularly well-defined either:
>>> >>
>>> >> Do you just want to study currency price series in R? This is simple:
>>> >> just get the data (perhaps from oanda using quantmod::getSymbols or
>>> >> simply by reading in through any of the regular functions) and study
>>> >> it however you like.
>>> >>
>>> >> The actual act of trading, however, is harder to do solely within R:
>>> >> there is a very popular IBrokers API but I haven't used it much. It
>>> >> sounds like you are probably a lone trader so if you don't have a
>>> >> pre-existing relationship with IBrokers you'll probably want to enter
>>> >> trades through whichever broker you currently use. That -- the
>>> >> IBrokers package -- is the complete only solution on that end I'm
>>> >> aware of, though I'm sure many folks have their own work-arounds.
>>> >>
>>> >> And as far as experiences go: well, I suppose folks wouldn't be doing
>>> >> it if they thought there was no money to be made, now would they?
>>> >>
>>> >> If you want more to read: check the CRAN task views, as suggested before.
>>> >>
>>> >> Michael
>>> >>
>>> >> PS -- A serious note: FX is much closer to a zero-sum game than
>>> >> long-equity, I would be remiss if I didn't warn you to tread
>>> >> carefully.
>>> >>
>>> >> On Wed, Oct 12, 2011 at 1:50 PM, Yves S. Garret
>>> >> <yoursurrogategod at gmail.com> wrote:
>>> >> > Yes, that's what I meant.  Curious what the experiences were of some
>>> >> > people
>>> >> > and some tips.
>>> >> >
>>> >> > On Wed, Oct 12, 2011 at 12:31 PM, R. Michael Weylandt
>>> >> > <michael.weylandt at gmail.com> wrote:
>>> >> >>
>>> >> >> "This" being what exactly?
>>> >> >>
>>> >> >> Traded in FX using R? Yes, its done everyday, even as I type....
>>> >> >>
>>> >> >> Michael
>>> >> >>
>>> >> >> On Wed, Oct 12, 2011 at 8:10 AM, Yves S. Garret
>>> >> >> <yoursurrogategod at gmail.com> wrote:
>>> >> >> > No, that's not what I meant.  I was curious if anyone has ever done
>>> >> >> > this
>>> >> >> > before and how well it worked.  Any tips for a novice?
>>> >> >> >
>>> >> >> > On Wed, Oct 12, 2011 at 12:19 AM, Liviu Andronic
>>> >> >> > <landronimirc at gmail.com>wrote:
>>> >> >> >
>>> >> >> >> On Wed, Oct 12, 2011 at 3:29 AM, Yves S. Garret
>>> >> >> >> <yoursurrogategod at gmail.com> wrote:
>>> >> >> >> > Hi all,
>>> >> >> >> >
>>> >> >> >> >   I recently started learning about Forex and found this O'Reilly
>>> >> >> >> > book in
>>> >> >> >> > Barnes & Nobles about R.  I bought it out of pure curiosity.  I
>>> >> >> >> > like
>>> >> >> >> > what
>>> >> >> >> I
>>> >> >> >> > see.  However, I have a question.  Has anyone tried to bring these
>>> >> >> >> > two
>>> >> >> >> ideas
>>> >> >> >> > together in a financial and trading sense?  Are there any
>>> >> >> >> > libraries
>>> >> >> >> > or
>>> >> >> >> > modules in R that can aid in this venture?
>>> >> >> >> >
>>> >> >> >>
>>> >> >> >> > fortune('equity')
>>> >> >> >>
>>> >> >> >> I have never heard anyone (knowledgable or otherwise) claim that, in
>>> >> >> >> the
>>> >> >> >> absence of transition costs, SAS is better than R for equity
>>> >> >> >> modeling.
>>> >> >> >> If
>>> >> >> >> you
>>> >> >> >> come across any such claim, I would be happy to refute it.
>>> >> >> >>   -- David Kane
>>> >> >> >>      R-SIG-Finance (December 2004)
>>> >> >> >>
>>> >> >> >>
>>> >> >> >> You may want to address this question to r-sig-finance, and check
>>> >> >> >> out
>>> >> >> >> the Finance Task View [1]. Regards
>>> >> >> >> Liviu
>>> >> >> >>
>>> >> >> >> [1] http://cran.at.r-project.org/web/views/Finance.html
>>> >> >> >>
>>> >> >> >>
>>> >> >> >> > --Yves
>>> >> >> >> >
>>> >> >> >> >        [[alternative HTML version deleted]]
>>> >> >> >> >
>>> >> >> >> > ______________________________________________
>>> >> >> >> > R-help at r-project.org mailing list
>>> >> >> >> > https://stat.ethz.ch/mailman/listinfo/r-help
>>> >> >> >> > PLEASE do read the posting guide
>>> >> >> >> http://www.R-project.org/posting-guide.html
>>> >> >> >> > and provide commented, minimal, self-contained, reproducible code.
>>> >> >> >> >
>>> >> >> >>
>>> >> >> >>
>>> >> >> >>
>>> >> >> >> --
>>> >> >> >> Do you know how to read?
>>> >> >> >> http://www.alienetworks.com/srtest.cfm
>>> >> >> >>
>>> >> >> >> http://goodies.xfce.org/projects/applications/xfce4-dict#speed-reader
>>> >> >> >> Do you know how to write?
>>> >> >> >> http://garbl.home.comcast.net/~garbl/stylemanual/e.htm#e-mail
>>> >> >> >>
>>> >> >> >
>>> >> >> >        [[alternative HTML version deleted]]
>>> >> >> >
>>> >> >> > ______________________________________________
>>> >> >> > R-help at r-project.org mailing list
>>> >> >> > https://stat.ethz.ch/mailman/listinfo/r-help
>>> >> >> > PLEASE do read the posting guide
>>> >> >> > http://www.R-project.org/posting-guide.html
>>> >> >> > and provide commented, minimal, self-contained, reproducible code.
>>> >> >> >
>>> >> >
>>> >> >
>>> >
>>> >
>>>
>>
>
>        [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

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