[R-sig-Finance] Backtesting Speed

[Wojciechowski, William]

Hi,

What type of algorithms/computations did you implement in C/C++?

Thanks,

William C. Wojciechowski

Koch Quantitative Trading
20 East Greenway Plaza
Houston, TX 77046
713-544-5093
william.wojciechowski at kochind.com

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The companies I (used to) work for use intraday data, sometimes
tick-by-tick data, to backtest trading strategies. In that case speed is
a very important issue and interpreted language environments like R are
slow in comparison to compiled language environments like C/C++. 

Generic environment for quant trading might look like the following: 

time critical computations like backtesting and realtime computing in
C/C++, client/server, GUI etc. in Java, and statistical analysis and
diagnostics, prototyping etc. in Matlab or R or similar.

Regards

Adrian