[R-sig-Finance] Backtesting Speed
William.Wojciechowski at kochind.com
Thu Jul 6 16:50:26 CEST 2006
What type of algorithms/computations did you implement in C/C++?
William C. Wojciechowski
Koch Quantitative Trading
20 East Greenway Plaza
Houston, TX 77046
william.wojciechowski at kochind.com
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.
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