[R-SIG-Finance] backtesting engine (full-blown) application

[Brian G. Peterson]

Ryan Sheftel wrote:
> For live trading R (or even matlab) would not work stand alone if you 
> are monitoring a large number of markets because they are single 
> threaded and you would need to wrap it somehow with an event based 
> language or would need one R process running per market, which could 
> lead to 500 R processes if you are monitoring and trading the stocks in 
> the SP 500.

R from the command line interpreter is single-command-at-a-time (which 
is different from single-threaded, many R core analytical routines are 
multi-threaded).  There are also many methods available to make R run as 
a server process listening on a socket or on a cluster. It would be 
incorrect to simply classify R as a single-threaded application.  There 
is, as Ryan points out, programming effort involved to work in a 
clustered or multi-core environment, and wrapping R/DCOM with an 
event-based language is one approach to achieving this, but not the only 
one.

Regards,

    - Brian