[R-SIG-Finance] Live Algo Trading

[tradetree]

That was a great overview and exactly what I needed to find out.  I saw very
quickly that R was powerful and could perform my tasks, but I also know how
interpretive and scripted platforms perform when in production.  I will
stick to AQ and keep control of the internals implementation.  I am just
realizing how much work it will be!...


Jeff Ryan wrote:
> 
> Using R as a live trading platform is really on a case by case basis.
> 
> For 1 minute bar trading, with limited computational overhead, R is a
> perfectly workable solution.  Inside of that time-frame, things may
> get difficult.
> 
> A multitude of factors should be considered.  First and foremost would
> be R proficiency.  quantmod isn't up to the plug and play task of
> automated trading (yet?!).  So you'd need to do quite a bit of work to
> get things up to speed.  It is doable, but you'll either be writing a
> lot of code yourself to fill in some infrastructure bits, hiring
> someone to do it for you, or most likely a combination of the two.
> And it will take time.  All worthwhile things do.
> 
> The IBrokers package is a decent example of what you can do.  Run
> across multiple sessions on a multicore platform, you can manage to
> process as much data as IB will let you.  You'll not be able to take a
> raw feed from a real data source of course (think millions of messages
> a second).  Preprocessed (limited symbols, aggregation, many cores,
> capture-engine intermediary, etc), and you are getting closer to
> 'real-time' reality.
> 
> The advantage to myself and those I know who *do use* the above
> approach, is that you can think in "R".  If you are doing backtesting,
> post-analysis, etc in R, it is a quasi-natural fit to move the
> execution into R.
> 
> Another approach taken is to keep the execution stuff outside of R
> (C++ or Java for example), and simply make calls to R when needed.  Of
> course if your logic relies on the R code, you are still imposing the
> same potential limit on the total process.
> 
> Simple take away: it is possible, but not easy.  You gain an
> incredible amount of flexibility and speed of development (if R-versed
> already), but the trade-off is in raw processing capacity.  A strategy
> relying on ticks or orderbook data with only R would likely be
> suicide.  15s to end-of-day style, very doable.
> 
> Best,
> Jeff
> 
> 
> On Wed, Dec 23, 2009 at 10:55 PM, tradetree <stock at ancientsaturn.com>
> wrote:
>>
>> I wanted to see if there are people using R and quantmod to trade live,
>> or
>> only as an off-line tool for algorithm development?  I am evaluating
>> ActiveQuant and R to decide what to use for a live trading platform.  I
>> am
>> coming from Tradestation and right now considering AQ and the IB
>> interface.
>>
>> It is very hard to find an overview of approaches and pros/cons for
>> automated trading.  Some people use AQ for the trading engine but do algo
>> development in R and quantmod.  Is this a recommended direction?
>>
>>
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> 
> 
> 
> -- 
> Jeffrey Ryan
> jeffrey.ryan at insightalgo.com
> 
> ia: insight algorithmics
> www.insightalgo.com
> 
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