[R-SIG-Finance] Live Algo Trading

Fri Dec 25 22:48:53 CET 2009

To Nick and others looking for a working algo platform.  

I am looking to find a group of committed people who will work on a system
that can auto-trade.  It is hard to know where to post this question because
you need to know the answer before you ask it! ;-)  If R + quantmod work,
then the R list is the right one, but if you don't know that where do you
post?  So I'd recommend anyone with a committed interest in figuring out a
working system send me a private email.  I am in discussion with other
developers off-list.  Keep in mind that this is an incubation project
effort, so you need to be able to develop code either in R, R-quantmod, or
AQ.  I believe all three will be used, so the R and quantmod related
questions are appropriate to this list.  I think AQ may also be used, and if
that is the case we will use the AQ list on Nabble.  My hope is that a new
derivative database of a working algo trading system could emerge.

I wonder what the GPL license allows for integrating several GPL projects to
form another system?  I wonder what list is the right one to ask such a
question?

Nick Torenvliet wrote:
> 
> 
> Yeah, that was a good overview...  Does anyone here have experience with
> activequant?  I checked it out a while ago and was discrourage by the
> seeming lack of docs... but I'd be interested to know more. 
> 
> Happy Holidays all!
> 
>> Date: Wed, 23 Dec 2009 22:25:31 -0800
>> From: stock at ancientsaturn.com
>> To: r-sig-finance at stat.math.ethz.ch
>> Subject: Re: [R-SIG-Finance] Live Algo Trading
>> 
>> 
>> 
>> 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?
>> >>
>> >>
>> >> --
>> >> View this message in context:
>> >> http://n4.nabble.com/Live-Algo-Trading-tp978300p978300.html
>> >> Sent from the Rmetrics mailing list archive at Nabble.com.
>> >>
>> >> _______________________________________________
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>> > 
>> > 
>> > 
>> > -- 
>> > Jeffrey Ryan
>> > jeffrey.ryan at insightalgo.com
>> > 
>> > ia: insight algorithmics
>> > www.insightalgo.com
>> > 
>> > _______________________________________________
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>> > 
>> 
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