[R-SIG-Finance] New to R and Finance, backtest etc.
Jeffrey Ryan
jeffrey.ryan at lemnica.com
Sun Jun 19 16:06:23 CEST 2011
A few years back (!) I was testing the then current implementation of
IBrokers for throughput. At the time on a laptop I could see 10k+
messages a second in R max throughput. Within the context of IB, that
is more than sufficient to handle the incoming data (given symbol
limits and IB's snapshot data approach (300ms or so aggregations on
'mkt data').
This would push a single core to a pretty high cpu utilization, but
easy enough to share data between procs with R.
The 'testing' would really depend on you are doing in terms of trade
logic. All in all though, aside from real high freq stuff, you can
easily have R running logic and trades - at least if you can temper
the incoming data to something like IB provides.
In terms of 'yes or no' ... I think the best you can get is
'sometimes' (or 'most times' if you aren't looking at the order book
or full market)
Jeff
On Sun, Jun 19, 2011 at 8:44 AM, Ulrich Staudinger
<ustaudinger at gmail.com> wrote:
> Hey guys,
>
> has anyone ever checked runtime statistics, in the sense of processing
> speed, etc. of R in live trading?
> Obviously, it is possible to also implement C equations, but I am wondering
> if R etc are used in real intraday trading and about the performance
> characteristics observed.
>
> Thanks
> Ulrich
>
>
>
>
> On Sun, Jun 19, 2011 at 3:08 PM, <me at censix.com> wrote:
>
>> Alex
>>
>> once you have developed a strategy in 'quantstrat' and if you feel
>> adventurous and want to use it for live trading, I can (shamelessly)
>> recommend that you have a look at my 'qsiblive' download here.
>>
>> http://censix.com
>>
>> It may be of interest.
>>
>> regards
>>
>> Soren
>>
>>
>>
>> > Hi there,
>> >
>> > I am new to R and want to perform a few experiments with trading
>> > strategies
>> > with R.
>> >
>> > However, I have experience in programming, but not in R (it's very
>> similar
>> > to what a programmer would expect).
>> >
>> > For now, I've parsed some data (Open, High, Low, Close) of a security via
>> > read.table, which works fine.
>> > What I want to do now, is to perform a backtest of a simple trading
>> > strategy
>> > with R. Say, for example "buy on cross of MA(200) and MA(100)". Of course
>> > I
>> > could write the backtest routine by myself, but I saw a package called
>> > backtest. However, I do not really get the point how this may work. How
>> > could I use backtest package to analyse a simple strategy as above?
>> >
>> > Additionally, I would like to know, if there are some websites, wikis
>> etc.
>> > which give a basic introduction to R in Finance "for dummies"? Anything
>> > I've
>> > seen so far was more or less for professionals.
>> >
>> >
>> > Thank you in advance
>> > Alex
>> >
>> > [[alternative HTML version deleted]]
>> >
>> > _______________________________________________
>> > R-SIG-Finance at r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R questions
>> > should go.
>> >
>>
>>
>> --
>> http://censix.com
>>
>> _______________________________________________
>> R-SIG-Finance at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>> should go.
>>
>
>
>
> --
> Ulrich Staudinger
>
> http://www.activequant.org
> Connect online: https://www.xing.com/profile/Ulrich_Staudinger
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
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>
--
Jeffrey Ryan
jeffrey.ryan at lemnica.com
www.lemnica.com
www.esotericR.com
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