[R-SIG-Finance] AQ-R 0.1 available

[Ulrich Staudinger]

Hi everyone,

I have the great pleasure to announce the release of AQ-R 0.1 [1].


Why is it relevant for R-SIG-Finance:

- Computational Finance deals a lot with time series data
- Computational Finance is also about storing and managing plenty of
reference data
- R-Sig-Finance is all about the intersect of R and Finance


What does AQ-R in principle do:
- it provides interfaces to the Open Source ActiveQuant Master Server
(a server based on HBase, HSQLDB, ActiveMQ - deployable in two
minutes)


What's the motivation behind AQ-R (and AQMS):

- several existing R extensions provide vendor specific solutions to
very similar issues
- very little extensions permit an easy way to trade from within R

- AQ-R (will) brings a complete solution to fetch and store time
series and reference data, to receive a live feed from an AQMS and to
issue and manage trades from within R

- The AQMS provides a unified view on this information, based on the
best technology available right now.
- AQMS is built on vendor neutral open source frameworks.
- AQMS bridges the language gap between C#, Java, R, Matlab, etc. by
providing unified language agnostic ways to store and share this
information, building on well established, easy-to-comprehend
communication protocols such as SOAP, CSV, HTTP, JMS.


Currently implemented features:
- Fetching and storing time series data into the AQMS (going
underneath to an HBase/Hadoop setup, etc.pp.)
    - this allows for example replicating or sharing data between two
AQMS instances [2]
- initializing the AQMS connection


Future plans:
- I am investigating how to to process live data in R, for getting the
live feeds and order events from an AQMS into R
   - for those like buzzwords, AQMS is of course a CEP ...
- The SOAP facade of AQMS will be made accessible from within AQ-R, so
that trades can be issued and maintained



I hope one or another on this list may find this useful.



Kind regards,
Ulrich



References:
[1] AQ-R, Available from:
http://cran.at.r-project.org/web/packages/aqr/index.html
[2] Accessing two AQMS at the same time, Available from:
http://activequant.org/r.html


--
Ulrich Staudinger

E: ustaudinger at activequant.com
http://www.activequant.com