[R-SIG-Finance] how to grow XTS series in R dynamically ? And Quickly!

Vladimir Morozov vmorozov2006 @end|ng |rom gm@||@com
Fri Sep 6 04:51:46 CEST 2019

Dear xts experts

I use R and XTS to store dynamically growing price time-series for currency
pair rates (e.g. time series of EUR/USD, EUR/JPY, etc growing with each new
incoming market price - say, one per second).

I want to speed up my R function that generates and rbinds a few new rows
to multiple Global XTS objects. This function us called often (sometimes
once per second) and takes a lot of time.

Specifically, I have a function add.newRate.EUR(POSIXct Time, float Rate)
This function performs some time-consuming manipulations, then modifies
(global objects) XTS series1 through XTS seriesN. Specifically, I rbind
some new rows to each of series1 through seriesN in global environment.
(specific example - a new Rate for EUR/USD comes into the function. This
function needs to rbind new point to EUR.USD xts object, but it also needs
to calculate new value for cross-currency pairs, like EUR/JPY, EUR/GPB,
EUR/CHF, EUR/CAD, EUR/AUD, EUR/NZD, and rbind new point to those XTS series
as well)

it all happens quite slowly in R. How do I accelerate it?

To avoid copying XTS series between the function and the global
environment, the function attempts to modify the seriesX in the global
environment, and not return XTS on function return.
The structure of my project is such that my other tasks in R need to access
these XTS series1 through seriesN in Global Environment.
Still, this whole set-up is rather slow.

Do you think using Rcpp to move cross-currency rate calculations to C++
could help?
E.g. I want to write add.newRate.EUR.RCPP(int Time, float Rate) in C++. I
think it will perform internal manipulations of time T and value X a little

Second idea for speed up:  doing rbind in C++ using package RcppXts.
I plan to use the following function in RcppXts package:
             List::create(Named("x"), Named("y"), Named("dup")),
             "Combine two xts objects row-wise");
Then I want to use Rcpp function assign( name, x ) to assign the created
object back to GlobalEnvironment.

Do you think the above way is a good way to grow dynamical XTS series inside
Do you think using Rcpp and RcppXts will provide significant acceleration
compared to pure R ?

Thank you

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