The two packages I recommend you investigate given what you want to do are 
Tradestation and MultiCharts

www.tradestation.com

http://www.tssupport.com/products/multicharts/

They are both very reasonably priced and allow you to do from backtesting, 
to live trading. The costs are very reasonable. Tradestation is more 
established with a large user base. MultiCharts is a newer package so they 
are more committed to improving it to gain market share.

Both use EasyLanguage to write trading strategies (a language based on 
Pascal), but they also both allow the integrating of DLLs. This means that 
you can call R code from inside your trading logic. We have done it two 
ways (1) use VBScript as an intermediate wrapper for the R(D)COM, and (2) 
calling the R(D)COM directly. (http://sunsite.univie.ac.at/rcom/)

For live trading R (or even matlab) would not work stand alone if you are 
monitoring a large number of markets because they are single threaded and 
you would need to wrap it somehow with an event based language or would 
need one R process running per market, which could lead to 500 R processes 
if you are monitoring and trading the stocks in the SP 500.

Good Luck.




"Brian G. Peterson" <brian@braverock.com> 
Sent by: r-sig-finance-bounces@stat.math.ethz.ch
09/26/07 07:39 AM

To
adschai@optonline.net
cc
r-sig-finance@stat.math.ethz.ch
Subject
Re: [R-SIG-Finance] backtesting engine (full-blown) application





adschai@optonline.net wrote:
> Hi - I guess you might have experience or suggestion on this subject. I 
am looking for an application vendor that supports strategy creation, 
backtesting and also offers actual AES functionality. Also, pre-trade and 
post-trade analysis should be supported. I'm wondering if there is any 
vendor that provides a good framework at reasonable $$ or not. Any 
suggestion would be really appreciated. Thank you.


There are many many commercial portfolio back testing engines available. 
  They range from pretty good to worthless.
One key question you'll need to ask is what instruments, data feeds, 
other systems, etc. you need to integrate to.  Many of the less 
expensive systems have very limited capabilities for getting data in an 
out, placing all the effort on you to get the data, feed it into the 
system, make your trades, and then feed the results back into the 
optimizer.  This is why many small-to-medium sized asset managers build 
their own infrastructure.

There are some R packages available to aid you in the build-your-own 
approach, and I'm sure the community would continue to contribute to 
building an open framework for doing portfolio analysis.

Regards,

   - Brian

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