
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@ancientsaturn.com
> To: r-sig-finance@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@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@insightalgo.com
> > 
> > ia: insight algorithmics
> > www.insightalgo.com
> > 
> > _______________________________________________
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> > 
> > 
> 
> -- 
> View this message in context: http://n4.nabble.com/Live-Algo-Trading-tp978300p978313.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
> 
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