Advantages of R in high frequency trading with Redis NOSQL, doRedis, dot NET C# HFT on Linux and Windows

Bryan D

Bryan D

Advantages of R in high frequency trading with Redis NOSQL, doRedis, dot NET C# HFT on Linux and Windows

I talk about the advantages of this stack for an High Frequency Trading environment. This of couse includes the advantages of R over something like Matlab.

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Here is an example doRedis R interation in RStudio with a remote Redis server:

registerDoRedis(queue=’jobs’,host=”192.168.2.15″,port=6379)
> library(‘doRedis’)
Loading required package: rredis
Loading required package: foreach
foreach: simple, scalable parallel programming from Revolution Analytics
Use Revolution R for scalability, fault tolerance and more.
http://www.revolutionanalytics.com
Loading required package: iterators
> registerDoRedis(‘jobs’)

> registerDoRedis(‘jobs’,’92.168.2.15′,’6379′)

> registerDoRedis(queue=’jobs’,host=’92.168.2.15′,port=’6379′)

> registerDoRedis(queue=’jobs’,host=’192.168.2.15′,port=’6379′)
> startLocalWorkers(n=2,queue=’jobs’,host=’192.168.2.15′,port=’6379′)
> removeQueue(‘jobs’)
[1] TRUE
> startLocalWorkers(n=2,queue=’jobs’,host=’192.168.2.15′,port=’6379′)
> startLocalWorkers(n=2,queue=’jobs’,host=’192.168.2.15′,port=’6379′)
> removeQueue(‘jobs’)
[1] TRUE
> startLocalWorkers(n=2,queue=’jobs’,host=’192.168.2.15′,port=’6379′)
> foreach(icount(10),.combine=sum,.multicombine=TRUE,.inorder=FALSE) %dopar% 4*sum((runif(1000000)^2 + runif(1000000)^2)<1)/10000000
[1] 3.141388

From http://cran.r-project.org/web/packages/doRedis/vignettes/doRedis.pdf

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