How to install R with RCpp RInside for  C++ HFT with multithreading capabilities for parallelizing with Open MPI in Ubuntu Linux

To get RCpp and RInside running in your Ubuntu Linux environment

Install RStudio to manage the installation of your R packages which is the lazy person’s way of doing it.  Also, ensure you have the latest R version by doing:

http://quantlabs.net/r-blog/2012/10/how-to-upgrade-to-the-latest-r-package-in-your-ubuntu-linux-environment/

In RStudio, install RCpp and RInside. Download the latest version of RInside for C++ from (under Download section)

http://dirk.eddelbuettel.com/code/rinside.html

Once the tarball is expanded in your Linux environment, navigate to the examples standard to make all the examples. Again, you will need the RCpp and RInside R packages available for the build process. Other R packages may be needed as your run the many examples.

To run the RInside examples with the OPen MPI for parallelizing examples, install Open MPI following apt-get instructions at:

http://cs.ucsb.edu/~hnielsen/cs140/openmpi-install.html

The navigate to the RInside example mpi and do a make. Run the samples and watch your jaw drop on the potential of R and C++ for HFT in a multithreaded environment.