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Video of R, RCPP, RInside makes use of C++ so much easier than Matlab Builder NE for high frequency trading aka HFT potential

Video of R, RCPP, RInside makes use of C++ so much easier than Matlab Builder NE for high frequency trading aka HFT potential

So I am going from trying out an open source C# application trading platform to an open source C++ ‘platform’ using Interactive Brokers. I also switched from Matlab to R. Lastly; I am looking at more open source projects including Linux where Ubuntu is becoming my preferred distribution. As you can tell, I am straying away from expensive options like Matlab. Being a developer, I can quickly debug most applications if need be.

The benefit I am finding switching to R as compared to using Matlab with something like Matlab’s Builder JA (for Java) or Builder NE (for .NET languages like C#) toolboxes. When I tried out the combination of R packages RCpp and RInside, I was pleasantly surprised for a number of things. Installing any R package is quite easy. Building or ‘making’ the provided C++ examples for RInside was flawless and easy to execute. The most impressive were samples of parallelization of C++ which was jaw dropping.

Now I am hoping I can see my newer open source C++ trading solution Trading Shim (http://www.tradingshim.org/) will work at some point as well.   Hey…it is C++ so leave it alone. But the speed and scalability of it should be impressive. I just wish there was a complete open source trading platform in Java that could connect to my chosen broker Interactive Brokers.

Anyhow, back to the R packages of RCpp and Rinside. I need to give a shout out to the contributors for making these packages happen in a quick and easy way. The provided C++ examples really do make a difference to showcase how a C++ application can call the R shell processor and execute individual R functions directly. You could not do that with the Matlab NE Builder as you could only call M scripts with their archaic programming structure. The C++ code within RInside as compared to Matlab NE is much simpler, tighter, and smaller. The Matlab NE Builder is really meant for C# so trying it in Visual C++ would have been ‘interesting.’ I am just glad I found this deadly combination of R, RCpp/Rinside, with C++. It may work well for my hopeful high frequency trading platform with R for prototyping and analytics.

[youtube_sc url=”http://www.youtube.com/watch?v=wIzrJFy-VCA” playlist=”Calling R from a C application for HFT development with MPI parallelzation ” title=”Calling%20R%20from%20a%20C%20application%20for%20HFT%20development%20with%20MPI%20parallelzation%20″]