For HFT: Just like Matlab or Coder toolbox,, embedding Octave M script code C++ is ugly, stick with R, RCpp, RInside
I tried investigating this as a hopeful extra bonus. This can be done but be aware that it is ugly as if you did it with Matlab. With the extra expense of Matlab core, the .NET or JABuilder toolboxes, it would be a real pain and expensive to do. The added costs of $6k for the Matlab Coder might not be worth it!! As GCC or G++ with R is all free! Yipeee! But too bad about Octave as it just does not have athe advancement of a community like R. It would have been nice to spend time on this but not worth it at this point.
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