[Rcpp-devel] RInside for hft strategy.
rfortraders at gmail.com
Thu Mar 17 18:41:59 CET 2016
Thinking of using RInside for predicting a theoretical price for a high
frequency trading strategy. Strategy is written in C++.
Let's assume I want to use the lm() function.
Flow i'm imagining: get the factors in c++ -> have R pre-process them ->
use the R predict() function.
What is the recommended approach for something like this. Latencies > 50
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