[Rcpp-devel] RInside for hft strategy.
edd at debian.org
Sat Mar 19 19:46:49 CET 2016
On 17 March 2016 at 12:41, Harry G wrote:
| 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
| micros matter.
In that case you probably want to stay away from R in all forms, including RInside.
Most people end up using hybrid schemes -- test and train 'off-line' and use
the models and parameters online. A decade ago I 'invented' a scheme where
the print method for my model emitted valid C(++) header code I could just
compile in ...
http://dirk.eddelbuettel.com | @eddelbuettel | edd at debian.org
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