[Rcpp-devel] Modules and Boost and larger data sets

[Simon Zehnder]

Dear Rcpp-Users and Rcpp-Devels,

this goes especially to Dirk and Romain, the developers of RcppBDT. 

I am right now writing on a package for market microstructure data - usually large tick datasets with trade times and security symbols. I read the Rcpp Book about Modules and when starting as usual with S4 classes in R, the Modules came into my mind. As I am operating on datasets with usually around 1 Mio. rows I am wondering, if maybe the implementation via Modules is the better (better in regard to performance) one - in comparison to the usual S4 class implementation directly in R. With Modules I am able to define all functions on the datasets in C++ - which I expect to be faster. Sorting the data and filtering the data in regard to dates/times are of course one of the main tasks to be covered. 

In RcppBDT I read in the DESCRIPTION file, that the Boost Header Files for Date.Time must be included. As I have to choose one library for Date/Time formats in C++, boost just seems so appropriate. But for usage in the Market Microstructure community it is impossible to expect them to install Boost on their system. So, I would like to provide Boost already within the package. As everything what you two do makes sense, I think I haven't grabbed yet the reason, why Boost is not provided in the RcppBDT right alongside. Is there something which restricts me from doing this? 

I am very thankful for thoughts and opinions on my idea and my question. 


Best

Simon